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Introduction to Zipline: A Trading Library for Python

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Re: Introduction to Zipline: A Trading Library for Python

#81

Post by unknown_apostle »

sjbase wrote: post #23
unknown_apostle wrote: post #21

Earlier quoted context omitted.

Actually, does anyone know where an amateur could buy/download quarterly balance sheets/income statements for the broad stock market universe?

Most professionals I've known use Capital IQ, which is expensive. It's surprisingly tough to get broad, machine-readable market data for free but there are some cheaper options. Check this thread: https://www.reddit.com/r/SecurityAnalysis/comments/2ci5du/ca... Or you could always scrape Yahoo Finance :)

Yeah but you don't want to spend most of your time writing and maintaining scraping code :-)

Re: Introduction to Zipline: A Trading Library for Python

#82

Post by lpage »

dragonwriter wrote: post #79
joeyspn wrote: post #76

Earlier quoted context omitted.

> I mean each day 100's of Phd's... Yes, but then... "Finance novice beats hedge fund pros, winning $100k in Quantopian trading contest" https://pando.com/2015/03/05/finance-novice-beats-hedge-fund... Thousands of brilliant people are out there undiscovered and I think quantopian does a great job leveling the playing field.

Novices sometimes beating pros is something you'd expect to be true the more performance was due to luck rather than strategy. If it was strongly strategy-dependent, best-information would win predictably and consistently.

Yup. Incidentally this is exactly the same effect that makes model selection within a portfolio challenging. Two worthwhile reads on that front: the multiple comparison problem [1] and regression towards the mean [2].

Regardless of your objective - hosting a contest like this or allocating to individual institutions and strategies - you'll always face this problem. Good allocation decisions are tactical, taking both the logic of the strategy and the broader portfolio into account. Bad allocation decisions chase returns.

[1] https://en.wikipedia.org/wiki/Multiple_comparisons_problem

[2] https://en.wikipedia.org/wiki/Regression_toward_the_mean

Re: Introduction to Zipline: A Trading Library for Python

#83

Post by asdkjasdkj »

seagreen wrote: post #73
blobbers wrote: post #45

Earlier quoted context omitted.

I'm curious what folk's thoughts are on these two platforms: Interactive brokers offers low fee access to their platform ( https://www.interactivebrokers.com/en/index.php?f=13869 ) Quantopian (www.quantopian.com) gives you the ability to trade through robinhood with long trades at 0 commission. There has been some skepticism in the Q forums on how well robinhood's execution is (possibly the effect of a "you get what…

My thoughts are that if you use either platform for anything other than entertainment you're a fool. Seriously, here's your competition: https://en.wikipedia.org/wiki/Renaissance_Technologies How deluded do you have to be to think you have an edge over that?

This level of defeatism is the exact reason I got into the markets algo trading.

People like you stay out.

More to the point, just because a genius mathematician and code breaker started a hedge fund it doesn't at all push out any of the little guys. The market is so large he can't possibly be trading all instruments at once, and "scaling" is a problem for huge hedge funds. Especially ones that have to answer to their shareholders. Even though this is a huge fund, it is highly inflexible.

What you're saying is akin to "Google already does email and they're loaded with geniuses, what makes you think you have an edge over that?"

Re: Introduction to Zipline: A Trading Library for Python

#84

Post by meritt »

chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

The rapid rise in popularity of algorithmic trading among everyday coders, the massive growth of /r/wallstreetbets, and the popularity of Quantopian tells me one thing: Go long on retail brokers (AMTD, ETFC, IBKR)

Re: Introduction to Zipline: A Trading Library for Python

#85

Post by jjm »

ssanderson11235 wrote: post #36
edsouza wrote: post #30

I have looked at Zipline before, but it does not handle intraday trades, and does some guesses on when the trade executes during the "day", so you may not get the best price. Running an algorithm for multi-day trades for more than a few months does not make sense on how the markets move, as certain events like "brexit", earnings, M&A, etc... affect stock price. If you are really interested in algorithmic trading, and…

Zipline dev here. Zipline happily works on minutely data (in fact, we recently dropped support for daily mode entirely on Quantopian, which is built on top of Zipline). All the tutorials and examples for Zipline use daily data because there's no freely-available minutely data that we can distribute to our users.

;-) you ever review that PR I sent? No browsing HN on the Job! (I kid)

Re: Introduction to Zipline: A Trading Library for Python

#86

Post by bunderbunder »

Sukotto wrote: post #71
chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

This has been on my mind recently as someone who was in the front office for a few years (but not making trades) but is now on the outside. I mean each day 100's of Phd's start with clean market data, more data sources than you could possibly think of and statistical back testing systems that have 1000's of man hours put into them, trying to find a way to make money. It seems to me that the Tiger Rule applies here. Y…

Don't think in terms of there being one tiger that stops as soon as it gets something to eat. The market's more like a sea full of countless sharks, where all the sharks have to survive by eating other sharks.

You're not wrong to think that, if there's any way to consistently make money by trading, it's by exploiting inefficiencies in the market. But remember that those inefficiencies come from people. Are you confident enough in your skills, your education and your resources to be sure that you'll be one of the ones finding and exploiting inefficiencies, rather than one of the ones who's creating inefficiencies for others to find and exploit?

Re: Introduction to Zipline: A Trading Library for Python

#87

Post by Fomite »

asdkjasdkj wrote: post #83
seagreen wrote: post #73

Earlier quoted context omitted.

My thoughts are that if you use either platform for anything other than entertainment you're a fool. Seriously, here's your competition: https://en.wikipedia.org/wiki/Renaissance_Technologies How deluded do you have to be to think you have an edge over that?

This level of defeatism is the exact reason I got into the markets algo trading. People like you stay out. More to the point, just because a genius mathematician and code breaker started a hedge fund it doesn't at all push out any of the little guys. The market is so large he can't possibly be trading all instruments at once, and "scaling" is a problem for huge hedge funds. Especially ones that have to answer to thei…

In fairness, if someone told me they were going to make a killing on free webmail supported by ads and data mining, I think "How on earth do you intend to complete with Google?" would be a perfectly legitimate question.

Re: Introduction to Zipline: A Trading Library for Python

#88

Post by gnaritas »

seagreen wrote: post #73
blobbers wrote: post #45

Earlier quoted context omitted.

I'm curious what folk's thoughts are on these two platforms: Interactive brokers offers low fee access to their platform ( https://www.interactivebrokers.com/en/index.php?f=13869 ) Quantopian (www.quantopian.com) gives you the ability to trade through robinhood with long trades at 0 commission. There has been some skepticism in the Q forums on how well robinhood's execution is (possibly the effect of a "you get what…

My thoughts are that if you use either platform for anything other than entertainment you're a fool. Seriously, here's your competition: https://en.wikipedia.org/wiki/Renaissance_Technologies How deluded do you have to be to think you have an edge over that?

> Seriously, here's your competition: https://en.wikipedia.org/wiki/Renaissance_Technologies

Incorrect for the reasons pointed out above, they're trading size, you're likely not, it's a completely different game for them in a completely different field due to their liquidity needs. They are not your competition.

Re: Introduction to Zipline: A Trading Library for Python

#89

Post by gnaritas »

voiceclonr wrote: post #70
chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

I agree with you. I have spent my nights and weekends into trying to find an edge and am still looking. As a retail trader, it is very difficult to find anything but random data all over. I hope I will prove myself wrong someday, but as of now, I think a retail trader finding an edge is nearly impossible.

I've had the same experience. Lots of people fooled by random returns think they haven't edges that don't exist.

Re: Introduction to Zipline: A Trading Library for Python

#90

Post by gnaritas »

nether wrote: post #53
unknown_apostle wrote: post #19

Everybody's trading nowadays. How about just investing :-) I.e. focus on periods longer than a year, which so few people/professional market participants do. And on actual businesses instead of the crazy antics of a line. I wonder if you could use something like Zipline/Quantopian to screen huge amounts of consolidated balance sheets for markers of undervaluation. You could reject 1000s of companies and focus your “m…

How about no. You're entering a field where professionals working full time struggle to beat the market, what's saying that you, a folder of 10-k's, and a copy of Ben Graham are going to beat them? You could probably spend a lifetime studying investing and still come up short, because you don't have the resources or mentoring that the pros have.

Professionals aren't playing the same game as amateurs are, so your logic is flawed.
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