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    • M

      training, predicting and backtesting Neural Network
      Support • • magenta.kabuto

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      @magenta-kabuto The weights generated are simply the daily allocations to the various assets.

    • illustrious.felice

      RuntimeError: expand(torch.DoubleTensor{[694, 6]}, size=[694]): the number of sizes provided (1) must be greater or equal to the number of dimensions in the tensor (2)
      Strategy help • • illustrious.felice

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      illustrious.felice

      @support Thank you so much. I have resolved this error

    • M

      Printing training performance of neural network models
      Support • • multi_byte.wildebeest

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      @multi_byte-wildebeest Hello. I don't use machine learning models in trading.

    • D

      Kelly criterion
      Support • • dark.pidgeot

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      @dark-pidgeot Yes, of course. Please note that we do not implement leverage, and the sum of the absolute values of the weights has to be equal or smaller than 1. If it is larger, they will be rescaled down.

    • X

      allocations and orders
      General Discussion • • xiaolan

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      @xiaolan Yes, allocations are translate to orders internally, it is enough to check the variation in the allocations and transform it into number of contracts bought/sold. When we designed the toolbox the goal was to simplify development as much as possible for the users.

    • N

      SMA Example
      Support • • Nikos84

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      @support Thank you!

    • A

      Submission Logic Questions
      Support • • auxiliary.snail

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      @auxiliary-snail Hi,

      unfortunately, this is not allowed and in accordance with the rules. Using hard-coded time periods in which trading algorithm will work differently, is not a quantitative method (just like manual asset selection, e.g. "trade only Apple or Microsoft"). We still haven't implemented a mechanism for automatic recognition of such behaviors in trading strategies, and even though a strategy could be successfully submitted, it will not be eligible for prize winning.
      What we are searching for, is well performing strategy over entire in_sample period (SR>0.7), robust to all market movements 2006-2025, so we can expect it will perform well in future, too.

    • C

      Why Sharp ratios is not inverted ?
      Strategy help • • cyan.gloom

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      @support
      Thanks a lot !

    • A

      Expected Time to Run Strategy
      Support • • anshul96go

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      @support Got it, thanks a lot!

    • magenta.grimer

      Optimizer for simple MA crypto strategy
      Strategy help • • magenta.grimer

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      There is a way to use the optimizer with a (stateful) mulit pass algo, but depending on the total number of changed parameters it can take a very long time. However, if it runs on a local computer with many workers this can still be useful.

      We could run the backtester with the multi pass algo to get all the weights for the test period and pass these weights to the optimizer.
      There's just one problem with this: you can't pass changed parameters to the strategy using the backtester.
      In order to solve this I created a nested function where the outer function takes the changed parameters from the optimizer. The inner function is the actual multi pass strategy and doesn't define the params but just uses the ones from the outer function. Still within the outer function we run the backtester with one set of params, get the weights it returns and return them to the optimizer.

      The time it takes to run the optimization would roughly be
      (time for 1 multi pass backtest) x (total number of parameter changes) / (number of workers that are able to run)
      So if one multi pass takes 1 minute, you want to optimize 10 parameter changes and can run 5 workers it would take about 2 minutes.

      Here's an example based on the one above with 2 parameter changes and 2 workers:

      import qnt.data as qndata import qnt.ta as qnta import qnt.optimizer as qnop import qnt.backtester as qnbt import xarray as xr def load_data(period): """Loads the BTC Futures data for the BTC Futures contest""" return qndata.cryptofutures.load_data(tail=period, dims=("time", "field", "asset")) def multi_pass_strategy(data, ma_slow_param=50, ma_fast_param=10): """The outer function gets called by the optimizer with changed params, the inner function gets passed to the backtester.""" def strategy(data, state): # The state isn't used in this example, this is just to show that it can be used while optimizing. if state is None: state = 0 state += 1 close = data.sel(field="close") ma_slow = qnta.lwma(close, ma_slow_param).isel(time=-1) ma_fast = qnta.lwma(close, ma_fast_param).isel(time=-1) weights = xr.zeros_like(close.isel(time=-1)) weights[:] = 1 if ma_fast > ma_slow else -1 return weights, state """The backtester returns all weights for the test period which will then be returned to the optimizer""" weights, state = qnbt.backtest( strategy=strategy, competition_type="cryptofutures", load_data=load_data, lookback_period=700, start_date='2014-01-01', build_plots=False, ) return weights data = qndata.cryptofutures.load_data(min_date='2014-01-01') result = qnop.optimize_strategy( data, multi_pass_strategy, qnop.full_range_args_generator( ma_slow_param=range(50, 60, 5), # min, max, step # ma_fast_param=range(5, 100, 5) # min, max, step ), workers=2 # you can set more workers on your PC ) print("---") print("Best iteration:") print(result['best_iteration']) qnop.build_plot(result)

      There might be more efficient ways to do this, so if anyone has one feel free to post it here.

    • S

      Stocks strategy
      Strategy help • • spancham

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      @sheikh Hi, when it comes to stocks and historical simulations, the biggest issue is dealing with survivorship bias. The stock universe must include also stocks which have been delisted and we need to define trading rules which allow for trading instruments which make sense at each point in time. This week we are announing a new contest which is preparing the ground for stocks.

    • cespadilla

      Question about the Q17 Machine Learning Example Algo
      Strategy help • • cespadilla

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      @cespadilla Hello.

      The reason is in "train_model" function.

      def train_model(data): asset_name_all = data.coords['asset'].values features_all = get_features(data) target_all = get_target_classes(data) models = dict() for asset_name in asset_name_all: # drop missing values: target_cur = target_all.sel(asset=asset_name).dropna('time', 'any') features_cur = features_all.sel(asset=asset_name).dropna('time', 'any') target_for_learn_df, feature_for_learn_df = xr.align(target_cur, features_cur, join='inner') if len(features_cur.time) < 10: continue model = get_model() try: model.fit(feature_for_learn_df.values, target_for_learn_df) models[asset_name] = model except: logging.exception('model training failed') return models

      If there are less than 10 features for training the model, then the model is not created (if len(features_cur.time) < 10).

      This condition makes sense. I would not remove it.

      The second thing that can affect is the retraining interval of the model ("retrain_interval").

      weights = qnbt.backtest_ml( train=train_model, predict=predict_weights, train_period=2 *365, # the data length for training in calendar days retrain_interval=10 *365, # how often we have to retrain models (calendar days) retrain_interval_after_submit=1, # how often retrain models after submission during evaluation (calendar days) predict_each_day=False, # Is it necessary to call prediction for every day during backtesting? # Set it to true if you suspect that get_features is looking forward. competition_type='crypto_daily_long_short', # competition type lookback_period=365, # how many calendar days are needed by the predict function to generate the output start_date='2014-01-01', # backtest start date analyze = True, build_plots=True # do you need the chart? )
    • A

      Jupyter/Jupyter Lab are not working for code editing/running
      Support • • AlgoQuant

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      @captain-nidoran Fixed, sorry for issue

    • R

      referral program
      General Discussion • • rezhak21

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      @support I see, need to push them to submit then....

    • J

      Fundamental Data: Periodic indicators & Instant indicators
      Strategy help • • johback

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      @johback

      Hello

      More examples are here https://github.com/quantiacs/toolbox/blob/main/qnt/tests/test_fundamental_data.py

      This is a simple example.

      import qnt.data as qndata import datetime as dt import qnt.data.secgov_indicators import qnt.data as qndata import qnt.stats as qns assets = qndata.stocks.load_ndx_list(tail=dt.timedelta(days=5 * 365)) assets_names = [i["id"] for i in assets] data = qndata.stocks.load_ndx_data(tail=dt.timedelta(days=5 * 365), dims=("time", "field", "asset"), assets=assets_names, forward_order=True) facts_names = ['operating_expense'] # 'assets', 'liabilities', 'ivestment_short_term' and other fundamental_data = qnt.data.secgov_load_indicators(assets, time_coord=data.time, standard_indicators=facts_names) # Operating expenses include marketing, noncapitalized R&D, # travel and entertainment, office supply, rent, salary, cogs... weights = fundamental_data.sel(field='operating_expense') is_liquid = data.sel(field="is_liquid") weights = weights * is_liquid # calc stats stats = qns.calc_stat(data, weights.sel(time=slice("2006-01-01", None))) display(stats.to_pandas().tail()) # graph performance = stats.to_pandas()["equity"] import qnt.graph as qngraph qngraph.make_plot_filled(performance.index, performance, name="PnL (Equity)", type="log")
    • E

      Improving Quantiacs: Aligning Developer Objectives with the ones of Quantiacs
      General Discussion • developers improvement quantiacs rankings risk • • EDDIEE

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      @eddiee Hi, Mr. Eddie.

      I am new to building strategies using ML/DL on Quantiacs and am very impressed with the OS performance of your ML strategies. I hope you can give me your contact (mail, limkedin,...) so I can learn from your experience in building an ML/DL strategy.

      Sincerely thank.

    • news-quantiacs

      New futures data and next-to-front contracts
      News and Feature Releases • • news-quantiacs

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      @magenta-grimer Hello, we updated the documentation.

      Now there are 78 futures contracts. Yes, we allow allocating to only 1 asset. If you trade more assets, then you can go long on some of them and short others.

      Using more assets helps in increasing the Sharpe ratio, as the mean return grows linearly with the number of assets, and the volatility in the denominator with the square root of the number of assets if there are no correlation terms.

      Using uncorrelated assets would then lead to a scaling of the Sharpe ratio with the square root of the number of assets. In practice, however, correlation terms are decreasing this growth.

      Stated more simply, it is a good idea to avoid putting all your eggs in the same basket...

    • magenta.grimer

      Importing external data
      General Discussion • • magenta.grimer

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      @penrose-moore Thank you for the idea. For the Bitcoin Futures contest we are indeed patching the Bitcoin Futures data with the BTC spot price to build a meaningful time series. For the other Futures contracts, for the moment we will keep the futures histories only, but add spot prices + patching with spot prices to increase the length of the time series to our to-do list.

    • A

      Correlation fails although Sharpe ratio > 1
      Support • • agent.hitmonlee

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      Thanks for the answer!

      I still think something is wrong with this correlation checker. I even used this function to randomize the weights a few times, and I got the same correlation error:

      def add_random_noise(weights, noise_level=0.01): noise = np.random.uniform(-noise_level, noise_level, size=weights.shape) return weights + noise

      I am pretty sure it's impossible to have 90% correlation in this case.

    • A

      BTC and Crypto contest
      Support • • anthony_m

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      @support Ok, I see, thanks

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