<![CDATA[Calculation of trading strategies]]>Hello,

I have a question about how quantiacs performs the calculations for trading strategies.
If I have a technical indicator like the rsi, does quantiacs calculate its values over the whole history according to a data window?

Or does Quantiacs perform the calculations by translating according to a window?
Thanks in advance

]]>http://quantiacs.com/community/topic/254/calculation-of-trading-strategiesRSS for NodeFri, 13 Mar 2026 11:29:06 GMTTue, 02 Aug 2022 05:47:37 GMT60<![CDATA[Reply to Calculation of trading strategies on Fri, 16 Sep 2022 06:22:52 GMT]]>@jeppe_and Thanks for the reply, i'll check my code

]]>http://quantiacs.com/community/post/865http://quantiacs.com/community/post/865Fri, 16 Sep 2022 06:22:52 GMT<![CDATA[Reply to Calculation of trading strategies on Wed, 14 Sep 2022 09:57:44 GMT]]>@dark-pidgeot Actually there could be some hidden problem.

Your code fails on the very last day, let us say 2022-09-01 as you sent in a previous screenshot.

Are you sure that no forward looking is going on? Let us suppose that we are on 2022-09-01, and on that day your code is looking into the future. Then it will fail, as it will have no data at all.

]]>http://quantiacs.com/community/post/853http://quantiacs.com/community/post/853Wed, 14 Sep 2022 09:57:44 GMT<![CDATA[Reply to Calculation of trading strategies on Tue, 13 Sep 2022 05:55:28 GMT]]>@support aa093a72-4904-4b0a-9316-011d1ed7ded5-image.png

Hi, here the screenshoot

]]>http://quantiacs.com/community/post/847http://quantiacs.com/community/post/847Tue, 13 Sep 2022 05:55:28 GMT<![CDATA[Reply to Calculation of trading strategies on Mon, 12 Sep 2022 12:09:16 GMT]]>@dark-pidgeot Can you take a screenshot so that it is visible also what happens on 1 Jan 2006? Here it is visible only what happens since 2010.

]]>http://quantiacs.com/community/post/846http://quantiacs.com/community/post/846Mon, 12 Sep 2022 12:09:16 GMT<![CDATA[Reply to Calculation of trading strategies on Sun, 11 Sep 2022 18:31:30 GMT]]>@support a9c0ea62-4ced-48fa-b1c8-0b5d8ea6e4ef-image.png

On the picture, there are indeed generated positions, so I don't really understand

]]>http://quantiacs.com/community/post/845http://quantiacs.com/community/post/845Sun, 11 Sep 2022 18:31:30 GMT<![CDATA[Reply to Calculation of trading strategies on Fri, 09 Sep 2022 19:59:58 GMT]]>@dark-pidgeot ok, there are not enough trading days. Are you generating non-zero positions since 1 Jan 2006?

]]>http://quantiacs.com/community/post/844http://quantiacs.com/community/post/844Fri, 09 Sep 2022 19:59:58 GMT<![CDATA[Reply to Calculation of trading strategies on Thu, 08 Sep 2022 13:12:00 GMT]]>@support The short description :

INFO: 2022-09-06T21:52:30Z: pass started: 7962346
INFO: 2022-09-06T21:53:13Z: pass completed: 7962346
INFO: 2022-09-06T22:49:52Z: stats received light=false
INFO: 2022-09-06T22:49:53Z: progress: 1.0
INFO: 2022-09-06T22:49:53Z: checking: last pass
INFO: 2022-09-06T22:49:53Z: filter passed: source exists
INFO: 2022-09-06T22:49:53Z: filter passed: output html exists
INFO: 2022-09-06T22:49:53Z: filter passed: output exists
INFO: 2022-09-06T22:49:53Z: filter passed: strategy uses the last data
INFO: 2022-09-06T22:49:53Z: filter passed: liquidity
FAIL: 2022-09-06T22:49:53Z: filter failed: in sample period is too short:3417 < 3764

]]>http://quantiacs.com/community/post/841http://quantiacs.com/community/post/841Thu, 08 Sep 2022 13:12:00 GMT<![CDATA[Reply to Calculation of trading strategies on Thu, 08 Sep 2022 06:28:23 GMT]]>@support Calculation start...
[NbConvertApp] Converting notebook strategy.ipynb to html
[NbConvertApp] Executing notebook with kernel: python3
[NbConvertApp] Writing 699954 bytes to strategy.html
Calculation completed.
Strategy body:

In [1]:
%%javascript
window.IPython && (IPython.OutputArea.prototype._should_scroll = function
(lines) { return false; })
// run this cell for disabling widget scrolling
In [2]:
import xarray as xr
import qnt.ta as qnta
import qnt.data as qndata
import qnt.output as qnout
import qnt.stats as qns
from IPython.display import display
import xarray as xr
import qnt.ta as qnta
import qnt.backtester as qnbt
import qnt.data as qndata
data = qndata.stocks.load_ndx_data(min_date="2005-01-01")

HIDDEN strategy CODE

SINGLE PASS

is_liquid = data.sel(field="is_liquid")
weights = is_liquid*weights

clean weights taking corner cases into account:

weights = qnout.clean(weights, data, "stocks_nasdaq100")

check before submission:

qnout.check(weights, data, "stocks_nasdaq100")
qnout.write(weights)

calc stats

stats = qns.calc_stat(data, weights.sel(time=slice("2000-01-01",None)))
stats.to_pandas().tail()
import qnt.graph as qngraph
import qnt.stats as qnstats
statistics = qnstats.calc_stat(data, weights)
performance = statistics.to_pandas()['equity']
qngraph.make_plot_filled(performance.index, performance, name='PnL (Equity)')

qnout.check(weights, data)
100% (35181 of 35181) |##################| Elapsed Time: 0:00:00 Time: 0:00:00
100% (35957 of 35957) |##################| Elapsed Time: 0:00:00 Time: 0:00:00
100% (14750756 of 14750756) |############| Elapsed Time: 0:00:00 Time: 0:00:00
fetched chunk 1/6 1s
100% (14750752 of 14750752) |############| Elapsed Time: 0:00:00 Time: 0:00:00
fetched chunk 2/6 3s
100% (14750720 of 14750720) |############| Elapsed Time: 0:00:00 Time: 0:00:00
fetched chunk 3/6 4s
100% (14750628 of 14750628) |############| Elapsed Time: 0:00:00 Time: 0:00:00
fetched chunk 4/6 6s
100% (14750720 of 14750720) |############| Elapsed Time: 0:00:00 Time: 0:00:00
fetched chunk 5/6 7s
100% (979196 of 979196) |################| Elapsed Time: 0:00:00 Time: 0:00:00
fetched chunk 6/6 7s
Data loaded 8s
Output cleaning...
fix uniq
ffill if the current price is None...
Check liquidity...
Ok.
Check missed dates...
Ok.
Normalization...
Output cleaning is complete.
Check liquidity...
Ok.
Check missed dates...
Ok.
Check the sharpe ratio...
Period: 2006-01-01 - 2022-09-01
Sharpe Ratio =#####
Ok.
Check correlation.
correlation check disabled

Ok. This strategy does not correlate with other strategies.
Write output: /root/fractions.nc.gz
Check liquidity...
Ok.
Check missed dates...
Ok.
Check the sharpe ratio...
Period: 2006-01-01 - 2022-09-01
Sharpe Ratio = #####
Ok.
Check correlation.
correlation check disabled

Ok. This strategy does not correlate with other strategies.
In [3]:
performance = statistics.to_pandas()['equity']
qngraph.make_plot_filled(performance.index, performance, name='PnL (Equity)')
Submit...
Post task: https://stat.quantiacs.io/regular/task/343939393231303664343261616232333665666532323034343662653936326535353161353038306566633564333132613465326339326330653931646339363A313636323530313135303A37333730333736/regular/task
{
"submission_id": "7941751",
"output": "H4sIAD3BF2MC/+y9X8xl1ZUnRiZmXBnSEjQVgxCGQUJqWtaIns...",
"source": true,
"html": "H4sIAEbBF2MC/+y9a5PcOK4g+t2/Iscdc9vurkynlG972mdmz2...",
"state": null,
"last_data": true
}
Task #7370376

]]>http://quantiacs.com/community/post/840http://quantiacs.com/community/post/840Thu, 08 Sep 2022 06:28:23 GMT<![CDATA[Reply to Calculation of trading strategies on Thu, 08 Sep 2022 06:23:31 GMT]]>@support Hello, yes I can provide you with the logs without the code.
I am still surprised, I followed the simulation. Everything is going well except for the last day. How is it possible that on the last day, it crashes

]]>http://quantiacs.com/community/post/839http://quantiacs.com/community/post/839Thu, 08 Sep 2022 06:23:31 GMT<![CDATA[Reply to Calculation of trading strategies on Wed, 07 Sep 2022 16:24:36 GMT]]>@dark-pidgeot Ok, thanks. If you click on the logs button, there should be info explaining he reason for the failure on Sep 1st. Can you share it?

]]>http://quantiacs.com/community/post/838http://quantiacs.com/community/post/838Wed, 07 Sep 2022 16:24:36 GMT<![CDATA[Reply to Calculation of trading strategies on Tue, 06 Sep 2022 19:15:55 GMT]]>@support 354e802e-85e0-4891-a262-8741e6e449a6-image.png

]]>http://quantiacs.com/community/post/834http://quantiacs.com/community/post/834Tue, 06 Sep 2022 19:15:55 GMT<![CDATA[Reply to Calculation of trading strategies on Tue, 06 Sep 2022 19:13:03 GMT]]>@support 098f8748-2b83-4aa6-af81-77314e896bc0-image.png

]]>http://quantiacs.com/community/post/833http://quantiacs.com/community/post/833Tue, 06 Sep 2022 19:13:03 GMT<![CDATA[Reply to Calculation of trading strategies on Tue, 06 Sep 2022 19:10:39 GMT]]>@support Hello,

when I do the test, it seems ok except on the last day

]]>http://quantiacs.com/community/post/832http://quantiacs.com/community/post/832Tue, 06 Sep 2022 19:10:39 GMT<![CDATA[Reply to Calculation of trading strategies on Thu, 01 Sep 2022 12:40:42 GMT]]>@dark-pidgeot The single pass is ok. However, when the code is run, it will be automatically sliced and run in multi-pass fashion to avoid unintentional forward looking (example: usage of global means).

Here it seems that your system makes no trades at all before 1 Jan 2006. Can you check that visualizing the equity curve?

]]>http://quantiacs.com/community/post/824http://quantiacs.com/community/post/824Thu, 01 Sep 2022 12:40:42 GMT<![CDATA[Reply to Calculation of trading strategies on Wed, 31 Aug 2022 07:07:21 GMT]]>@support Yes, i Use the single pass, I must change it on multi pass ?

]]>http://quantiacs.com/community/post/820http://quantiacs.com/community/post/820Wed, 31 Aug 2022 07:07:21 GMT<![CDATA[Reply to Calculation of trading strategies on Mon, 29 Aug 2022 12:35:38 GMT]]>@dark-pidgeot Ok, thanks. It means that you are using a single-pass approach, not the built-in backtester.

Is your system generating trades since 1 Jan 2006 or you do not have any trade before?

]]>http://quantiacs.com/community/post/819http://quantiacs.com/community/post/819Mon, 29 Aug 2022 12:35:38 GMT<![CDATA[Reply to Calculation of trading strategies on Mon, 29 Aug 2022 06:51:11 GMT]]>@support Hi, the head on the strategy is :

import xarray as xr
import qnt.ta as qnta
import qnt.data as qndata
import qnt.output as qnout
import qnt.stats as qns
from IPython.display import display
import xarray as xr
import qnt.ta as qnta
import qnt.backtester as qnbt
import qnt.data as qndata

data = qndata.stocks.load_ndx_data(min_date="2000-01-01")

]]>http://quantiacs.com/community/post/814http://quantiacs.com/community/post/814Mon, 29 Aug 2022 06:51:11 GMT<![CDATA[Reply to Calculation of trading strategies on Tue, 09 Aug 2022 09:05:56 GMT]]>@dark-pidgeot

Could you send a code snippet showing how you load the data?

]]>http://quantiacs.com/community/post/789http://quantiacs.com/community/post/789Tue, 09 Aug 2022 09:05:56 GMT<![CDATA[Reply to Calculation of trading strategies on Tue, 09 Aug 2022 06:16:43 GMT]]>@support Hello,

thank you for your feedback,

how could I avoid this, please?

]]>http://quantiacs.com/community/post/788http://quantiacs.com/community/post/788Tue, 09 Aug 2022 06:16:43 GMT<![CDATA[Reply to Calculation of trading strategies on Mon, 08 Aug 2022 13:48:31 GMT]]>@dark-pidgeot Ok, thanks. For computing slippage the toolbox uses a fixed percentage of ATR(14), an indicator called the Average True Range, which is computed using the data points for the last 14 days. So to generate a position on 2 Jan 2006, let us say, you need data for the last 15 days also. Otherwise ATR will not be computed.

]]>http://quantiacs.com/community/post/787http://quantiacs.com/community/post/787Mon, 08 Aug 2022 13:48:31 GMT<![CDATA[Reply to Calculation of trading strategies on Fri, 05 Aug 2022 09:12:30 GMT]]>@support When I backtest my strategy, the logs says : WARNING! There are not enough points in the data for the slippage calculation.
Add 15 extra data points to the data head (load data more historical data).
WARNING! There are not enough points in the output.
The output series should start from 2006-01-01 or earlier instead of 2006-01-25

]]>http://quantiacs.com/community/post/784http://quantiacs.com/community/post/784Fri, 05 Aug 2022 09:12:30 GMT<![CDATA[Reply to Calculation of trading strategies on Fri, 05 Aug 2022 09:09:44 GMT]]>@support
Hello, it trades before 2006 but not after 2006. I don't understand the reason, however, in the backtest, it trades over the entire period.

]]>http://quantiacs.com/community/post/783http://quantiacs.com/community/post/783Fri, 05 Aug 2022 09:09:44 GMT<![CDATA[Reply to Calculation of trading strategies on Fri, 05 Aug 2022 08:30:25 GMT]]>@dark-pidgeot Hello, does the strategy trade at all since 1 Jan 2006? It must trade, otherwise it is rejected.

]]>http://quantiacs.com/community/post/782http://quantiacs.com/community/post/782Fri, 05 Aug 2022 08:30:25 GMT<![CDATA[Reply to Calculation of trading strategies on Fri, 05 Aug 2022 08:21:48 GMT]]>@support Hi, my strategy was rejected : Not enough bid information. The strategy must trade from January 1st, 2006
cae159e2-6b6a-4cc0-9c1d-c945dd4a361e-image.png

]]>http://quantiacs.com/community/post/781http://quantiacs.com/community/post/781Fri, 05 Aug 2022 08:21:48 GMT