Stocks strategy

spancham

Hi @support
I saw an example where we could load stock data. Not sure if it's current or legacy.
Anyway, I tried a simple stocks strategy just to continue learning the platform and got an error:

ValueError: indexes along dimension 'time' are not equal

Here is the code, I tried to follow what you had suggested for another strategy (the pairs one):

import numpy as np
import pandas as pd
import qnt.data as qndata
import qnt.backtester as qnbk
import xarray as xr

long_threshold = 600
short_threshold = 300

def load_data(period):
    data = qndata.stocks_load_data(tail=period)
    return data

def single_pass_strategy(data):
    tclose = data.sel(field='close')
    yclose = data.sel(field='close').shift(time=1)
    
    tt = tclose.isel(time=-1)
    yt = yclose.isel(time=-1)
    
    uptoday = list(tt > yt).count(True)

    if uptoday > long_threshold:
        return xr.where(tt > yt, 1, 0)
    elif uptoday < short_threshold:
        return xr.where(tt < yt, -1, 0)
    else:
        return xr.where(tt,0,0)

weights = qnbk.backtest(
            competition_type="stocks",
            load_data=load_data,
            lookback_period= 4*365,
            start_date= "2017-01-01",
            strategy=single_pass_strategy
)

Do you mind taking a look and advise how I can get it to run?
Thanks again for all your help.

support

@spancham it is nor current, nor legacy, it is a leftover of an experiment, we are adding new instruments in addition to futures and crypto and testing them, please be patient for stocks. The logic will not change respect to futures or cryptos. Just more instruments and some details (dividends and splits).

Sheikh

@support
How are you guys coming along with the Equity data?
Thanks.
Sheikh

support

@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.