We have set out on a journey to build a systematic trading strategy.
This is our story…
Asset Classes
EquitiesDeciding on a universe to trade:If mirroring an index you will need to take the index joiners and leavers into account.Reduce survivorship biasHandling dividendsOption 1 is to use total return time series which assumes dividends are directly reinvested into the same stock (easy to model).Option 2 is to leave the price series alone and just…
Complete Backtest Using Ingested Zipline Data
Import necessary functions in PythonSet target weights for each tickerSet rebalance rules, i.e. monthlySet benchmark, i.e. SPYSet start and end dates – should match trade dates in zipline ingested filesCreate benchmark fileMake sure benchmark dates align with trade datesRun backtest analysisIf there are modules to import – %run analysis.ipynbSave output to csv – results.to_csv(‘result.csv’)
Ingesting A Zipline Data Bundle
Update Users/NAME/.zipline/extension.py (needs to be updated every time you are ingesting a bundle)To locate you will need to unhide files, Command + Shift + Dot (.) on macUpdate the start_session & end_session to match the trading start date and end dateUpdate bundle name and ensure file location is correctUpdate csvdir.py (one time fix)Line 183 -…
DLN Capital 