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Setting Up A Backtest

  • Data Sources
    • Norgate Data for stocks
    • CSI Data for futures
    • Quandl is a FREE data source
  • Backtesting Engine
    • Zipline by Quantopian
      • Major downside of zipline is that is only aware of a single world currency. Back testing securities with multiple currency denominations will not work.
      • Works with both equities and futures
      • Should have its own Python environment as specific versions of libraries are required
  • Troubleshooting Python, Anaconda, and Zipline Install
    • You may run into version capability issues (I am using Python 3.5)
    • To create an Anaconda environment in Python 3.5 with Zipline installed complete the following:
      • In your ‘root’ environment:
        • conda install nb_conda
      • In your ‘Zip35’ environment:
        • conda install ipykernel
        • conda install tornado=4.5.3 (compatibility downgrade)
        • conda install pywin32


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