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QuantConnect Backtesting Tutorial

Module 3 covers financial data sources, backtesting frameworks, and a tutorial on using QuantConnect. It details free and affordable data options for trading, as well as various backtesting platforms. Additionally, it includes a case study for designing and backtesting a primitive trading strategy using a Jupyter Notebook.

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신동윤
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9 views16 pages

QuantConnect Backtesting Tutorial

Module 3 covers financial data sources, backtesting frameworks, and a tutorial on using QuantConnect. It details free and affordable data options for trading, as well as various backtesting platforms. Additionally, it includes a case study for designing and backtesting a primitive trading strategy using a Jupyter Notebook.

Uploaded by

신동윤
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd

Module 3

Content
• Financial Data
• Backtesting Frameworks and Platforms
• QuantConnect Tutorial
• Case Study: Design a primitive trading strategy and backtest it
Free, or Almost Free Data
• Alpha Vantage
• Stock and ETF, Forex, Cryptocurrencies, Technical indicators, Sector performances
• Intraday or daily and above, Up to 20 years
• API in Python and other languages [Link] (For example,
[Link]
• Nasdaq Data (formerly Quandl)
• Futures, Stocks (until 2018/3/27), Economic Data, Global index, Short interest data
• Daily data API in Python
• Yahoo Finance, Google Finance
• API in Python
• Not recommended for real research or trading
Free, or Almost Free Data
• Free on the cloud: Quantconnect with free account tier
• Free with the book: machine-learning-for-trading
• Free but less organized: Kaggle
• Free from brokers: interactive brokers, tradier, etc.
Affordable Data
• IEX Cloud
• [Link]
• Marketdata
• Alpaca
• [Link]
• [Link]
• Any many others…
Backtesting Frameworks and
Platform
• Backtrader
• Zipline/Quantopian
• Blueshift
• Lean/QuantConnect
• Algotrade
• Bt
• Finmarketpy
• [Link]
• IBridgePy
QuantConnect Tutorial
Introducing the Algo Lab
Step 1
• Sign up/Sign in
• Enter Algorithm Lab
Step 2
• In the left menu, choose “Projects”
Projects
• Choose “Create New Algorithm”
Step 3
• Choose “Use Default Template”.
Step 4
Computational Resources
• Backtest Node Cluster
• .py files
• Research Node Cluster
• .ipynb files
• Live trading Node Cluster
• We will not use them
Before you start coding
You can
• Organize the files
• change the project’s name to “Folder Y/Project X”
• Share files
• Not available for free-tier account
• Clone files
• it is a good idea to modify a file cloned from existing source
• For example, you can copy and paste the code from the last box in
“Module3_SMA.ipynb”
Case Study: Design a primitive
trading strategy and backtest it

• See the Jupyter Notebook “Module3_SMA.ipynb”

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