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Simulated Algorithmic Trading with Zipline: Backtesting, Statistics, and Optimization.
Thomas Wiecki@twiecki
About me
About me
Backtesting software
Proprietary solutions exist, but:$$$
No transparency
Lack of community
Excel, Matlab, etc.Transaction costs
Availability of stock (do we find buyers/sellers?)
Market impact of own orders
Introducing: Zipline
Trading simulator/backtester
Open-Source (Apache 2.0)
Event-driven
Batteries includedMoving average, Sharpe, alpha, beta...
Used in production on Quantopian.comContribute back to community
Linus' law: "given enough eyeballs, all bugs are shallow"
http://github.com/quantopian/zipline
Interoperability
Architecture
Go to http://nbviewer.ipython.org/3962843/
Conclusions
Zipline enables fast exploration of algorithmic trading strategies.
Quantopian offers a community, lots of historical data, and computing on the cloud. For free.
To come:Optimization
Papertrading
Come hack Wall Street.
Questions?