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Pydata12 upload

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Pydata12 upload

  1. 1. Simulated Algorithmic Trading with Zipline: Backtesting, Statistics, and Optimization. Thomas Wiecki @twiecki
  2. 2. About me
  3. 3. About me
  4. 4. 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
  5. 5. Introducing: Zipline● Trading simulator/backtester● Open-Source (Apache 2.0)● Event-driven● Batteries included – Moving average, Sharpe, alpha, beta...● Used in production on Quantopian.com – Contribute back to community – Linus law: "given enough eyeballs, all bugs are shallow"● http://github.com/quantopian/zipline
  6. 6. Interoperability
  7. 7. Architecture
  8. 8. Go to http://nbviewer.ipython.org/3962843/
  9. 9. 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
  10. 10. Come hack Wall Street. Questions?

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