I would like to start with adding a dataloader for Quandl Sharadar Data and Pyfolio integration to view the result JSON files.
To load data these 3 steps are needed:
1) A data loader which writes the daily, factor and map files to /Data_q/equity/usa/ (below the code)
2) than run "mono QuantConnect.ToolBox.exe --app=CoarseUniverseGenerator" (for Mac, i guess for windows without mono) this will generate the universes, each day one universe (its in the toolbox, i'm runing it under bin/debug
3) most important, use the docker installation!!! else the results might differ from the cloud (some will be ok, others not)
I experimented with to options:
- the precise one: providing very accurate factor and map files
- the drawback, the data which goes into the files, like dividends or ticker change are not as accurate as the adjued prices from Quandl. I found for example dividends in Yen (if you checked the company webside they match), but adjusted prices are fine. Else I found 5 changes in a ticker but did not found the opposite ticker price data. These two issues give you a lot of error messages, specialy for the ticker....
- the "fake" version (just bulid one today), use the adjusted prices from Quandl, asume that dividents are never paid dividends and ticker changes don't exist. I filter out the double ticker like GOOG.
- you can than run with RAW data, i guess, which should seed up the procces?
- the drawback, I'don't know......you see some issues with that?
Following the code for the 2 solutions.
Derek Melchin
Hi Carsten,
Thanks for sharing this with the community. To generate the transactions and positions DataFrames above, we can utilize the backtest result file in Lean/Launcher/Debug that has the algorithm name.
Best,
Derek Melchin
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Carsten
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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