Using zipline and ta-lib to create input data for alphalens

Quantopian's open source python stock trading simulator zipline is very powerful and now comes with a mechanism to run daily bar simulations against over 3000 symbols from the quandl library.  It also provides flexible support to many libraries including classic technical analysis indicators.   Now a new tool can be used to more formally evaluate your trading signal.

 

Create custom zipline data bundle from local csv files

Quantopian's open source zipline - a Pythonic Algorithmic Trading Library - now uses an internal format to store open-high-low-close-volume (OHLCV) equity data called a data bundle.  Some examples of how to create bundles are provided in the data/bundles folder but they contain a lot of extra functionality for pulling data from web sources like yahoo.

Here is a basic example of creating a custom data bundle from local csv files.

Use minute bar machi.na challenge csv data in zipline with a custom data bundle

Quantopian’s zipline - a Pythonic Algorithmic Trading Library - is capable of running trading algorithm simulations with 1 minute open-high-low-close-volume (OHLCV). 

Here is an example of how to create a zipline custom data bundle from a local csv file that contains one minute bar data.  It builds on an earlier blog post for how to create custom zipline data bundles.  Then, we will write a simple zipline algo to test it.

Going Pro : The Mathematics of being a Full time Daily Fantasy Player like Condia

fanduel leaderboard december 2013

Like the 40+ US State Attorney Generals, prokopyshen.com believes that playing Daily Fantasy games involves skill – meaning it is not a game of chance or gambling.  So if you are doing good and like the work, what does it take to “Go Pro”?
 
In this post, we discussed at length why Daily Fantasy sites use a Salary Cap to stay in business by being able to demonstrate the games they offer are one of skill.  Today, let us assume that legendary Daily Fantasy player Condia is both skilled and is a fulltime player.  We will use the data from the Fanduel Leader board, make some assumptions  about what a “Pro” should aim for in winning percentage and look at the results as an aid to those who wish to be a ”Daily Fantasy Pro”.
 
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