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?