Price Action Lab Joins Quantopian Contest

Price Action lab has joined the Quantopian contest with a strategy developed by our software. The newly developed capability of code generation for the Quantopian platform was used to implement the strategy.

Quantopian provides capital, data, a research environment, and a development platform to algorithm authors (quants.) At this point the platform can be used with equity and ETF data but there are plans to include futures and forex data.

Price Action Lab has developed automatic code generation capability for the Quantopian platform. This new capability will allow our software users to join the Quantopian community and take advantage of the rich features of this cloud-based backtesting and live trading platform. Click here to see the full announcement with a link to example code.

We used the code for a DIA strategy. The DIA trading strategy was developed by an earlier version of Deep Learning Price Action Lab (DLPAL) in April 2013 with in-sample data from DIA inception to 12/31/2009. The out-of-sample performance in the Quantopian platform using the code generated by DLPAL shows 147.5% total return versus 121.6% for the benchmark (SPY). Sharpe is 1.78 in the out-of-sample, resulting in a t-statistic of 4.54, which is exceptionally good.

Note that patterns are identified on daily data but the exits are determined based on 1-minute data. This increases the accuracy of the backtest.

Below is a screenshot of the Quantopian backtest report for the out-of-sample from 01/04/2010 to 08/16/2016:

DIAT4S3_20100104_20160816

We joined the Quantopian contest with the above strategy. We did not develop a new one to keep data-mining bias low.

We highly recommend to quant traders to join Quantopian and test their strategies for equities and ETFs in an environment that allows to

  • Develop trading strategies online
  • Backtest strategies on 1-minute data with realistic fills
  • Participate in contests
  • Get a percentage of profits from licensing profitable strategies

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