ZackChang007 / worldquant-brain-simulator

This is a simulator to help with backtesting your alphas offline for platform WorldQuant Brain

WorldQuant BRAIN Simulator

Help Wanted: See issue #3 for more details.

Introduction

This is a simulator to help with backtesting your alphas offline for platform WorldQuant Brain

Demo

Some problems exist (data, expressions, procedure), so the results are still different from the platform's.

Totol time cost is about 20 minutes on one core, target is 5 minutes per core.

Project Structure

worldquant-brain-simulator/
|-- alpha
|-- data
|   |-- stock_snowball_us.db
|   `-- stock_snowball_us_full.db.tar.gz
|-- history
|-- LICENSE
|-- README.md
|-- requirements.txt
|-- src
|   `-- simulator
|       |-- alpha101.py
|       |-- database.py
|       |-- expression.py
|       |-- fetch.py
|       |-- __init__.py
|       |-- settings.yaml
|       `-- simulate.py
`-- test

Todos

• Too slow, is it possible for Python to be faster?

• Examine the data => There are truly some problems with data from Snowball. Differences detected when computing the vwap.

• Examine the procedure

• Examine the fast-expression implementation

• Add docs to code

• Do not use string date

• Change date and next_day to prev_day and today

• Truncation correctness (current not necessarily working)

• Implement multiprocessing

References

• The fast expression and Alpha 101 implementation: WorldQuant_alpha101_code