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Quant Coding > Martingale Volatility Testing

Martingale Volatility Testing

For a client we have prepared Quantopian back-testing scripts that involved working with a variation of martingale trading, volatility factors and stock screening and selection as well as functions that run every minute of every hour, The back-tests were done on a universe of 3000 US stocks and in addition to standard assurance of quality and consistency of the back tests that we give every customer we implemented extensive logging of the variables of the algorithm so the client can have his own track-and-trace of the trading algo. This allowed us to get to know more and more about the Quantopain back-testing platform, many of the classes, methods and functions that are used as well as many of Quantopian objects available during trading. The algo involved some heavy multi-million array calculations so we have sped up the process by utilizing compiled code NumPy arrays.

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