Hands-On Machine Learning for Algorithmic Trading

Combining factors from diverse data sources

The Quantopian research environment is tailored to the rapid testing of predictive alpha factors. The process is very similar because it builds on zipline, but offers much richer access to data sources. The following code sample illustrates how to compute alpha factors not only from market data as previously but also from fundamental and alternative data. See the Notebook multiple_factors_quantopian_research.ipynb for details.

Quantopian provides several hundred MorningStar fundamental variables for free and also includes stocktwits signals as an example of an alternative data source. There are also custom universe definitions such as QTradableStocksUS that applies several filters to limit the backtest ...