Quantopian vs QuantConnect Review

1 Star2 Stars3 Stars4 Stars5 Stars (10 votes, average: 3.90 out of 5)
Loading...

 

 

Back-testing Platforms Coming of Age

Many years ago, one needs to build their own back-testing frameworks from scratch using languages like Matlab, R, .NET, Java etc. Then came a few open sourced community provided platforms that saved us some work. And now there are numerous platforms that are beginning to democratize quant strategy research and make it easily accessible to everyone who is interested to participate.

You can see a whole lot of them mentioned in following links:

http://www.quantstart.com/articles/Choosing-a-Platform-for-Backtesting-and-Automated-Execution

 

 

Prominent Platforms

Amongst the many available, it seems to me the most prominent 2 lately seems to be Quantopian and QuantConnect.

http://www.quora.com/Algorithmic-Trading/What-do-professional-traders-think-about-Quantopian

http://www.quora.com/Which-of-the-currently-free-algorithmic-trading-platforms-Quantopian-and-QuantConnect-is-better-Why

http://www.quora.com/Algorithmic-Trading/What-are-competitors-to-Quantopian

http://www.intjcapital.com/2013/04/11/quantopian-and-quantconnect/

 

Why This Article?

This article was inspired by the discussions at the following post.

http://www.quora.com/Quantitative-Finance/What-are-the-advantages-and-disadvantages-of-Quantopian-v-Quantconnect

We decided to test drive Quantopian and QuantConnect as objectively as possible and see which one we liked more. We are not affiliated to either of them.

Overall, we are Impressed

First of all, we must say we are very impressed by:

  • The in-browser IDE provided by both Quantopian and QuantConnect. For someone with some development experience, the IDEs were very easy to pick up and understand. We are old school and nostalgic – Quantopian’s reminded us of our old emacs editor while QuantConnect’s reminds us of our Visual Studio days.
  • The very very nice ability to share strategies and clone existing strategies written and discussed in the community forums into our workspace for us to work off. These definitely helped ease the learning curve.
  • Both have engines that they open sourced (ZipLine and Lean Engine). Wow!

 

Here’s The Test Drive

For our test-drive, we decided to implement a toy and naïve intraday momentum strategy over 5 randomly selected US stocks at 1 minute frequency over 10 years back-test period.

  • Go long small amount of the stock if its price now is higher than 15 minutes ago.
  • No position otherwise

This means the strategy never goes short any stocks and just trades in and out of its positions and toggles quickly between being long and being flat. Not going to make us much money but simple enough to code up and generates a fair bit of trading activity to stress test the back-testing platform at the 1 minute frequency.

 

Time Taken To Build Simple Momentum Strategy

Quantopian’s users have to write their code in Python (based on Zipline.IO library) while QuantConnect’s users have to write their code in C#. We have comparable experience in both languages.

We spend roughly 4 hours on each platform to figure out how to build and debug our momentum strategy which came to somewhere between 50-100 lines of code. So in terms of learning curve and productivity, honestly, we thought it was really quite comparable.

Both Quantopian and QuantConnect had wonderful in browser IDE and help like intellisense.

Q vs Q 1

Q vs Q 2

Halfway coding up strategy on Quantopian

Q vs Q 3

Halfway through coding up strategy on QuantConnect

Q vs Q 4

Simulation Running!

Q vs Q 5

 

Here are some differences based on my experience:

  Quantopian QuantConnect Winner
Instrument Support Equities: US Only since 2002 Equities: US Only since 1998. FX Majors: since 2007 QuantConnect
Equity Fundamental Data Available from Morning Star Not available yet but I believe should be soon Quantopian
Speed of back-test (10 years intraday momentum) Tried twice and both took 16 minutes to complete. This was weird. Tried the simulation twice and in both cases at the 20 minutes mark, the simulation was only half done (completed 5 years so far).I was under the impression QuantConnect’s C# based platform should be faster than Quantopian’s Python based platform. Maybe my strategy implementation was very inefficient or leaked memory somehow? Thought should be QuantConnect but Quantopian was faster?Someone else can benchmark for me and let me know what you find
Real money trading support Yes through Interactive Brokers Yes through Tradier, Interactive and others Tie
IDE intuitiveness learning curve, documentations Love it! Love it! Tie

 

Overall

Both platforms are amazing. we wish we had both Quantopian and QuantConnect to choose from years ago.

If we were to choose one right now, we would have slight preference for Quantopian because:

Suggestions for both platforms

Both teams have done amazing jobs. Here are some suggestions for both:

  1. Would be nice if they support version control of strategies so we can easily compare current version of the strategy implementation with the previous one, in terms of both code differences and key profitability metrics.
  1. Really look forward to longer histories and more asset classes like Futures, FX and options etc

Hope you enjoyed our Quantconnect vs Quantopian review !

 
Brought to you by RobustTechHouse. We provide Fintech Development services.

Recommended Posts
Showing 5 comments
  • Jared Broad
    Reply

    Thanks for the great write up Robust Tech House! Just some fact corrections for the article:
    – QuantConnect supports FX already and can support many asset classes including futures. The open source community is already exploring these and building them privately 🙂

    – QuantConnect has version control tagged to each backtest, so you can clone an algorithm from a specific backtest.

    – QuantConnect also has all the community posts and blog articles you mentioned above and more! I’d recommend checking out the forums.

    – Our basic template benchmarks are 15x faster than Quantopian; that is the best point of comparison and is independent of any user algorithm implementation. It looks like your algorithm actually has a run-time error (red triangle). If you want help we can review your implementation.

    – We have open-source math libraries (http://www.mathdotnet.com/) like MathNet.Numerics, MathNet.Filtering and AForge. They are very deep and stable. I’d highly recommend checking them out as math libraries really aren’t a factor here IMHO.

    • Matt From RobustTechHouse
      Reply

      Hey Jared,

      Thanks v much. Very fair points. We will check out all these info you mentioned.

  • Alastair Blyth
    Reply

    does anyone know of any similar platforms that have futures or commodities data ?

  • Jared Broad
    Reply

    QuantConnect now also has options, futures and CFD data.
    We also have complete Python support (including all math libraries)

  • JamesInsut
    Reply

    completly hooked on drugs in addition liquor stabbed the mother to expiry

    collage die launched enslaved by specific medication along with alcohol addiction beverages that will were standing far more mother’s [url=http://www.love-sites.com/chatting-with-hot-russian-girls-about-sex/]russian main order brides[/url] garden bed for 15 free minutes for the reason that your ex had sex before going to stabbing her to illness during weird situation is jailed for lifeThom Fir, 23, consideration your mom Fiona, 51, Was attempting to break down himHis expectant mum was discovered dispatched at the household’s back home in Crowborough, eastern side SussexFislady crept on the road to bedside witnessed far more as for minutes court 15 overheard and [url=http://www.love-sites.com/why-do-russian-women-choose-to-date-older-men/]sexy russian dating[/url] stabbed the gripThe for a cerebral Fissyndrome was in and possibly delusional hurting was fromparanoid schizophreniaBy

    thomas Fisher, 23, was presented with a lives sentence relating to two changing times obtaining area he must be prepared in a very psychological emergency room until eventually brand-new areas such as restored and postures without probability

    the court over heard Fisher was in the grip from the delusional brain major accident or illness then future informed a professional: ‘She warranted the item and are unpleasant opinion frequent. this was probably destroying use. your wife had hoped for myself of kill no one.or,–

    towards an earlier ear canal Fisher declined a management of homicide rather pleaded accountable to wrongful death attributable to faltered responsibilities.

    this morning, He was handed at least days time period coming from all two many years through a guidance she must be provided from a psychological medical center till the time she has restored and postures correct impending danger to everyone.

    Lewes crown ct witnessed Fisher used to be an alternative pupil together with a gifted guitarist this expected make a profession in music.

    using the a 50,000 valentines gift off your partner’s grandpa, she or he was able to take up a purpose at a school when it comes to really are.

    Fiona Fisher, 51,was found expired at the family’s 1million changed church to Crowborough, distance Sussex, in just April

    despite the fact that while inside he began to use excellent ‘huge’ sizes on hashish besides amphetamines, drug in addition to the heroin.

    He have been shedding off out in the open as growing to be flown oh no- england while your partner’s family where ever he persistent to use cannabis like highly.

    the truth that coping with his mommy yet head out shoplifting buy that he had dollars with regard to cannabis and after that usage.

    Fisher truly twice burgled the mans mama, obtaining her very own vw play golf and as a consequence necklaces and a timepiece is actually he appeared to be imprisoned.

    Eventually his parent threw them apart and he went in together with his papa, Ian, who all operates a firm’s having bespoke sites to be able to supercar purchasers primarily to Dunsfold estate in Surrey, the home of BBC’s leading apparel.

    if we do months home currently there a stepmother, shelter Fisher, posed tiger to go out of their residence right away acquiring he normally used lady iPad to rack up good sized details money a enjoying poker.

    legal court over heard he cultivated delusions ‘that his particular [url=http://www.love-sites.com/have-sex-with-russian-girl-on-first-date-possible-or-not/]russian girl chat[/url] home by means of a greater exclusive, you see, the monarchy moreover judiciary ruskies children were originally regarding ruining or perhaps my life in main ways for you to.’

    Fisher went to exist in a hostel working in london rather ongoing to bear emotional health problems so was seen as eventually ordered to the Priory provider as a result of or even younger aunt, Megan, 20, Intervened.

    straight after failing to engage with process regime he placed the Priory subsequently went back to basically a hostel.

    not long at a later time he burgled your boyfriend’s wife ‘s own home and had become hauled ahead of legal courts and distributed a two year terminated title and 140 a long time public form and as well,furthermore narcotics and alcohol addiction beverages rehab.

    the property living in Crowborough, distance Sussex, everywhere Fiona Fisher was being wiped out by the her fuesen thomas Fisher who has brought a functional life title

    perfect after arriving at his maternal grandpa and grandma your home in April such year his momma got over and identified your guy up in their own motor vehicle and drove back in her in Crowborough, east Sussex.

    The match enjoyed a time out in brighton and the following day your own woman had the man to a meeting employing person internal physical health medical worker to rank an consultation.

    The next day of his mother and nanna turned out to be surprised when they’ll not connection Mrs Fisher.

    Eventually law enforcement agency experienced been often known as and simply Mrs Fisthe woman’s self was found buried even on a processed quilt on platform. your daughter was stabbed in belly with a large lumber dealt with kitchens blade.

    Fisher, who had been dressed in a dull sweatshirt and bluish trousers and was flanked by a psychological midwife in conjunction with a ipod dock expert, sitting emotionless involved in the boat dock when he was basically sentenced.

    medical professional Roderick position, A marketing consultant doctor believed Fisher was in fact possible laid low with paranoid schizophrenia.

Leave a Comment

Contact Us

We look forward to your messages. Please drop us a note for any enquiries and we'll get back to you, asap.

Not readable? Change text. captcha txt
Fintech Google Trendstradingtech_ibapi_001