Walk-Forward Analysis Demonstration with backtrader

DISCLAIMER: Any losses incurred based on the content of this post are the responsibility of the trader, not me. I, the author, neither take responsibility for the conduct of others nor offer any guarantees. None of this should be considered as financial advice; the content of this article is only for educational/entertainment purposes.

Finally I can apply a walk-forward analysis!

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Getting Started with backtrader

A few weeks ago, I ranted about the R backtesting package quantstrat and its related packages. Specifically, I disliked that I would not be able to do a particular type of walk-forward analysis with quantstrat, or at least was not able to figure out how to do so. In general, I disliked how usable quantstrat seemed to be. The package’s interface seems flexible in some areas, inflexible in others, due to a strange architecture that I eventually was not willing to put up with anymore.

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Who Survives Riddler Nation?

Introduction

Last week, I published an article on learning to fight in the Battle for Riddler Nation. Here’s a refresher of the rules:

In a distant, war-torn land, there are 10 castles. There are two warlords: you and your archenemy. Each castle has its own strategic value for a would-be conqueror. Specifically, the castles are worth 1, 2, 3, …, 9, and 10 victory points. You and your enemy each have 100 soldiers to distribute, any way you like, to fight at any of the 10 castles. Whoever sends more soldiers to a given castle conquers that castle and wins its victory points. If you each send the same number of troops, you split the points. You don’t know what distribution of forces your enemy has chosen until the battles begin. Whoever wins the most points wins the war.

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Winning the Battle for Riddler Nation; An Agent-Based Modelling Approach to the Solution

Introduction

Oliver Roeder runs a column on FiveThirtyEight called “The Riddler,” where he proposes logical and mathematical puzzles for readers to solve. On February 3rd of this year, he posted in Riddler Classic the problem, “Can You Rule Riddler Nation?” Here is the description:

In a distant, war-torn land, there are 10 castles. There are two warlords: you and your archenemy. Each castle has its own strategic value for a would-be conqueror. Specifically, the castles are worth 1, 2, 3, …, 9, and 10 victory points. You and your enemy each have 100 soldiers to distribute, any way you like, to fight at any of the 10 castles. Whoever sends more soldiers to a given castle conquers that castle and wins its victory points. If you each send the same number of troops, you split the points. You don’t know what distribution of forces your enemy has chosen until the battles begin. Whoever wins the most points wins the war.

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The End of the Honeymoon: Falling Out of Love with quantstrat

Introduction

I spent good chunks of Friday, Saturday, and Sunday attempting to write another blog post on using R and the quantstrat package for backtesting, and all I have to show for my work is frustration. So I’ve started to fall out of love with quantstrat and am thinking of exploring Python backtesting libraries from now on.

Here’s my story…

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On Programming Languages; Why My Dad Went From Programming to Driving a Bus

In Data Science from Scratch, a book introducing data science using Python, Joel Grus said the following about R (pg. 302):

Although you can totally get away with not learning R, a lot of data scientists and data science projects use it, so it’s worth getting familiar with it.

In part, this is so that you can understand people’s R-based blog posts and examples and code; in part, this is to help you better appreciate the (comparatively) clean elegance of Python; and in part, this is to help you be a more informed participant in the never-ending “R versus Python” flamewars.

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Deceit in Politics; An Analysis of PolitiFact Data

Naturally, both Hillary Clinton and Donald Trump have been accused of lying; if I had told you in 2012 that both candidates from both political parties were being accused of lies, you would likely have given me a blank, disinterested stare; this alone is not shocking. What is shocking, though, is the level of deceit and how central a theme it was to this campaign season.

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