How to get ohlc and volume data during backtest.

Alphathon
#1

How can I get ohlc and volume data when using alphien.portfolio.Portfolio() to backtest. As I am going to use these data to construct factors, I find only close price is pass to Payout function with Portfolio() default setting. What kind of parameters should I set to get the full data?

#2

Hi Xuch0013,


the function alphien.data.getHistoryData() is used to get the full data. The fields for use with stock tickers are: Open Price, High Price, Low Price, Close Price, Volume and bb live. Please refer to this introductory notebook for first steps to the Alphien platform:

Alphien DashboardPython.ipynb?type=public&notebook_id=93c392e3-93a6-40ec-8f64-6ecb4c183477


This notebook explains the details of UBS S&P500 competition:

Alphien Dashboard-Outperform_the_SP_500.ipynb?type=public&notebook_id=94972af3-825a-4c6b-a9c2-49cb4f86a808


If you are interested in a more detailed example, a user Wolfofwallstreet has shared an example strategy for the competition:

Alphien Dashboard-_Python.ipynb?type=public&notebook_id=0d78dcd5-6e2b-4e92-9b5a-bce1c2306741