QuantConnect – the only Game in Town

At least in my town. Sometime back I kind of decided to use Quantopian as the backtesting platform of my choice. QuantConnect was a close second best. Now, a few months later, Quantopian has decided to end the live trading. No choice, but to go back to the second choice.

QuantConnet has several advantages, it was a pretty close decision even when there was a choice. Now, there is little choice – makes things easier.

For trading, my preference is definitely for a managed language (read C# or Java). Using C# and Visual Studio on daily basis at work (I work at Microsoft, hence a disclaimer: my opinions about Microsoft’s products may be biased), it seems like a perfect choice. For those of us who feel C# is behind Python and R for data science and time series analysis, well the Python support on QuantConnect seems to be getting better and more advanced by the day. That’s right, although the core engine is C#, QuantConnect supports Python and F# as well.

So we are good, at least for now.

Comments

  1. systemtrader says:

    Tried migrating my algos to quantconnect. I’ve found that the futures is buggy and lacks important features like continuous contracts or an easy way to access the front contract.

    Their backtest is not as fast as my custom java code backtesting, and there are no parameter optimization features.

    I also miss quantopian portfolio optimization API.

    And for a Linux user like me, working with Mono is a PITA. Their web IDE can work for some people, but I not for me: no debug, poor intellisense…

    It’s a nice idea, but after a few weeks of fighting against their futures framework I’m back to my original java code.

    1. quintuitive says:

      Thanks for sharing. I am also trying to get my head around the lack of continuous contracts. This basically nulls the whole futures backtesting. They ought to add it, the sooner the better.

      QuantConnect provides Visual Studio integration via a plugin, I assume for the data, so debugging should be a breeze. No luck if you are a Linux-only user though.

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