Quantopian zipline trading algorithm parameter optimization with Spearmint Bayesian Optimizer - Part 1

Quantopian’s zipline - a Pythonic Algorithmic Trading Library – is a powerful platform for creating automated trading algorithms.  Algorithms almost always have tuning parameters that control the entry or exit rules for trades. 

As an example, a trading algorithm using Bollinger Bands (referred to as BBANDS) has three free parameters.  The first is an integer time period for the look-back.  The other two are floating point numbers for the “up” and “down” deviation for the trading signal.  To optimize such an algorithm using a grid scan to explore all combinations is an immense task.

Currently, neither Quantopian nor zipline offer a built in method of optimizing tuning parameters. 

Quantopian’s blog entry on this problem listed a few alternatives, one of which is the Spearmint Bayesian Optimizer open source tool kit.  The results to me were very impressive.

Read more to see how I did it

Winning Quantopian Morningstar data Fundamentals algorithm


In late 2014, Quantopian – the pythonic trading platform - made available programmatic access to fundamental data from Morningstar.  Python trading algorithms can use this data in trading logic.  To introduce the community to the use of this data, developers were invited to submit algorithms exploring this new avenue.


My python trading algorithm submission “Using #Fundamentals to identify uptrending volatile small caps”  was one of seven selected by Quantopian as best showing use of this data.


Read more…

Daily Fantasy player Condia looks to be back for 2014 NFL Fanduel season

Daily Fantasy player Condia – who some suspect is a Full Time Player – is back on the Fanduel Leaderboard after 2014 NFL season week 1 at position 62 with 262 wins.

While I didn’t see him in the few games I played, it is fun to speculate on the work and return needed to Go Pro if indeed he (or she) is doing this and what kind of cash flow was generated in week one.

Click to read more ...

Kawasaki 99916-2164 John Deere AM132715 Fuel Pump Diaphragm failure dissection

Kawasaki 99916-2164 John Deere AM132715 Fuel Pump

We had an older John Deere tractor in the shop recently with what could only be described as a major fuel leak when running.  Idling the tractor in a fixed location resulted in a pool of fuel forming underneath in a short time.  Shutting off the tractor stopped the leak so clearly this fuel was being pushed out under pressure.

Read More to see how it failed...



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