1. Simulated Algorithmic Trading
with Zipline: Backtesting,
Statistics, and Optimization.
Thomas
Wiecki
@twiecki

2. About me

3. About me

4. Backtesting software
● Proprietary solutions exist, but:
– $$$
– No transparency
– Lack of community
● Excel, Matlab, etc.
– Transaction costs
– Availability of stock (do we find
buyers/sellers?)
– Market impact of own orders

5. Introducing: Zipline
● Trading simulator/backtester
● Open-Source (Apache 2.0)
● Event-driven
● Batteries included
– Moving average, Sharpe, alpha, beta...
● Used in production on Quantopian.com
– Contribute back to community
– Linus' law: "given enough eyeballs, all bugs are
shallow"
● http://github.com/quantopian/zipline

6. Interoperability

7. Architecture

8. Go to http://nbviewer.ipython.org/3962843/

9. Conclusions
● Zipline enables fast exploration of
algorithmic trading strategies.
● Quantopian offers a community, lots of
historical data, and computing on the
cloud. For free.
● To come:
– Optimization
– Papertrading

10. Come hack Wall Street.
Questions?