QuantConnect 101

“You have no authority here! Your orders mean nothing!”

QuantConnect is a platform for designing, testing, back testing and trading your algorithmic trading strategy. With the rise of algorithmic trading and retail interest in the stock market, I thought I would highlight some of the outstanding parts of this platform. Welcome to QuantConnect 101!

I Go, You Go, We Algorithmic Trading

So what is algorithmic trading and why do we need a platform for it? Well first and foremost, lets look at what an algorithm is. An algorithm (in the most simplest of senses) is a finite set of steps, that are computer-implementable, used to solve a specific (or group of) problem(s). The are the implemental expression of the logic of how to solve a problem.

Most algorithms can be generalized to solve a set of similar problems. So can we design algorithms, that can be programable, to make a profit in the stock market? Well… that it is the whole base of what algorithmic trading is! QuantConnect is a platform that works to give you all the tools to create those successful trading algorithms.

But what tools are there? Firstly, they provide packages and support for two different languages for you to program you algorithm in. You may choose between C# and Python. These are two of the most popular, powerful, and widely known languages currently, and they both have a lot of extensive libraries to help you succeed.

Baby’s Got Back … Test

So you are a Pythonista or C Sherpa, and you have leveraged QuantConnect library to write the one algorithm to rule them all (or so you think). What comes next? Well, you are going to need to test that algorithm before you throw some money at it. You know, unless you want to live on the wild side.

Thanks to QuantConnect, we are in luck! They have a giant library of historical financial data to back test your algorithm with. You can build it right in to your algorithm! This is great if you want to train your algorithm, or just want to see how it holds up over certain periods of time.

QuantConnect also computes a lot of those pesky success (or failure I guess…) metrics for you. The QuantConnect web app will tell you your Sharpe ratio, as well as your Probabilistic Sharpe Ratio (how likely your algorithm has >1 Sharpe Ratio). It also calculates win and loss ratios, rate of return, and plenty of other metrics which I am still understanding!

Stocks, Crypto, and Options … Oh My!

“But Calvin!” you say as we swirl our $15 ‘craft’ Lemon Drop martinis at the local Farm-to-Table restaurant, “my father trades stocks, it is so passé… We all know the future is in crypto… or actual Futures.” Well. I got good news for you! QuantConnect has support and back test data for ALL of it: Stocks, Options, Cryptocurrency, Futures, and even Tulip bulbs (this last one might not be true).

By supporting so many different financial assets, QuantConnect gives you flexibility to really create strong and powerful algorithms. Being able to trade across indexes and even asset types, allows you to create very powerful Risk Management and profit driven algorithms.


But what if you don’t know where to start building an algorithm? Well Quant Connect also has many different tutorials. From Market Basics, Trading Strategies, Algorithm Design, all the way to actual QuantConnect algorithm implementation. Though, my favorite learning tool are the user submitted trading algorithms. They read like small academic papers. They share the theory behind the algorithm, and the source code to implement it. It is a great starting point as you not only get insight in to market strategies, but how to leverage the power of QuantConnect as well.

This embodies the whole QuantConnect approach though. They work to give you as many tools as possible for you to be successful, for you to optimize your portfolio. This is important in the current economic climate. If your money isn’t working for you, it is working against you. Honestly, this is why I have become a fan of QuantConnect. Take charge of your Finances.

P.S. Did I mention the majority of its functionality is FREE?

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