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Borrow Fees Alpha › Part 7: Zipline Parameter Scan

Zipline Parameter Scan¶

Parameter scans provide a convenient way to see the effect of applying a filter such as our borrow fee filter. We run the scan with the MAX_BORROW_FEE filter set to None (disabled) and 0.3:

In [1]:
from quantrocket.zipline import scan_parameters
scan_parameters(
    "avoid-high-borrow", 
    start_date="2018-04-16", 
    end_date="2024-04-30", 
    capital_base=2e5,
    param1="MAX_BORROW_FEE",
    vals1=[None, 0.3],
    filepath_or_buffer="avoid_high_borrow_MAX_BORROW_FEE_results.csv", 
    progress="M")

Then view the tear sheet:

In [2]:
from moonchart import ParamscanTearsheet
ParamscanTearsheet.from_csv("avoid_high_borrow_MAX_BORROW_FEE_results.csv")

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