Any advice on making this algorithm satisfy the risk requirements?

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Any advice on making this algorithm satisfy the risk requirements?

edited

API Seeking Help Getting Started Contest Risk Management

Greetings,
This is my first algorithm on Quantopian. I can't figure out how to make it satisfy the style requirements, and with certain adjustments to only funds it trades outside the Quantopian universe. I would appreciate any advice on how to make it:
- Invest all of the capital given
- Satisfy investment style requirements
- Trade only within the Quantopian Tradable universe
EDIT:
I would like to clarify that QTradableStocksUS() is provided both as a mask for all factors and as part of the screen

6 responses

You might want to start with $10 million initial capital instead of $100,000. Also try and trade with a larger top and bottom percentile for your factors.

Hello Malloy,

I've added some constraints (sector neutral & beta neutral). Unfortunately, by construction, your algo is too focused on short terme reversal factor. Try to relax pipeline filters or add another factor to mitigate this.

Good luck !

Thank you Mathieu, these changes are very interesting.
I'm a little confused about the style focus. The alpha is weighted towards size, not recent returns.
It still seems to not be dollar neutral. Any ideas?

Joakim Arvidsson (Cream Mongoose)

Hi Maloy,

I changed @Mathieu's version slightly so it meets all contest requirements. I had to relax your Pipeline outputs a bit, as the Optimizer was having difficulty finding a portfolio that meets all requirements. Good luck and be careful not to overfit (this one likely is).

:)

Welp, should be entertaining if not educational. Kind of outdid myself this time.

@Blue Seahawk
Just to address the question in the code:
I originally had (&) | (&). However, I had a hunch that either low cap or low rets would work, which turned out to be right. Thus, (&) | (|)

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.