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Attempt to create Q optimization

Hello All

Last year, I did some work on creating optimization similar to Q. Recently, I got a request to post the latest version. So here it is!

The code almost replicates the Q opt results for "Maximize Alpha". In addition to that, you can control for factor and style risk and add quadratic penalty on beta (market/SmL/VmG) deviations via the objective function.

Let me know if it helps or if there are any issues.

Thanks
Shiv

2 responses

Thanks again for sharing this!

risk_loading_pipeline is not open source either. Will try to figure it out.

thanks!