Finally, I managed to get around to cleaning up this notebook to readable standards. I have also taken the liberty to add the backtest results to combine both the pre and post earnings strategies together.
Only if you want to test recent time periods (last 2 years or so). I think you can still get it to work by changing the end date to before Aug 2016
For context, Cheng presented a webinar with us a few weeks back. The recording can be found on YouTube on the Quantopian channel along with lots of other new video content we've been producing this year.
Disclaimer
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.
@Grant
I wanted to have the OOS test since I initially developed the strategy on free data portion. My meager contest earnings are more or less paying for it as well.
Hi Cheng Peng,
I'm a huge fan of Behavioral Finance and have implemented off Q platform the Herding Effect / Follow the Leader logic in an agent based multi-strategy, swarm optimization, winner takes all and/or ensemble framework. Your Behaviorial Arbitrage logic based on pre and post earnings is spot on.
Could a variant of this logic under Quantopian L/S market neutral framework using Optimize API with constraints be the implementation of your winning contest entry? If so, kudos to you! Then also there is something to be said about using premium alternative data and Behaviorial Finance.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.