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Building a pipeline

Just trying to build a pipeline. Aiming for:

  • Use some filter to reduce the sample to "relevant" stocks:
    Q500US
    volume ( >10MM)

  • Use signals, either built-in or custom factors
    still deciding the signals...TBD

  • Rank signals

  • Create merged rank of signals
    weighted ranking...TBD

  • Create a long/short position
    how many stocks long/short...TBD

Still work in progress...TBDs means that I either don´t know exactly what works better or so far I don´t know how to code it so ideasare welcome. The overall strategy itself is not defined...I just want to beat the market!
I used a pipeline build by the Quantopian team and I´m adapting it given my needs and capacity to actually modify anything.

2 responses

Some updates

Use some filter to reduce the sample to "relevant" stocks:
Q1500US
30 days dollarvolume > 50MM
market capitalization top 500

Use signals, either built-in or custom factors
William´s VIX FIX
Momentum
Rank signals

Create merged rank of signals
not weighted ranking

Create a long/short position
top 50 long
bottom 50 shortstrong text

Just an update of pipeline