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Custom constraints and objectives in optimize API
Mikko M
edited May 3, 2019

I have been trying to find answer to this but it seems it's very hard to find:

I would like to create custom constraints for example:
- checking that the correlation of asset to any other asset in portfolio is within defined bounds for specified period
- maximum drawdown for the combined portfolio does not exceed X% in any point during the past Y days

I would also like to create custom objectives for example for something like:
- Optimize portfolio for maximum CAGR/DD

Is this something optimize can do or should I just use scipy.optimize and just do the actual portfolio ordering for precalculated weights with optimize API?

1 response
Dan Whitnable
May 3, 2019

There's currently not a way to create custom constraints or objectives. However, the scipy.optimize, CVXOPT, and CVXPY modules are available to do optimization and then feed the order_optimal_portolio method the resulting weights (perhaps then adding further constraints). Not an 'optimal' solution I know.

If you are doing any work with these optimization packages it may help the community out if you could post some examples and/or issues here in the forums. There has been a steady interest on that topic for quite awhile but haven't seen many notebook or algo examples.

Good luck!

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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.