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stephan vanwoezik

edited Jul 8, 2020

Portfolio Optimization Asset Allocation Market Neutral

Hi Quantopian,
I built this with optimize api but then took it out and was happy to get similar dollar neutral performance with my simple architecture in this model. I also think this is cool because it autosizes off of capital. Just try running with different dollar amounts 10k, 100k, 1m, 10m, 100m, 500m etc... you will notice position counts change for each backtest but leverage and long/short stay within bounds.

Dan Whitnable I'm curious to get your feedback as well as any Q staff. The notable features in this post IMO:

despite not using optimize api, this seems to be fairly risk neutral when referring to backtest risk metrics
the simple architecture lends itself well to autoscaling positions based on capital
Using only 5 simple USEquityPricing data points (daily, weekly, monthly, quarterly, annually) provides remarkable hedge ability during GFC and Covid downturns

Please reply Dan, as there are more concerning matters that I'd like to discuss, but not worth getting into until this gains some traction.
Please review the code, I'm proud of what it does in 140 lines, and also skeptical of the alpha demonstrated.
Thanks,
Stephan

4 responses

stephan vanwoezik

100 m

stephan vanwoezik

200 m

stephan vanwoezik

1 m

stephan vanwoezik

I cannot get similar results porting to Blueshift.com
Is Quantopian's backtester too optimistic?
https://quantra.quantinsti.com/questionDetails/771/Please-broaden-your-universe?utm_medium=email&utm_campaign=quantra-email&utm_source=community-follow-post-mail

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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.