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Earnings Drift with Accern Data - Collaboration Request
Steven Hayes
edited Apr 20, 2016
Seeking Help Using Data Collaboration Request Pipeline

Hi

This was created off Seong's Earnings Drift algo and I added Accern data and changed quite a bit of things. I can only test until Aug 2015 due to a data issue with the earning release data-set that they are looking into but here are some results.

Please help improve it, this is set to only Long, not a contest algo, just personal use. Would love to see what others can do with this.

Maybe some others that know how to incorporate more advanced things like machine learning can get better returns while maximizing draw down.

The reason I set Sell and Stop Limits is because I don't really trust putting any algo in without them to an extend just in case things went sideways.

3 responses
John O'Dwyer
May 20, 2016

Steven,

I really like your algo. I've been updating it to run in Q2 so I can paper trade it soon after I pay for the data. I'm not positive why but after updating it to Q2, two things are different. 1) The performance isn't as good and 2) leverage can spike. I'll keep working on it but I thought I would post my changes so far.

John

John O'Dwyer
May 25, 2016

I figured out what was wrong with the leverage. I also removed the stop and move the leverage recording to when logging the position.

Seong Lee
May 25, 2016

Hi Stephen,

I believe we've resolved the issue you were experiencing a few weeks back. If you're still having problems please let me know.

Seong

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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.