From the original post by Simon Thornington on 22 August 2015: Equity Long-Short
Rather than limiting to [0:100] longs and shorts, the Pipeline output is split into long+short sets by a median value and selected by top/bottom deciles.
I like the low Beta, diversity of stocks and near equal long:short distribution auto-scale by market dynamics rather simply. Need reducing the drawdown and reigning in the leverage.
Karl
Hi Karl -
I think the code could be re-factored but still retain the basic mechanics. Perhaps the whole thing could be put into a pipeline alpha factor (e.g. see https://www.quantopian.com/posts/quantcon-nyc-2017-advanced-workshop ).
It looks to me like the universe definition could be replaced with the Q1500US. The 'ebit_ev' is the primary alpha factor, with top and bottom deciles selected. Finally, there's a beta neutralization step (if I'm following correctly), which presumably could be replaced with the dollar neutral and beta limit constraints in the Q optimization API (again, see https://www.quantopian.com/posts/quantcon-nyc-2017-advanced-workshop ). Or would this not capture the essence of the strategy?
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