Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Fundamental analysis with dynamic exposure

Hi all,
I run some analysis on fundamental factors. For every factor there are 2 class: one for long side and one for short since I am doig 2 different ranking for the long list and short list.
The equity exposure is dynamic from +1 to -1 and it is based on momentum (simple moving average of 60 day cross 90 days). After ranking factors, there is a filter on stocks and only stocks with positive momentum will be in long list and only stocks with negative momentum will be in short list.

I am wondering how I can improve the algo and avoid drawdown in 2016. I think it can be a good idea to have dynamic weights for the ranked factors based on previous month result using multiple regression. Any idea how to do that?

Thanks,
Michele