Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Fundamental data KMeans clustering
luc prieur
posted

This is an algorithm that clusters stocks based on a set of fundamentals (I have used Max's set of 4 fundamental ratios as a basis). The algo clusters the stock universe around fundamental data. It then tries (and this is where this needs improving) to rank the clusters and take long-short positions on top and bottom clusters. The ranking for now is done on past performance, which is somewhat naive. I am calling on Q's best and brightest to suggest improvement on rank the clusters. Or maybe this is just a dead end.

Some of the code for cluster manipulation comes from a post from Jonathan Larkin.

/Luc

2 responses
James Villa

Hi Luc,

Grant Kielhne has contributed an algo for alpha combination using spectral clustering that follows a pipeline format and conforms to contest specs. Here's the link: alpha-combination-via-clustering You can substitute your choice of clustering routine. Hope this helps.

luc prieur

Thanks James for this. I looked it up and it is quite an impressive piece of code. I have yet to understand the clustering bit, as it clusters 20 factors (samples), each having 5*1715 features. I will look further into it... But really, Grant did a fantastic job.

Mine does not work the same way, as it clusters stocks and not factors. Mine clusters 1500 stocks around 4 factors, creating clusters of stocks with similar factors.

/Luc

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.