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Help needed for factor analysis and backtesting

I am studying this CGO factor and find it has some merit (ic positive and increasing cumulative returns) .

2 responses

Here it is

Thanks @ Vladimir !

I am a beginner of quantopian so I am not really sure how to interpret the factor analysis result other than reading IC and the cumulative curve.

For some reason, it does not work as expected when I run a backtest (I remove commission and slippage parts). Can you and other spot any wrong-doing in my algo?