Hi folks,
I guess the title says it all and I'm curious to hear your opinion.
I want to create a momentum-strategy for single stocks and questioning myself how I could possibly combine various signals into one.
There's only one condition: it has to be an equally-weighted portfolio.
Of course, I could standardize each variable and just add them up and do some sort of portfolio sorts. But as many signals are positively correlated, I guess this is not the best way.
Cheers Zug Zwang
You could encapsulate each signal in a CustomFactor and sum them. However, I have read other threads that Quantopian discourages to use pure additive factor combination as the alpha ends up being the average (multiplying can work if you really know what you are doing. There must be a strong economic rational behind).
Grant coded a good example here https://www.quantopian.com/posts/multi-factor-example-algo
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