How to do this optimisation using Quantopian Optimize API?

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How to do this optimisation using Quantopian Optimize API?

edited

Show Q Portfolio Optimization

Hi Q,

I have the following maximisation currently that I want to port to optimize API. Could you please tell me how to go about it?

def trade(context, data):  
    stocks, alphas, betas, components = build_model(......)  
    (n,m) = betas.shape  
    x = cvx.Variable(n)  
    obj = cvx.Maximize(alphas.T * x)  
    constraints = [ sum(cvx.abs(x)) <= 1.,  
                    cvx.abs(sum(x)) < 0.01 ]  
    c = components  
    constraints.append(cvx.abs(x - betas * (c * x)) < 0.001) # how do I do this with optimize API?  
    if context.prevX is not None:  
        constraints.append(sum(cvx.abs(x-context.prevX])) < 0.5)      # turnover constraint  
    prob = cvx.Problem(obj, constraints)  
    prob.solve()  
    x = np.ravel(x.value)  
    # now we trade x weights

Best regards,
Pravin

1 response

To Q support -

Will the Optimize API code ever be published? This would be one way to tackle problems like this one...build on the existing Optimize API code, by pasting it into the algo, and then adding CVXPY constraints.

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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.