How to set minimum number of stocks in portfolio and maximum position concentration?

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How to set minimum number of stocks in portfolio and maximum position concentration?

posted Apr 21, 2018

Hey guys,

I have a question regarding the portfolio optimization API.

I would like to hold 500 stocks in my portfolio and the maximum position weights should be 2% for example.

Does someone know how to achieve this?

If I maximize the alpha factor of my pipeline output of 500 stocks and set the maximum position concentration to, for example 2%, I find only 50 stocks in my portfolio. How can I change it to constantly 500 stocks in the portfolio with a maximum concentration of 2%?

Thanks a lot for your help

kind regards

Marcel

1 response

to hold 500 stocks you need to set the bounds to 1/500 = 0.002:

opt.PositionConcentration.with_equal_bounds(-0.002, 0.002)

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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.