I would like to organize lots of algorithms into one portfolio in the Quantopian development framework. In this case the algorithms would work independently from each other, and they would be different inertial systems. I think increasing the number of different asset classes and algorithms can make a portfolio more well-balanced.
Does anyone have experience with this?
The framework I presented here is designed for this.
You create one alpha generator for each independant strategy you want to add to the portfolio. The portfolio manager will then blend all the algorithms, giving each one equal dollar allocation (you can easily change the behaviour if you want to give different weights to the alpha generators) and compute the portfolio target you want to hold.
In case you want to short a security in one alpha generator and be long in another, each alpha will remember what position it asked but the portfolio manager will allow to put a unique order on that security to reach the good allocation. You will then avoid to pay commission and spread on the buy and short orders that each alpha would have independantly made.
You can then use the alpha generators you created to combine them in another way of with different parameters in other portfolios.
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