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Introducing new stocks into a model
Saravanan Shanmugham
posted

If I am using something like Minimum Invariance algorithm to improve on the performance of portfolio of hand picked stocks how can I do it at quantopian.

I have a hand picked list of stocks in my portfolio based on fundamentals. And I periodically add/remove a stock
from my portfolio. But I would like to use my algorithm use Minimum Invariance methods to improve on the returns by continuosly weighting on an on going basis.

Short of stopping, changing and restarting the portfolio, how can I achieve this change.

Sarvi

4 responses
Dan Dunn

Unfortunately, we don't support changing the stock universe mid-stream of an algo run. You need to declare all of your stocks either by sid() or through set_universe() before kicking the algo off. That works great for backtesting but it's a limitation in live trading. I hadn't really considered it in this light before. I will think about changes we can make to support this usage better.

How often do you think you would add new stocks? Daily? More frequently? Less?

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Saravanan Shanmugham

On average it might be once in a few months in my case since it will be based on the fundamentals of the stock or economy and that doesn't change daily. But I could see it happening in bursts over a few days every few months.

So I wold say daily would be good.

Sarvi

Dan Dunn

OK. Thanks.

August Heim

I would add stocks every minute.

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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.