long-short multi-equity algo

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long-short multi-equity algo

edited Jun 12, 2017

Contest Hedge Fund Portfolio Optimization Market Neutral Pipeline

Here's an example perhaps of interest. One thought would be to see if this could be applied to it:

https://www.quantopian.com/posts/machine-learning-on-quantopian-part-3-building-an-algorithm

2 responses

Here's the same backtest, but with:

    set_commission(commission.PerShare(cost=0.0, min_trade_cost=0))  
    set_slippage(slippage.VolumeShareSlippage(volume_limit=1, price_impact=0))

I've been able to run a backtest back to 2010 (reportedly the time frame typically used for evaluating Q fund algos). It looks pretty good, but is a pig that can't be loaded onto the forum, and into the research platform. I'm working with Q support to understand why.

One curiosity is what a hedge fund is supposed to do in the first place, for its customers. Presumably, when the market (SPY) gets choppy, the hedge fund portion of an overall investment portfolio should smooth out the returns. But when there is a bull market, then flat returns on the hedge would be o.k., since it is a hedge against the inherent volatility of the market (and perhaps if one tries too hard to get the hedge returns up during a bull market, it is self-defeating).

Feedback and improvements welcome. As I mentioned above, I'm particularly curious if the alpha combination can be improved, with ML or otherwise.

stephan vanwoezik

isn't your volatility custom factor just going to weigh on high priced to low priced stocks?

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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.