Here's an example of using an RSI factor to reduce the
short_term_reversal risk. Will post tear sheets next.
multi-factor long-short equity w/ RSI-based short_term_reversal risk factor nullification
Here's the tear sheet for the backtest above. Note that if the RSI factor is not included, the
short_term_reversal will be well outside the +/- 0.4 bound, per the new contest constraints.
The size factor is at -0.19, which can probably be fixed by fiddling with the universe or perhaps by adding another factor (a homework assignment...please post your result).
Thanks Alan -
Rather than "winning" I'm aiming for "not being disqualified" at this point.
I'd be interested in comments/questions/improvements (not so much how to improve performance, e.g. via better factors, but how to improve the template/framework).
Dan Whitnable provides the outline of an alternate (and probably better) approach here:
https://www.quantopian.com/posts/hedging-against-factors-for-algos
His example is for
momentum which would be replaced with the RSI-based short_term_reversal for my algo above.
Here's an update without the RSI hack to correct the
short_term_reversal, and instead using the new Q Risk Factor Extractor . Note that I don't yet have the new slippage model incorporated.
Here's the tearsheet analysis for the backtest immediately above. Interestingly, the Q Risk Factor Extractor did not completely beat down the
size risk factor. Maybe because I am tilting toward large caps?
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