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Multi-strategy aggregator
Britt O'Halloran
posted

The idea here is to run multiple different algorithms "in-parallel". Each day, each algorithm indicates long or short, and a relative strength of long or short. Those outputs are normalized on a -1 to 1 scale, with -1 meaning really short, and +1 meaning really long.

Average all the indicators to come up with a composite score for the day (-1 to 1), and order accordingly.

Need to:
- add more strategies
- potentially weight strategies heavier than others (or based on market conditions? i.e. mean reversion does better during a volatile market)

1 response
Ryan Davis

Hey Britt,

Nice use of some basic technical indicators. Have you thought about doing some parameter optimization to the strategy (i.e. what is the best look-back period to use for vwap, mavg, etc.)? Maybe also do some optimization on the scoring system?

Ryan

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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.