New Video: Learn from the Experts Ep 5: Alpha Factor Optimization with Cheng Peng

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New Video: Learn from the Experts Ep 5: Alpha Factor Optimization with Cheng Peng

posted Apr 30, 2020

In this video, Quantopian community member and guest speaker, Cheng Peng, walks through his algorithm creation process with Quantopian’s Thomas Wiecki. This video starts with a short interview about Cheng’s background in software engineering and his attempts to build his own backtesting engine to his discovery of Quantopian and the work he has done on our platform. The video continues with Cheng walking through an example algorithm he created on Quantopian.

As a long time community member and speaker at multiple Quantopian events, Cheng shows how he puts his skills to use on the Quantopian platform. He also explains the reasoning behind his decisions, allowing you to walk away with a better understanding of how financial algorithms work and a starting point for creating your own.

You can watch it at this link, or below:

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Disclaimer

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.

8 responses

Here is the notebook used in the video!

Emiliano Fraticelli

Thank you very very much! 👍👍👍👍

Hi @cheng, thanks a lot for contribution. Either for the explanations and for the elaborated notebook. I’ve learned a lot with this one!

Hi @Chen,

It's not the focus of the lesson but, just out of curiosity, what the CVOL factor represents? Why do you multiply the stdev by the sqrt of 255?

    def compute(self, today, assets, out, close):  
        out[:] = np.nanstd(close, axis=0) * (255 ** 0.5)

Thanks in advance.

@Marc

It's supposed to represent annualized volatility. 255 is actually a typo since it's supposed to be the number of trading days in a year (252) - oops.

Thanks for the clarification @Cheng

@Cheng This was an amazing video. I learned a lot. Thanks!

@Cheng : Thanks For sharing with the Community, Iam a newbie on this but was insightful to see your presentation.

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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.

About Quantopian

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.