How can I add in the code for backtesting the
quantopian.algorithm.order_optimal_portfolio
?
thanks!
optimal_portfolio?
There is an overview of using the order_optimal_portfolio method in the Getting Started Tutorials. Specifically, look at Lesson 7 (https://www.quantopian.com/tutorials/getting-started#lesson7).
The basic steps are:
- Create a pandas series with the assets one wishes to trade as the index. The values are either the desired portfolio weight or, alternately, the perceived relative 'alpha' of the asset.
- Create any constraints one wants to place on ordering. Typically this would at least be
MaxGrossExposure. See the complete list of constraints here. - Choose whether one wants the optimizer to minimize the 'distance' from the target weights, or maximize the combined 'alpha'. Use either the
TargetWeightsorMaximizeAlphaobjective respectively. - Finally, call the
order_optimal_portfoliofunction with the desired objective and any constraints.
That's it. The optimizer will place orders, taking into consideration any outstanding orders, which best meets the desired objective and constraints.
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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.