Hi
I am trying to create an alpha with multiple weighted factors. One of the references I found was:
https://www.quantopian.com/posts/alpha-factor-combination-in-pipeline-how-to-fancify-it
I am wondering if there is a way in the Optimize API to optimize the weights, while maximizing alpha and keeping a constraint on the weights. Also, can I use this in Alphalens?
Thanks!