optimize long and optimize short aspiring to meet contest constraints

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optimize long and optimize short aspiring to meet contest constraints

stephan vanwoezik

edited May 29, 2020

Hi Qsters,
Please chip in your smarts if possible. I have two pipelines feeding two separate optimize api instances. Check it out! I believe (from an engineering POV) I'm approaching the model building process differently than from what I've seen within the rich Q community. No dis, as I'm truly appreciative of the community as well as the organization's modeling guidelines/recommendations... but instead of going long/short on quantiles over a factor, I wanted to isolate a long factor, and a short factor, and optimize on each one separately, within a single algorithm. This has been challenging for me. Now I'm scratching my head on how one would satisfy constraints given that I'm feeding different pipelines to different optimizers.

If you choose to reply, please focus on any Leverage Constraint suggestions you may have, for now. I'm hoping to deconstruct this, one constraint at a time. While I believe the long pipe (R&D timing) and short pipe(deceptive accounting) likely have persistent alpha - to be clear, I'm more interested in the engineering of a model using multiple Optimize Api instances, than improving on particular factor's in this given example.

Blue Seahawk helped me with meeting Tradable Universe Constraint:
https://www.quantopian.com/posts/run-multiple-order-optimal-portfolios

This post is also related to this post:
https://www.quantopian.com/posts/generic-delta-calc

Thanks!

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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.