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Overnight-returns-based-on-four-factors-model-1st-backtest
XINYI LI
posted Jan 22, 2018

I have done a backtest for overnight return based on four factors model for one month with the help the this post:https://www.quantopian.com/posts/long-short-pipeline-multi-factor. The strategies are as followings:

1.Create four factors model based on the paper: https://arxiv.org/pdf/1410.5513.pdf; Those factors are: size factor,momentum factor, volatility 2.factor and volume factor.
3.Trade Q1500US equities
4.Make the ranking for every factor,and then take an average ranking for the four factors.
5.Trade according to the average ranking for the combined four factors ranking.Short the bottom 100 equities and long the top 100 equities.
Set the leverage :long 0.5;short-0.5

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