Pipeline, rebalancing and the code structure

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Pipeline, rebalancing and the code structure

posted Apr 3, 2019

API Portfolio Optimization Asset Allocation Pipeline Risk Model

Hi everyone,
As I am very new to this site, I would appreciate you sharing your approach when dealing with pipeline, rebalancing, and the code structure. Thanks in advance for any feedback to the following questions:

Pipeline - when you construct the pipeline, do you ever use technical indicators to refine the tradable universe. For example if you are building the strategy that operates at a simple DDS or MVA crossovers, do you filter our stocks based on the cross over in the pipeline constructor or use handle_data function?
Is there any detailed data about how the rebalancing works? From what I understand we pass paramemters and try to maximize alpha, but it seems like a black box if the orders have stop loss or not, for how manu days they are help etc. Can we influence any of this or it is meant to be the black box possibly for a reason to focus to the true alpha during the research instead of the fine tuned risk management?
are there any prebuild functions for a cross over of different indicators at the folrum?

Thanks everyone and happy coding!

3 responses

If you specify factors (such as technical indicators) within Pipeline, then it will output a Pandas DataFrame of those factors. You could apply a mask to these factors and pass it into the screen parameter.
Rebalancing works on a schedule. At the top of your algorithm you should have something like:

algo.schedule_function(  
        rebalance,  
        algo.date_rules.week_start(), # Schedules frequency of rebalance  
        algo.time_rules.market_open(), # Hours offset  
    )

In this example, rebalance() is called weekly at the beginning of each week.
3. Yes, check the API Documentation under Help.

Take a look here. It might seem overwhelming at first, but this might help.

https://www.quantopian.com/posts/efficient-n-days-ago-factor-research-and-algo-templates

thanks a lot!

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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.