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Please Help Gauge my Algorithm
Ayo Taiwo
posted
Getting Started Lectures

Hey folks, I'm new here and currently going through the Quantopian tutorials. I must say that I find them to be well-written.

To my question: I generated a factor and tested with Alphalens as per the tutorial. Out of curiosity, I decided to do a back test and thus copied my code from Notebook to Algorithm. In Algorithm, I set a simple criterion to choose stocks to long and short. The criterion was to short the bottom 75 assets and long the top 75 assets ranked by my chosen factor. I did a backtest and obtained positive returns. My issue is that my choice for long and short was arbitrary. I would like your input regarding if my approach makes sense and hw I can improve it. Thanks

For reference, I am talking about my "make_pipeline" function

2 responses
Vladimir

@Ayo,

Try to replace:

    for sec in pipe_results[pipe_results.longs].index.tolist():  
    for sec in pipe_results[pipe_results.shorts].index.tolist():

to this:

    for sec in pipe_results[pipe_results['shorts']].index.tolist():  
    for sec in pipe_results[pipe_results['longs']].index.tolist():
Ayo Taiwo

@Vladimir, is there a performance difference between using the dot notation(as I used) and the quotation format that you suggest? Thanks

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