So,
I have some rankings and systems I've been trading on some other sites that work completely market neutral and that I've tested buying and selling 50+ stocks every week, month, quarter, etc. from a universe with no selection bias that's rebuilt each rebalance period based on PIT data and existing stocks.
I would like to rebuild them on here and put them into the contest. The problem is, I can't.
To do this, I need:
a) Better Rules interface for constructing a PIT universe of stocks based on criteria I set up. The current get fundamentals is extremely limited - for example I have to impose 'values' as opposed to ranks or ranks against historical averages - or technicals. I general I like to set up Universe rules that are checked against all publicly available stocks at the time - and returns several hundred to several thousand stocks.
b) I then like to use a real, multifactor ranking 'module' that I apply to this entire universe to rank stocks. So, maybe I have - say - 10 core factors - 3 value, 3 quality and 3 technical. And I want to combine them into one multi-factor ranking system. Maybe the 'fundamental factors' require me to look back at various historical values and compare the stock with all stocks, as well as with its sector and industry. Maybe I need to rank all the stocks in the core universe before returning my buy and sell list. These are the types of systems I have found have both a core philosophy (for example replicating fundamental bottom up analysis with a bunch of 'expert nodes') and solid backtesting results that aren't based on selection bias or highly tuned parameters. Many market neutral funds are doing similar things. However, I see no way to rebuild these easily on Quantopian? The multifactor ranking and ability to scan the entire universe of 'possible stocks' is key. Both are very limited here (or seem that way to me after 2 or so weeks). I then would need to impose sector and beta neutrality (or targets that vary based on a market rank). These can be done here (although I don't know how to aim for sector neutrality - but it seems like I could probably program it?)
So... I'd just like to vote for the ability to do this here.
Other programs I have used have had prebuilt options simplifying this. If you could expand the ranking options and - expand the number of stocks that can be 'ranked' as well as the number of user defined 'multifactor' rankings that they could be ranked against, and have more examples of these types of systems that would help.
Best,
Tom
