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Removing positions from porfolio
Naman Pujari
posted Nov 16, 2017
Seeking Help Getting Started Tools and Tips Portfolio Optimization Pipeline

Hi guys,

I've been working on a ML based algorithm and I've run into a major problem.
Basically, my code uses pipline (which on a daily basis choosed 8 to 12 stocks to trade). The problem I am having is that the positions stack on top each other as days progress. So I might start of, on the first day with something like 4 longed positions and 4 shorted positions, but in a month I'll end up with around 39 longed positions and 64 shorted positions. I want to get rid of the pipeline-chosen positions at the end of each day, so that the next day I start with a fresh batch of pipeline-chosen positions the next day.

This causes extremely high leverage! I've been looking for solutions pertaining to this problem and haven't been able to find one yet. Please look at my algorithm to better understand this problem. (Look the custom data graph for the long position/short position counts)

  • Naman
2 responses
Ernesto Perez
Nov 16, 2017

Hi Naman,

The problem is that your algorithm tries to close its positions right at market close, so there is not enough time for orders to fill. Instead, you could schedule close_position to execute 1 or 2 hours before market close so orders get enough time to fill.

An even better approach would be to use the Optimize API to rebalance your portfolio. With the TargetWeights objective you can specify a breakdown for your target portfolio, and then use order_optimal_portfolio to move your current portfolio to that objective. Attached you will find an example that also specifies a MaxGrossExposure constraint to cap leverage at 1.0.

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Naman Pujari
Nov 17, 2017

Thank you!

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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.