This algorithm is roughly based on 2 books: Benjamin Graham's "The Intelligent Investor" and Patrick O'Shaughnessy's "Millenial Money". I am hoping to improve it in the nearest future by telling it to sell only in the case if the Sell - Buy of any given stock is positive, by allocating a different weight to each stock based on the market cap and by hopefully including: some of the more complicated HFT strategies and sentiment analysis.
Simple algorithm mainly based on Value (and Millenial) approach. (To be imporved)
Nice looking code! I ran a few backtests, and my biggest question is are you planning on implementing any sort of logic to protect against drawdown?
Delman Woodrum, although Drawdown does somewhat worries me my main focus is on improving the buying/selling functions. I am currently trying to allow my algorithm to buy more than 10 stocks and I also want to make my algorithm to sell stocks ONLY if it has positive return. And so on. In other words, as of right now Drawdown is not my strongest concern. But thanks for the response, I didn't expect to hear from anyone that quickly.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.