This algo uses statistical method to adjust the weight. Measure the success rate of three indicators and calculat the CAPM equation values then add the points gained by all four factors and divided by the total points. Finally adjust the weights of all the stocks held in portfolio.
Ziqi,
This is a really cool algorithm. I noticed that you used schedule_function to update your weights on a monthly basis, but did you know that it's probably the best way to do any 'minutely' level code? For example, I pretty took your exact algorithm, put it in a schedule_function, and set it on minutely to order at the beginning of each day, everyday (See Algo). That's just my opinion though, but regardless, thanks for sharing this.
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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.