Not quite ready for prime time, but here's an update. I'll post some comments later, but I figured folks might want to have a look. See the links below for background:
https://www.quantopian.com/posts/on-line-portfolio-selection-from-grant-k
https://www.quantopian.com/posts/share-algorithms-to-be-re-written-for-quantopian
https://github.com/quantopian/quantopian-algos/blob/master/OLMAR.py
That's pretty neat Grant. You guys are doing some fascinating work.
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@Grant: I noticed the algorithm is very volatile. I suppose that's due to us being 100% invested in the market at all times but I'm not sure if there is a good alternative to that as the algorithm is sorta designed to do that. I suppose using daily data instead of minute might help.
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.
Hello Thomas,
I need to take some more time to tinker with the algorithm to sort out what the next steps are. There are three parameters to consider:
A larger number of securities might reduce the volatility, along with using a portfolio weighting over the moving average window length that the author describes (which effectively eliminates the window length as a tunable parameter). Note also that the author ran his testing on daily data, which I plan to sort out how to do in the full backtester (e.g. only submit orders to update the portfolio at 10:00 am every day).
Once I have time to do more testing, I'll provide an update in a new post.
Hello Thomas & Dan,
I'm getting a feel for how to "tune" the OLMAR algorithm under the daily backtest. I'd like to see if I can constrain the full backtest so that the results match the daily backtest. Also, potentially the OLMAR algorithm could be applied on a full minutely basis (rather than daily, as it was first proposed by its originator). I need to understand better how mavg(days) works, so I posted https://www.quantopian.com/posts/mavg-days-transform-details.
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.
