Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Weekly rebalance factor model algorithm (1.7 sharpe)

My attempt at a quantitative factor model algorithm.

  1. Quantopian does not support statsmodels DynamicFactor and hence had to use static factors.
  2. When risk model is used in optimizer the P/L and Sharpe drop drastically. All constraints are met even without using the risk model. Not sure why.

Looking forward to feedback.