Hello,
I am new to Quantopian and I would like to ask you a simple naive question:
Why we should not trade Momentum, ShortTermReversal, Size, Value and Volatility? After all they explain returns and their Alphalens tear sheet may seem good. For example: I checked the ShortTermReversal tear sheet and it has positive IC, alpha etc...
Thanks in advance.
Hi Mirko.
"Simple naieve questions" are often good ones. I don't think there is anything wrong per se with trading the "common risk factors" if you are trading for your own account. However i think that from Quantopian's perspective the key issue is that they are running a fund. The contests here on Quantopian are basically about encouraging people to write algos that Q can use for that fund. Everyone already knows the common risk factors, so algos based on them really add nothing at all in terms of diversification, and Q has more than enough of them already. What Q wants is to try to find something new & different to what "everyone else is doing", and thereby add the benefits of strategy diversification. That's my personal interpretation, not a statement of the official Q position, and maybe someone else can correct me if i'm wrong. However i hope this may be a useful starting point for you. Best wishes.
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