Algorithmic Trading Project

Algorithmic Trading Project 30%

• Build and algorithm as a modification of the Cross-sectional Equity Template Example (without login or in a incognito browser window open www.quantopian.com –> Research –> Algorithms –> Cross-sectional Equity Template ) including minimum 6 variables (the example uses 3) to create, as in the example, a combined_factor that is a weighted sum for the variables (in the example the combined_factor is just the sum of the 3 variables). Perform the backtesting of your algorithms for the past 6 months and 2 years.
• Information about other data variables that can be used
  • Quantopian data
  • New Feature: Data Reference
  • New Data: FactSet Estimates
• If you do the alphalens analysis of the combined factor porpoised you will have and 2 % extra credit, these analysis should be also published in your GitHub account.
• Write a report in Overleaf explaining what variables did you include and why, a brief explanation of the variables included, how did you assign the weights, and showing the backtesting results. The code should be published in your GitHub account.
• Send links to the Overlaf report and to the GitHub links in the corresponding assignment in Moodle.
• If any of your codes is accepted in the contest you will have a 10 extra credit for each
• The dead line is February 11th, 2020 at 11:55 pm.