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- Build and algorithm that selects stocks using an alpha factor using as model 10kChallengeTemplate.py and Cross-sectional Equity Template Example.py and submit it UNAL Class Challenge that is the $10K Third-Party Challenge: Design a Factor for a Large US Corporate Pension but only for UNAL students.
- The submission deadline for this challenge is Apr 24, 2020.
- You have to submit in the challenge the Alpha decay analysis.ipynb notebook replacing the backtest ID "
bt = get_backtest('5dff9b4550e6b34e37429544')"with the backtest ID of your algorithm. The Alpha decay analysis notebook is also available in the same blog post where the $10K Third-Party Challenge: Design a Factor for a Large US Corporate Pension was announced. - Information about other data variables that can be used in the algorithms:
- The 10kChallengeTemplate.py is a slight modification, constraints=[] —-> constraints=[opt.MaxTurnover(0.2)]), of the template algorithm based on an algorithm provided by Leo M that Thomas Wiecki posted Jan 24, 2020 in blog post where the $10K Third-Party Challenge: Design a Factor for a Large US Corporate Pension was announced.
- For the class you post the Alpha decay analysis notebook of any of submissions in github and upload the link in the corresponding assignment in Moodle the dead line for this is May 3.
- How to Get an Allocation: Writing an Algorithm for the Quantopian Investment Management Team Jamie McCorriston edited Jun 8, 2018 - quantopian
- Sharpe Ratio - investopedia
- Custom Factors
- Pipeline Custom Factors - youtube
- Example Factor: Momentum – github
- Factor Analysis – Momentum Rank – quantopian
- A Simple Momentum Rotation System for Stocks Anthony FJ Garner posted Dec 17, 2015 – quantopian
- Learn from the Experts
- Episode 1: Full Algorithm Creation with Vedran - youtube
- FactSet Estimates - Consensus - quantopian
- Blog, notebook and algorithm template - quantopian
- Episode 2: Fast Iterative Factor Development with Kyle - youtube
- Relevant fundamental factors? Grant Kiehne posted Sep 9, 2018 - quantopian
- FactSet Estimates - Consensus - quantopian
- FactSet Estimates - Actuals - quantopian
- Grabbing Past 2 Years of EPS Surprises with Zack's Earnings Surprises Andrew Nguyen edited Nov 8, 2018 - quantopian
- Efficient N Days Ago Factor Research and Algo Templates Kyle M edited May 15, 2019 - quantopian
- Blog, notebook and algorithm template - quantopian
- Episode 3: Building Sector-Specific Factors with Leo - youtube
- Getting an Allocation, June 2017 Update Dan Dunn edited Jun 14, 2017 - quantopian
- Quality Factors Rob Reider posted Jan 4, 2017 - quantopian
- Quality Minus Junk Clifford S Asness Andrea Frazzini and Lasse H Pedersen 2019 - yale
- Factor Momentum Everywhere Tarun Gupta and Bryan Kelly 2019 - ssrn
- Taming the Factor Zoo A Test of New Factors Guanhao Feng Stefano Giglio Dacheng Xiu 2019 - ssrn
- The Other Side of Value The Gross Profitability Premium Robert Novy-Marx 2012 - rochester
- Blog, notebook and algorithm template - quantopian
- Episode 4: Avoiding Overfitting via Cross-Validation with Joakim - youtube
- Tackling overfitting via cross-validation over quarters Thomas Wiecki edited Oct 26, 2018 - quantopian
- Blog, notebook and algorithm template - quantopian
- Episode 1: Full Algorithm Creation with Vedran - youtube
- Corporate Pension Fund Live Tearsheet Review & Winners Announcement Webinar - youtube
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