Rebalance Ep 7: Universe Modules, & Research

Rebalance is a weekly flash briefing of new features and updates for you, our QC community.  In our seventh episode we’re happy to share:

  1. New Modules Shipped! Want to try trading by sector? Earlier this week we shipped 5 new ETF universe modules focusing on energy, precious metals, technology, US Treasuries and Volatility ETFs. You can access the modules in the Algorithm Lab by scrolling through the menu of modules and using the “New Project” wizard.
  2. A New Strategy! This week one of our team members, Alethea, implemented the 2017 paper “Demystifying Time-Series Momentum Strategies” by Nick Baltas and Robert Kosowski. Alethea’s implementation addresses weaknesses from typical time series strategies by adjusting the allocation of assets according to their correlation. Find the accompanying write-up here!
  3. An Improved Research Environment Is Coming! We are launching a new research infrastructure that will be more maintainable, scalable, and resilient. The new environment will plug directly into your algorithm projects. Look for the beta version coming soon!
  4. An Alpha Streams Contest! We will be launching a competition for the best Alpha Streams using themed universes soon! You can prepare for this contest by trying out the shipped modules mentioned above. Stay tuned for more details!
Sherry Yang

By: Sherry Yang

18.09.2019
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