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Hello everyone
I've been trying to implement a version of Andreas Clenow's algorithm, from his book Stocks on The Move. In this version I want to select the stocks based on momentum, then build an equal-weighted portfolio. However, I don't know why but the Long exposure of my algorithm is falling below 1, how can I fix it? I want to keep the exposure in 1.
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Louis Szeto
Hi Felipe
Note that the `algorithm` argument in OnSecuritiesChanged of your alpha model is QCAlgorithm class but not your algorithm class. So the line
will always fail as the custom variable `current_portfolio` is not in `algorithm`. This also affects the next line to be unprocessed:
Now, `self.stocks_to_trade` contains some symbols that are already removed from the universe and having no more subscription on their data. Insights on these symbols will not be traded but the positional size is reserved for them, causing exposure not adding up to 1.
We've attached a backtest removing the above part as a reference.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Felipe Lins
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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