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Fundamental Factor Long/Short Strategy: A New Core Equiity Paradigm by AQR

This algorithm can be used as a template for fundamental factor stock picking strategies. You can build your own version by changing the factors, ranking rule, rebalance frequency, weight etc.

The Idea comes from AQR white book. This paper talks about a long only strategy which uses more than one measures of value, momentum and quality. I used the simple version but rebalanced more frequently(once per month).

Please find the fundamental data available here. If you discover some powerful factors, it's a good thing to share to the thread so that we can generate more interesting ideas :) 

 

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Hi HanByul_p, it is a bug in the original algorithm.

def FineSelectionFunction(self, fine):

self.long = [x for x in sorted_symbol[:self.num_fine]]
self.short = [x for x in sorted_symbol[-self.num_fine:]]
self.topFine = self.long + self.short

return [i.Symbol for i in self.topFine]
long_short_list = self.long + self.short
if (i.Invested) and (i.Symbol not in long_short_list):
self.Liquidate(i.Symbol)

From the above code, long_short_list is not a list of symbol object, it's a list of fineFundamental object.  So i.Symbol will not be in long_short_list forever, which means all the invested stocks will be liquidated. Here is a fixed version

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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.


Jing Wu, Thanks !

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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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