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 :) 


Update Backtest

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):

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


Jing Wu, Thanks !


Update Backtest


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