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Factor Research

I know a few of us are working on facor based models.

I found this research on factors to be pretty useful

https://www.factorresearch.com/research

Will share some algorithms soon

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I love that website, how are you going about implementing factors? The way I was thinking about doing it when I get around to it was importing the data of the factor indexes and use the linear regression method to get the beta etc of the factor to the stock! Looking forward to your algorithms!

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This is a really interesting link thanks for sharing! Market Timing with Multiples, Momentum & Volatility was a great read, which explored investing in the market when valuations are low and not investing when valuations are high. For those interested in implementing factor-based risk/investing models, look into using the Algorithm Framework. This divides the algorithm into pre-defined core modules such as Risk Management and Alpha Creation. This segments the algorithm in a way that will make models easier to create and share. For example, Risk Management models all receive an array of portfolio targets and return the changed targets. Here is an example for anyone looking to get started. Hope to see models shared very soon!

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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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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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