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Radically Open-Source Algorithmic Trading Engine

LEAN is the open-source algorithmic trading engine powering QuantConnect. Founded in 2012 LEAN has been built by a global community of 180+ engineers and powers more than 300+ hedge funds today.

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This research is under review. To publish this research attract three community upvotes.
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Documentation discussion alpha-streams/pricing-an-alpha


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  • Notebook

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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Emilio Freire


35.5k Pro ,

Hi Guys!

A question regarding this:

Uniqueness

Is your alpha highly similar to other Alphas in the market? Does it utilize identical assets to Alphas already listed? Listing a near identical Alpha will likely drive the price of both Alpha models down.

Does the calculation of Uniqueness take into account previous versions of the same alpha? I noticed some of my alphas lose uniqueness as I release new versions of it.

Thanks!

Emilio

 


Link Liang


6.1k Pro ,

Hi Emilio,

Yes the previous versions are taken into account when we calculate Uniqueness, since it compares against all present equity curves twice a day mixing between live and paper.

Thanks for your support!


Shailesh Raval


1k Pro ,

Can one set Alpha price to some set (say 10% or 20% or X%) percentage of net profit generated over billing period?  Mening Alpha will charge more if it makes more profit and will charge less if it makes less profit.. 


Jared Broad


STAFF Pro ,
No as it is difficult to assign profit to an alpha which can be just one of
many factors in a portfolio. We suggest you set a price you are
comfortable with and let the funds maximize its value.

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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