Fundamental Factor Long Short Strategy by Michael Boguslaw

Michael Boguslaw

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https://www.quantconnect.com/tutorials/strategy-library/fundamental-factor-long-short-strategy

I have a question about the above article. At the top, the artical says "This strategy consistently beats the market and has solid economic intuition." However, the backtest provided at the bottom shows the algorithm performing poorly. What am I missing?

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Michael Boguslaw

Accepted Answer

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Rahul Chowdhury

STAFF ,

Hey Michael,

The ideas for this strategy come from this paper, which you can download. The paper discusses the historic performance of certain strategies. The strategies described in the paper are based on economic principles and are shown to consistently beat the market over a period of 32 years. The project available in the tutorial is an implementation of the ideas from the paper and is not a direct reproduction of them. The project serves as an example for how those ideas could be implemented and was not made with profitability in mind.

Best
Rahul

Michael Boguslaw

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