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Run multiple portfolios for comparison

Using the basic fundamental factor tutorial, I've been playing around with some factors. 

This tutorial is creating a long/short portfolio where you go long top ranked stocks and short poorest ranking ones. I would instead like to compare each quintile against the benchmark (say SPY) to see if the alpha is consistent and gets worse for each quintile and at what times different factors might perform better. 

I imagine this would be done by looping the portfolio creation and creating multiple portfolios (one for each quintile), but not sure how that can be done and the only post I can find about it from 2014 and doesn't seem that valid anymore. 

Does anyone have any ideas? Coding in Python. 

 

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Hi Quanter123,

Unfortunately, It is not possible to trade multiple portfolios on a single algorithm. One way to work around this is to run multiple back tests, one for each quintile, to compare their performance. I highly recommend checking out the boot camps. They cover many different topics, including using fundamental data.

Best
Rahul

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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.


Update Backtest





0

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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