The In & Out Strategy - Continued from Quantopian

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This thread is meant to continue the development of the In & Out strategy started on Quantopian. The first challenge for us will probalbly be to translate our ideas to QC code.
I'll start by attaching the version Bob Bob kindly translated on Vladimir's request.

Vladimir:
About your key error, did you also initialize UUP like this?

self.UUP = self.AddEquity('UUP', res).Symbol

 

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Goldie Yalamanchi,

The main difference in the luc prieur code is that he applies the momentum filter first and the fundamental filter second.
To solve the leverage problem you should calculate stocks and bond weights once per bar in the same place.
But let's talk about that in the "Amazing returns = superior stock selection strategy + superior in & out strategy".

 

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Very much enjoying the discussion here; we are now officially at 200+ posts (plus the 100+ from Quantopian). A big thank you again to QuantConnect for hosting this discussion and allowing us to backtest strategies/ideas, plus the helpful comments and suggestions from the team (Jared Broad, Derek Melchin, Shile Wen)! To the thread's discussion participants: amazing work, keep it up! Very nice work on multiple in & out algos and looking beyond (stock selection, alternative assets selection, out-of-sample testing - possibly all warranting individual threads at some stage). Very interesting ideas, all!

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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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