Hi,
Here's an algo that attempts to follow the fundamental factors that are trending. If investing in stocks with high BookValueYield was paying last week, then maybe that'll pay again this week.
There is no position building code, this prototype buys and sells with a single market order so it's not suitable for large accounts in its current form.
Regards,
Warren
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Hi Warren,
Thanks for sharing this with the community! To improve the execution speed, consider replacing the daily History calls in the universe selection method and using a SymbolData collection like in this example.
Best,
Derek Melchin
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.
Thanks Derek.
Well this is embarassing. It appears that all of my fancy factor trend following code above is doing very little in the way of generating returns. The dollar volume screen is responsible for most of the returns. I've included a script below that exemplifies this.
I don't like giving up edges like this for free, but I didn't want to mislead you people about what is happening.
Haha it's always interesting to find you've underestimated the effect of some random factor. Thanks for sharing your algorithms though! They're really helpful for beginners such as myself to look at and try to understand :)
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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