This is my implementation of the Reweighted Price Relative Tracking strategy documented in the research paper by Zhao-Rong Lai et al. Shout out to the “Paper-to-Profit” substack for calling my attention to it. The code is not meant to be deployed as-is but serves as an educational template for those interested in modern portfolio optimization techniques based on academic research...
This is a factor optimization strategy, written for Quantconnect LEAN (Python). The attached code demonstrates how to combine technical and fundamental factors in an optimized portfolio, focusing on the most heavily-weighted stocks in SPY. Feel free to re-use this, customize it, make it better and re-share. General Architecture The strategy uses a two-factor model combining...
This is my take on scheduled intraday universe selection, written in Python (LEAN). The attached code is not a tradable strategy, it’s a template for others to use in building their own strategies. Feel free to re-use this, customize it, make it better and re-share. General ArchitectureThere are three universe selection phases: Coarse, Fine and Intraday (scheduled). In the Fine and...
After a long work day I often challenge myself to write the least amount of code to generate the most profitable equity curve. I never have any intent to trade the thing –it’s deliberately overfit– but I find it to be good calming way to unwind. Some people have a Zen garden on their desk. To each his own. Last night I wasn’t up for a challenge, but I still wanted the...