Here is alpha #41 from the 101 alphas project. I would love to hear ideas about combining alphas!

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2701346

https://www.quantopian.com/posts/the-101-alphas-project

Clone Algorithm

395

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Backtest from
to
with
initial capital

Cumulative performance:

Algorithm
Benchmark

Custom data:

Total Returns

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Alpha

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Beta

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Sharpe

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Sortino

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Max Drawdown

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Benchmark Returns

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Volatility

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Returns | 1 Month | 3 Month | 6 Month | 12 Month |

Alpha | 1 Month | 3 Month | 6 Month | 12 Month |

Beta | 1 Month | 3 Month | 6 Month | 12 Month |

Sharpe | 1 Month | 3 Month | 6 Month | 12 Month |

Sortino | 1 Month | 3 Month | 6 Month | 12 Month |

Volatility | 1 Month | 3 Month | 6 Month | 12 Month |

Max Drawdown | 1 Month | 3 Month | 6 Month | 12 Month |

from quantopian.algorithm import attach_pipeline, pipeline_output from quantopian.pipeline import Pipeline from quantopian.pipeline import CustomFactor from quantopian.pipeline.data.builtin import USEquityPricing from quantopian.pipeline.data import morningstar from quantopian.pipeline.factors import AverageDollarVolume from quantopian.pipeline.factors import VWAP import numpy as np import scipy import math class ROE(CustomFactor): inputs = [morningstar.operation_ratios.roe] window_length = 1 def compute(self, today, assets, out, close): out[:] = close[-1] class Alpha41(CustomFactor): inputs = [USEquityPricing.low, USEquityPricing.high] window_length = 1 def compute(self, today, assets, out, low, high): out[:] = high[0]*low[0] def initialize(context): #set_commission(commission.PerShare(cost=0, min_trade_cost=None)) #set_slippage(slippage.FixedSlippage(spread=0)) pipe = Pipeline() attach_pipeline(pipe, 'ranked') dollar_volume = AverageDollarVolume(window_length=1) high_dollar_volume = dollar_volume.percentile_between(95, 100) alpha41 = Alpha41(mask=high_dollar_volume) vwap = VWAP(window_length=1) alpha41 = alpha41**.5 - vwap alpha41_rank = alpha41.rank(mask=high_dollar_volume) roe = ROE(mask=high_dollar_volume) combo_raw = (alpha41_rank) pipe.add(combo_raw, 'combo_raw') pipe.set_screen(roe > .005) schedule_function(func=rebalance, date_rule=date_rules.every_day(), time_rule=time_rules.market_open(hours=0,minutes=1)) context.long_leverage = .5 context.short_leverage = -.5 context.short_num = 20 context.long_num = 20 def before_trading_start(context, data): context.output = pipeline_output('ranked') context.long_list = context.output.sort_values(['combo_raw'], ascending=False).iloc[:context.long_num] context.short_list = context.output.sort_values(['combo_raw'], ascending=False).iloc[-context.short_num:] def rebalance(context,data): if float(len(context.long_list)) <> 0: long_weight = context.long_leverage / float(len(context.long_list)) else: long_weight = 0 if float(len(context.short_list)) <> 0: short_weight = context.short_leverage / float(len(context.short_list)) else: short_weight = 0 for long_stock in context.long_list.index: if data.can_trade(long_stock): if long_stock not in security_lists.leveraged_etf_list: order_target_percent(long_stock, long_weight) for short_stock in context.short_list.index: if data.can_trade(short_stock): if short_stock not in security_lists.leveraged_etf_list: order_target_percent(short_stock, short_weight) for stock in context.portfolio.positions.iterkeys(): if stock not in context.long_list.index and stock not in context.short_list.index: if data.can_trade(stock): order_target(stock,0)