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Combining momentum, value, profitability, and growth long/short equity

This algorithm, whose framework is based off of "A weekly view of 'A simple momentum rotation system for stocks'", is a high school senior year project. It incorporates Value, Profitability, Earnings Growth, and cash flow factors to improve on a traditional momentum strategy by selecting stocks whose upward momentum is founded upon strong fundamentals, rather than speculation.

There's still a long way to go for this algorithm, with many additional improvements I plan on implementing as I become better at using Python. I will post updated and cleaner versions of this algorithm as well as a more detailed explanation of its function in days and months to come.

Clone Algorithm
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Backtest from to with initial capital
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
# Backtest ID: 5a171ba7534c1e43b71aaffe
There was a runtime error.
3 responses

I ran the tear sheet to look further at your results. It looks like the algorithm allocates to a tech and industrials pretty heavily.

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Hi David,

Thanks for the algorithm, and please allow me to mention that there are two WARNINGs as below

2003-01-02 23:00 DEPRECATION WARNING Line 932: Evaluating inclusion in security_lists is deprecated. Use sid in <security_list>.current_securities(dt) instead. Learn more here.
2003-01-02 23:00 DEPRECATION WARNING Line 942: Evaluating inclusion in security_lists is deprecated. Use sid in <security_list>.current_securities(dt) instead. Learn more here.

BR

Kevin

Now using QTradableStocksUS so I haven't used these in awhile:

eftlist = security_lists.leveraged_etf_list.current_securities(get_datetime())

or:

class ETFScreen(CustomFactor):  
    inputs = [] ; window_length = 1  
    def compute(self, today, asset_ids, out):  
        out[:] = asset_ids.isin(security_lists.leveraged_etf_list.current_securities(get_datetime()))  

... however above surely this ought to work under set portfolis parameters:

set_asset_restrictions(security_lists.restrict_leveraged_etfs)    

And then elsewhere try this with get_datetime() in place of dt in the warning...

        if stock in security_lists.leveraged_etf_list.current_securities(get_datetime()):