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Equity Long-Short with Naive Beta

From the original post by Simon Thornington on 22 August 2015: Equity Long-Short

Rather than limiting to [0:100] longs and shorts, the Pipeline output is split into long+short sets by a median value and selected by top/bottom deciles.

I like the low Beta, diversity of stocks and near equal long:short distribution auto-scale by market dynamics rather simply. Need reducing the drawdown and reigning in the leverage.

Karl

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: 598569ec46291b4fca78afaf
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2 responses

Hi Karl -

What is the basic outline of the strategy? What does it do, step-by-step?

Thanks,

Grant

Hi Karl -

I think the code could be re-factored but still retain the basic mechanics. Perhaps the whole thing could be put into a pipeline alpha factor (e.g. see https://www.quantopian.com/posts/quantcon-nyc-2017-advanced-workshop ).

It looks to me like the universe definition could be replaced with the Q1500US. The 'ebit_ev' is the primary alpha factor, with top and bottom deciles selected. Finally, there's a beta neutralization step (if I'm following correctly), which presumably could be replaced with the dollar neutral and beta limit constraints in the Q optimization API (again, see https://www.quantopian.com/posts/quantcon-nyc-2017-advanced-workshop ). Or would this not capture the essence of the strategy?