Hi Pej, thanks for sharing your work. If you are interested in being considered for an allocation to the strategy, I'd recommend:
- Screen a large dynamic universe, using the Q1500
- Reduce the position concentration, I'd suggest a threshold of 5% cap or below to start.
- Update the strategy to be cross-sectional with low common factor exposure (sector, fama-french, beta)
Then I'd run analyses to find the optimal trading time. The market open window tends to have higher spreads and thus costs, which are not being modeled in the the simulation. I'd examine how does the algo perform at different trading intervals and different days.
Dan goes further into our selection criteria in this latest post: https://www.quantopian.com/posts/getting-an-allocation-june-2017-update. Good luck!
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