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High Capacity Model

Advice on making beta hedge "context.HEDGE" consist of multiple securities with specific ratios for each SID in context.HEDGE

2 responses

I like the look of this. I'm going to attempt to add pipeline for dynamic stock picking, reduce leverage to 1.0 and remove shorting to see if I can get it working for live trading

Those were the top 3 items on my wish list. Although under an institutional model, leverage becomes less of a factor. I'd like to see how the back test looks with shorting removed.