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Highest Alpha Based on Fundamentals, Monthly Rebalance

I saw this algorithm on Quantconnect, and wanted to implement it in Quantopian. It performs pretty well up until 2015,. I choose stocks in separate sectors, based on the highest alpha, and the universe. The universe says positive earning, pays a dividend, in the lower half of the PE ratios, and the upper half of the current ratio. Please let me know what you think, and how we can make it better. My next step will be to optimize the weights with Optimize API. Dips into leverage a little bit.

Thanks,

Eric (Quantdog)

Source:
https://www.quantconnect.com/tutorials/simple-capm-alpha-ranking-strategy-dow-30-stocks/

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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: 59273c1440d59c6e31cbdd77
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