I was exploring an alternative dataset and came up with this strategy. It combines three alpha factors taken from the same dataset and feeds those into MaximizeAlpha in order to generate portfolio weights. Originally it did not survive slippage, but I was able to resolve that by lengthening the holding times. It turns out the signal is weaker during high volatility regimes. So, not knowing what else I could do, I decided to scale up holding times in proportion to VIX in order to reduce portfolio churn and needless slippage while the signal is weak, which worked. The signal isn't symmetrical on the long and short sides, so that's why the position concentrations differ so much.
What do you guys think based on this tearsheet?
I'm going to keep working on it, and if I can resolve the Tradable Universe issue I'm running into I plan to submit it to the contest. I've tried everything I can think of though. I even tries an exclusion list to manually remove the non-QTU stocks from ever trading, and even that doesn't pass.