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long-short multi-factor template

There have been a number of API changes recently, namely a speed upgrade to fundamentals and the optimize API full release. I attempted to crank them into this template. Did I miss anything? Any other recommendations?

Eventually, I'd like to be able to move beyond the equal-weight factor combination, and apply ML. How would I need to re-factor this algo so that I could just drop in some ML code to give it a try?

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: 59ad68ce04bbd55206bf61d7
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