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New Video: Learn from the Experts Ep 5: Alpha Factor Optimization with Cheng Peng

In this video, Quantopian community member and guest speaker, Cheng Peng, walks through his algorithm creation process with Quantopian’s Thomas Wiecki. This video starts with a short interview about Cheng’s background in software engineering and his attempts to build his own backtesting engine to his discovery of Quantopian and the work he has done on our platform. The video continues with Cheng walking through an example algorithm he created on Quantopian.

As a long time community member and speaker at multiple Quantopian events, Cheng shows how he puts his skills to use on the Quantopian platform. He also explains the reasoning behind his decisions, allowing you to walk away with a better understanding of how financial algorithms work and a starting point for creating your own.

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8 responses

Here is the notebook used in the video!

Loading notebook preview...

Thank you very very much! 👍👍👍👍

Hi @cheng, thanks a lot for contribution. Either for the explanations and for the elaborated notebook. I’ve learned a lot with this one!

Hi @Chen,

It's not the focus of the lesson but, just out of curiosity, what the CVOL factor represents? Why do you multiply the stdev by the sqrt of 255?

    def compute(self, today, assets, out, close):  
        out[:] = np.nanstd(close, axis=0) * (255 ** 0.5)  

Thanks in advance.


It's supposed to represent annualized volatility. 255 is actually a typo since it's supposed to be the number of trading days in a year (252) - oops.

Thanks for the clarification @Cheng

@Cheng This was an amazing video. I learned a lot. Thanks!

@Cheng : Thanks For sharing with the Community, Iam a newbie on this but was insightful to see your presentation.