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QuantCon NYC 2017 Advanced Workshop

Here is a template long short equity algorithm.

Clone Algorithm
108
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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
--
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: 5902ae36f5164d658372ec25
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2 responses

why do you do momentum.rank(...).zscore? are you ranking the momentum and then taking it's zscore? how does this help in combining the alphas?

That's a good point, usually z-scores are good to normalize factors to ensure that a factor with naturally greater values (ex. market cap) doesn't get an implicitly higher weighting when averaged with a factor with smaller values (ex. P/E Ratio). In this case we've already taken the rank, which is also a form of normalization, so the z-score may be redundant in this case.