This algorithm is a good example of a long-short equity strategy that dynamically selects a portfolio by ranking securities by multiple custom factors. This strategy rebalances monthly, holds long and short positions simultaneously (is hedged), and continuously re-ranks the universe of stocks based on two custom factors: daily share turnover and 3-month price momentum.
Algorithms like these that dynamically select a hedged portfolio are good candidates for the Quantopian Open. Feel free to clone and improve this algo!
For background on the theory behind this strategy, refer to these lectures in the Quantopian Lecture Series:
- Lesson 17: Long-Short Equity
- Lesson 18: Ranking Universes by Factors
Note: This algorithm was originally created as a response to this community post and was not designed to yield positive returns, but instead to demonstrate a type of strategy that would be competitive in the contest. Try cloning the algo to see if you can improve it!