Attached is my latest tearsheet from an algo I've been building upon since my last contest entry in October. The main changes since then were to further reduce my exposures to beta, individual sectors and common risk factors(ie: Momentum, Size, Short Term Rev & Volatility). I did not add any additional factors. I kept the number of positions constant with approx. 1,025 rebalanced daily @ 10,000,000 initial capital. As it stands now it does meet all contest entry requirements and round_trips=True were set.
I thought it might be of interest to some in the Q community. I've learned SO MUCH from all of you top contributors out there from various combination techniques to mitigating common/risk factors. As always, I appreciate all/any feedback/comments.