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Weekly rebalance factor model algorithm (1.7 sharpe)

My attempt at a quantitative factor model algorithm.

  1. Quantopian does not support statsmodels DynamicFactor and hence had to use static factors.
  2. When risk model is used in optimizer the P/L and Sharpe drop drastically. All constraints are met even without using the risk model. Not sure why.

Looking forward to feedback.

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