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vultures_short's Introduction

Backtest v3

Further evolution of "Magic formula" backtest, short only, added 3rd factor, added sector constraints, parametrized factor weights

Business case

Assess potential on the short side and add several enhancements.

Key features (diffs vs v2)

  • short-only
  • added third factor
  • added user's ability to allocate factor weights
  • added user's ability to allocate portfolio weights between industry sectors.

Design/code aspects (diffs vs v2)

  • more work and discoveries on best ways to preprocess and store input data at higher frequencies
  • switch from CLI inputs to YAML files for parameter specification.

vultures_short's People

Contributors

tim-k-dfw avatar

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