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I really like the Algorithm Framework in QC University for all the pieces in there but by reading all the code I found it not to be in par with current API so I have updated the code with most recent API and change it to self select stocks.
Before I even start working on my alpha I wanted a solid framework for risk managment and exits. As the backtests shows below this has much lower beta and sharpie ratio this can be mere coincidence but this is only the first step.
Let me know what you guys think would really appreciate if you have comments on how to improve this code.
Jared let me know what changes are required so we can put the updated version in University.
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Hemant Verma
Its super hard to update the project when you have multiple files. But one thing I have found useful is I maintain a local git whenever I copy the code I commit it locally so I know what files I need to update next time rather than updating all the files all the time.
Also had a very hard time testing locally I have setup it locally using Xamarin on my mac but testing is still painful.
Jared Broad
Thank you Hermant; I will update the university copy from your code here. We are in the process of developing a new framework which should support other risk management techniques and we'll build it directly into LEAN so its the default foundation for algorithms. This framework is great but mostly focused on asset allocation algorithms. We're trying to devise one which will support all strategy types.
Regarding your other issue updating files on QuantConnect.com -- we have a powerful API now so it is possible to automatically upload local changes to the cloud. You just need to specify the project you want to submit them to. Check out more here.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Hemant Verma
Looking forward to it. Do you have an early pr that I can look?
Jonas Vachal
I'll revivie this thread ... I would also like to take a peak at the new algo framework. Is there a branch on github for it as I'd love to contribute.
Hemant Verma
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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