Hi,

I'm sharing you an algorithm inspired by this strategy: Expected Idiosyncratic Skewness Strategy

Some explanations of this variant:

  • Skeness calculated on past 100 days
  • Go long on 2 skewed instruments above 1 and short 2 instruments below -1
  • Rebalance every hour: to make sure that flat insights are taken into account ASAP
  • Issue alpha insights every 2 days
I had to create my own version of the Mean Variance Portfolio and Immediate Execution models

I'm using minute resolution to avoid stale prices in backtesting

Author

Erik Bengtson

July 2020