Sorry I changed my mind. Algo with some changes is too profitable to share :)
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AQ,
This does a nice job of keeping steady growth.
Some description of this strategy might encourage comments.
Also it would be good to understand the rationale for some parameters.
I've not done principal component analysis on prices before and am not familiar the sklearn library.
Why is PCA done with apparently 0.9 dimensions instead of an integer value of 1?
Why use 600 days of history? Is this to improve the covariance estimate for a 50 stock portfolio?
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Point72 is a family office. Point72 does not seek, solicit or accept investors that are not eligible family clients. This is not intended to be a testimonial and the reader should not construe it as such.
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 Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.