1. Explore alternative fundamental factors, and extend the original program with your new fundamental
factors.
2. Evaluate your factors and the original factors of the lecture using Alphalen’s full tear sheet based on
return, information analysis, and turnover. Analyze your results (you do not have to explain every graph
and every indicator. It is enough if you discuss your results in about half page).
3. Implement a trading algorithm using your selected factors, and backtest with Quantopian.
Build the following table based on the performance tab of Quantopian’s backtest facility:
Using original factors Using your factors
Total Returns
Specific Returns
Common Returns
Sharpe
Max Drawdown
Volatility
Changes introduced in the simulations
4. Include a graph as the following for the two simulations:
5. Discuss the results of your algorithm when you run it with the original factors and with your
selected factors (about 1 page without including graphs or tables). Explain why your results are
better, equal or worse than the simulation using the original factors.
6. Conclusions. What did you learn from this exercise? How can you improve your algorithm
for a future test? (you do not have to run an extra test, this is only a discussion). (about half
page)
Your final submission should include a report in word or a pdf file where you answer the above
questions and report on your simulations, and the python file(s) of your final simulations with
the original factors and your own factors.