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QuantWorkflow PDF

The document describes a quant workflow for constructing investment portfolios. It involves defining a trading universe from external datasets, developing alpha factors, combining alphas, optimizing based on risk models and constraints, constructing portfolios, and backtesting via a loop that executes trades periodically. Key parts of the workflow include universe definition, objective setting, risk modeling, alpha combination, portfolio construction, and backtesting for evaluation.

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Matheus Augusto Campos Pires
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49 views1 page

QuantWorkflow PDF

The document describes a quant workflow for constructing investment portfolios. It involves defining a trading universe from external datasets, developing alpha factors, combining alphas, optimizing based on risk models and constraints, constructing portfolios, and backtesting via a loop that executes trades periodically. Key parts of the workflow include universe definition, objective setting, risk modeling, alpha combination, portfolio construction, and backtesting for evaluation.

Uploaded by

Matheus Augusto Campos Pires
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Legenda

External data
The Quant Workflow Database Construction

Zipline
Bloomberg Quantopian

Pyfolio
Datasets
Alphalens Open APIs (e.g.
Pipeline (Zipline / Research) W16 Yahoo, Google,
FinnHub)

UNIVERSE
DEFINITION Pyfolio

OBJECTIVE
RISK MODEL CONSTRAINTS
FUNCTION

ALPHA 1 ALPHA 2 ALPHA 3 ... ALPHA N

Factor Optimization

ALPHA
Idea Sourcing Decisão COMBINATION

PORTFOLIO
CONSTRUCTION

PRIOR
PORTFOLIO
Backtest / Execution System Trade List

Loop every f periods

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