Formulaic Alphas

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In our last code post, we did a detailed walkthrough of the backtesting Python code for the historical simulation of alphas (for programmers of all skill level):

In the next post, we will implement three very specific rules and analyse the structure of the code - and then use object inheritance to build a flexible, reusable alpha module code. This module would allow you to implement your own strategies using the same Alpha class.

We then look at how to encode risk allocation schemes such as volatility targeting within the designated Alpha class.

Our last formulaic alpha report was here:

Download our alpha report for this week here (paid):