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Integration of the Quadratic Optimizer into the Python Backtester (Code Dump of the updated Russian Doll Engine)
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Integration of the Quadratic Optimizer into the Python Backtester (Code Dump of the updated Russian Doll Engine)

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HangukQuant
May 03, 2023
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HangukQuant Research
HangukQuant Research
Integration of the Quadratic Optimizer into the Python Backtester (Code Dump of the updated Russian Doll Engine)
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In the previous work, we introduce ledoit-wolf constant correlation shrinkage methods:

Ledoit-Wolf Constant Correlation Shrinkage (Python)

Ledoit-Wolf Constant Correlation Shrinkage (Python)

HangukQuant
·
April 21, 2023
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We also introduced the quadratic optimization problem for the n-alpha (extension of the n-asset) problem with linear transaction costs.

Extension of the Quadratic Risk Optimizer on the N-Alpha Problem with CVXOPT

Extension of the Quadratic Risk Optimizer on the N-Alpha Problem with CVXOPT

HangukQuant
·
April 1, 2023
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This post integrates the different techniques into our advanced, proprietary Python backtesting module (Russian Doll engine). Our updated Russian Doll engine code should now allow us to seamlessly go from arbitrary number of single strategy portfolios to multi-strategy portfolios with different optimization options. More to be added.

The alphas and benchmark datasets used to run the code in the example are given in this post:

A Box of Alphas to Rock Your Socks; Benchmark Datasets for Portfolio Optimization

A Box of Alphas to Rock Your Socks; Benchmark Datasets for Portfolio Optimization

HangukQuant
·
April 23, 2023
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Russian Doll Library Python Code

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