The repository contains the source code used in a bachelor's thesis research paper "An analysis of investing in U.S. equities with the application of quantitative factor portfolios". The study examines the potential of using factors described by Fama and French (1993, 2015) in their Three-factor and Five-factor asset pricing models for the purpose of long-term hands-off portfolio management. The abstract as well as full contents of the work can be accesed via the link below:
URL: http://urn.fi/URN:NBN:fi:amk-2019121226400
In order to run the simulation of a strategy, you should copy and paste the contents of "Algorithm template.py" to the Algorithms research environment on Quantopian. The comments within the code contain the information how each parameter impacts the simulation.
The files MULTIFACTOR.htm and notebook.ipynb are both the same template (in a different format) used for Aplhalens factor analysis. MULTIFACTOR.htm is a browser-friendly version of the notebook that can be viewed only. notebook.ipynb is the Jupyter Notebook file that can be imported directly into the Quantopian's Notebook research environment.
For any suggestions and contributions, you can contact me at [email protected]