Portfolio Optimization API – Algorithmic Trading with Python and Quantopian p. 12

Python By Builder

Once we’ve got combined alphas that we’re happy with, we need to build a trading strategy. A major part of a trading strategy is figuring out how to best build your portfolio from the alphas, paying attention to various constraints like leverage, sector bias…etc. In this example, we use the Optimize API, which leverages convex optimization to best build our portfolio.