Strategy trades illiquid instruments

illustrious.felice

Hi, I am having problem Strategy trades illiquid instruments at latest date in log, while I have multiplied weight with liquid. I checked log only latest date has this error. Please help me. My stock universe is top 7 magnificent. @support @Vyacheslav_B

My alpha id is #18379797

stefanm

This post is deleted!

support

@illustrious-felice Hi,

sorry for late answer, please check the correctness of dataset used for defining weights in strategy. Be sure that 'stocks_s&p500' dataset is used and not 'stocks_nasdaq100' for current competition. To ensure strategy trades only liquid assets in certain time period, multiply the output from your strategy function with 'is_liquid' field from correct dataset, or simply use clean() function from qnt.output:

import qnt.data as qndata
import qnt.output as qnout

def strategy(data):
    .....
    # liquid = data.sel(field='is_liquid')
    # weights = weights * liquid
    return weights


data = qndata.stocks_load_spx_data(min_date='2005-01-01')
weights = strategy(data)
weights = qnout.clean(weights, data, kind='stocks_s&p500')

qnout.write(weights)

Also, keep in mind that submission will not be eligible for contest if stocks universe (in this case "top 7 magnificent") is hand picked (manually defined).

Best regards,

illustrious.felice

@support Thanks for the feedback. I would like to ask the following, for example if I want to filter out the 10 tickers with the best sharpe of the strategy, how should I do it, to avoid being filtered by hand?

Please provide an example code

def filter_sharpe_ratio(data, weights, top_assets):
stats_per_asset = qnstats.calc_stat(data, weights, per_asset=True)
sharpe_ratio = stats_per_asset.sel(field="sharpe_ratio")
return qnfilter.rank_assets_by(data, sharpe_ratio, top_assets, ascending=False)

asset_filter = filter_sharpe_ratio(data, weights, 150)
weights = weights * asset_filter

I used this code, but the result is still nearly 300 tickers.