3.20
Alpha Combos
PYTHON PLUGIN
Stocks
Multifactor
Description
Strategy 3.20: Weighted combination of multiple alpha signals
Strategy Logic
Strategy 3.20: Alpha Combination.
Combine multiple alpha signals with weighted average:
composite_alpha = sum(w_i * alpha_i / risk_i) / sum(w_i)
Alpha signals include: momentum, mean-reversion, value, volatility,
and volume-based alphas. Each is standardized by its own risk
(volatility) before combining.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_weight | 0.25 | float |
| mean_reversion_weight | 0.25 | float |
| value_weight | 0.2 | float |
| volatility_weight | 0.15 | float |
| volume_weight | 0.15 | float |
| lookback | 252 | int |
| short_lookback | 21 | int |
| entry_threshold | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 12.0% |