3.6
Multifactor Portfolio
PYTHON PLUGIN
Stocks
Multifactor
Description
Strategy 3.6: Combine momentum, value, size, quality via weighted z-scores
Strategy Logic
Strategy 3.6: Multifactor Portfolio.
Combine momentum, value, size, and quality factors using weighted
z-scores. Final score = sum(w_i * z_i) for each factor i.
Go long stocks with high composite score, short low composite score.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_weight | 0.3 | float |
| value_weight | 0.3 | float |
| size_weight | 0.2 | float |
| quality_weight | 0.2 | float |
| momentum_lookback | 252 | int |
| vol_lookback | 252 | int |
| long_quantile | 0.8 | float |
| short_quantile | 0.2 | 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% |