https://drive.google.com/open?id=1c1pTDxl6KMD5s_L1s6yoMeB2bpN1jp0l
I did it with a Sharpe around 1.5 and a correlation of 0.16 to the S&P 500.
Up this year , and this month of Dec.
Although I’m no longer a member , thanks P123. Quant investing had it’s heyday and delivered much alpha to my portfolio over the years. But I’m afraid it no longer works as well as it use to. There may be a small edge left but nothing like it had before.
For most of my trading, I use a combination of quant/human judgement.
It had worked so well but by the middle of this year, after frustrations with loses with the long/short portfolio… I decided to give up completely. I now use another method which is more discretionary and research based.
Good luck to you all!