WQ-Brain

Disclaimer

All credits go to https://github.com/AbnerTeng/WorldQuant-Brain.

Running

1. Fill in the credentials at the given credentials.json file (remove the .example from the filename)
2. Set the parameters in parameters.py accordingly
3. Run main.py
4. Profit!
5. Become the next world quant champion lolol

IS Pass Criterion

1. sharpe > 1.25
2. turnover > 1
3. turnover < 70
4. subsharpe > ??? (might differ)
5. fitness >= 1
6. Weight is well distributed over instruments