m6entry

Code used to sneak into the top 10 overall in the M6 Financial Forecasting competition.

See the post to discuss it, or the article.

Overview

A diversified long-only portfolio informed by option market volatilities.

Steps taken each month

1. Update volatilitydata.py manually.
2. Update earnings.py manually.
3. Run step_1_probs.py
4. Run step_2_portfolio.py

I got lazy and didn't update after June.