QuantConnect implementation of a classic factor investing strategy idea that attempts to exploit the combination of the Small Cap and Low P/E Ratio anomalies
Universe
At the start of every year, find Small Cap stocks with P/E Ratio in the 1st percentile
Alpha
Go Long for a year
Portfolio
Equally Weighted portfolio (investing the same amounts in each security)
Execution
Immediate Execution with Market Orders
Risk
Null Risk Management Model
Research Notebook
Not included