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Algothon2019_SupplyChain_and_Governance
Aliaksei Mukhachou
edited Oct 20, 2019

Algothon 2019 Submission
Alphalens vol-weighted factor results

xgboost - all features model results 

                    1D      5D      20D  
IC Mean             0.022   0.048   0.090  
IC Std.             0.132   0.124   0.096  
Risk-Adjusted IC    0.169   0.384   0.934  
t-stat(IC)          2.276   5.164   12.560  
p-value(IC)         0.024   0.000   0.000  
IC Skew             -0.061  -0.222  -0.056  
IC Kurtosis         -0.504  -0.429  -0.105

xgboost - only momentum raw features model results

                    1D      5D      20D  
IC Mean             0.026   0.053   0.087  
IC Std.             0.137   0.130   0.121  
Risk-Adjusted IC    0.187   0.404   0.720  
t-stat(IC)          2.514   5.436   9.693  
p-value(IC)         0.013   0.000   0.000  
IC Skew             -0.112  -0.418  -0.149  
IC Kurtosis         -0.564  -0.379  -0.709

NN - full features model results

                    1D      5D      20D  
IC Mean             0.024   0.050   0.086  
IC Std.             0.127   0.128   0.123  
Risk-Adjusted IC    0.192   0.394   0.697  
t-stat(IC)          2.595   5.312   9.401  
p-value(IC)         0.010   0.000   0.000  
IC Skew             -0.017  -0.483  -0.243  
IC Kurtosis         -0.773  -0.279  -0.489
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