Will there be any changes to the rules for the August competition? I have been working on a algo for next months contest and want a heads up if there will be any additional rule changes. The last few months the rule changes have been announced extremely close to month's end and I was just wondering if Q could come out with the chances in a way which allow algo developers to be able to be proactive and at least try to alter their algos to fit contest rule stipulations. I just don't want to check on July 28 and see something along the lines of we now require you to be short a index or beta constraint is now less than 0.15. It just seemed to me like the last months the rules changes have been announced at the last minute.
The July change of cumpulsory Hedge w/o any hedge ratio is already not very healthy development (IMHO)
I expect Q to give minimum hedge ratio as a qualifier in August rules update.
BTW
With addition of Hedge rule I am already not submitting anything in contest. (I am happier using IDE/Research
for increasing my skills and testing my ideas. Thanking Q for that.)
Add few more rules and it will look like Q already have an algo in their mind which
people have to crack for them. (also all algos need to be un-corelated)
I expect Q to give minimum hedge ratio as a qualifier in August rules
update.
I foresee this happening as well as I already suggested a person could potentially meet the "Hedge" requirement by purchasing 200 shares long then 1 share short when their algo purchases. This would be the next logical progression to counter this. Obviously if Q sees this in the top algo at the end of the month they probably will not give them the prize, but to cover themselves from a potential controversy regarding a "Winner" that didn't "Win" I see them doing this at the nearest possible convenience (Next Month). I don't care that much my self as I believe the beta contrast itself almost forces a algo to hedge to meet the beta constraint, but I have seen a few long only timing algos that I been modifying end up barely fitting within the beta constant. Only reason I care is that I want time to modify my new submission before the new months contest or if I can scrap the one I working on for the contest and start anew. I'm sure Q already has the changes in mind that they want to implement all I am asking is they announce them in a timely fashion.
There definitely are some rules changes in the works. I'm hoping to get them out in the next couple days.
Here is a not final, work-in-progress list of changes:
- making the contest run longer
- modify or replace the consistency factor
- relax the hedge filter a bit
- Swap Sortino ratio in for Calmar ratio
- requiring a certain amount of portfolio turnover - must alter your portfolio periodically (to discourage simple "bets" and encourage active decision making)
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
I maintain that rules should be announced at least one calendar month before they are to take effect. Now is a good time to discuss the rules for the September contest.
If we keep changing the rules at the last moment, we'll end up developing software as good as healthcare.gov.
Responsible adults will leave, or will stop putting in any substantial effort. Who will remain? A bunch of monkeys with typewriters, hoping to write Shakespeare. I wonder who in his right mind would want to invest real money in such an outfit.
Dan Dunn ,
My opinion about work-in-progress list of changes:
making the contest run longer
+1
modify or replace the consistency factor
replace by omega ratio
relax the hedge filter a bit
remove filter
Swap Sortino ratio in for Calmar ratio
You may swap Sortino ratio in for both Calmar ratio and Sharpe ratio as long as you keep Max DD and StDev but if you want to keep Sharpe ratio (actually it is calculated as Roy Arthur safety-first criterion) then swap Sortino ratio in for Calmar ratio and StDev.
requiring a certain amount of portfolio turnover - must alter your portfolio periodically (to discourage simple "bets" and encourage active decision making)
You must specify daily or weekly. If weekly - a week before August 3.
What if the algo has better performance if rebalanced once a month?
What if the algo was so smart designed that it changes its positions only when market conditions substantially changes to keep low commissions and slippage expenses of the FUND?
Special request:
Remove stability factor
It has negative correlation to Sharpe Ratio.
https://www.quantopian.com/posts/quantopian-lecture-series-spearman-rank-correlation
https://www.quantopian.com/posts/july-contest-rules-update-get-hedged
Simple and widely used metrics like Percent of winning days or Expectancy of daily returns will give much more information about real stability of the algo.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.