Here's the attached backtest from my webinar earlier today that meets all the contest constraints. The webinar link itself should be up shortly. Check out the original forum post for more on what the new backtest screen can do.
Backtest Analysis Webinar
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For comparison, here's the other backtest from the webinar, which doesn't meet the contest constraints.
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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.
Only added 8 months to the first algo presented. As seen from the attached backtest analysis, the scenario starts deteriorating right off the walk forward gate.
Note that it still meets all Q's criteria, but who would want to trade something like this since it can not even sustain itself going forward?
Sorry, if I am harsh. I have not read the code.
The question should be: why present something that ultimately does not work, or is not desirable? The first 20 months might look OK for some, but... a strategy needs to survive its future...
Is this only for educational purposes?
Guy,
The point of the algorithm was to aid in teaching about the use of the new backtest analysis screen - educate about a new element of the product. It was used in a webinar yesterday.
The fact that it is flawed is definitely expected!
I recording of the webinar will be posted soon.
All the best,
Josh
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.
Hi @Guy,
As Josh said, this algorithm is just educational. The main thing that we talked about in the webinar was what you need to do to make an algorithm meet the contest risk criteria.
As a result, this particular example is more focused on how to use the right constraints and universe needed for the contest, rather than how to find a good alpha factor. Think of this algorithm more as a starting template (with the constraints, universe etc already present), into which you can put an alpha factor of your choosing.
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.
@Abhijeet, what I see is an example that does not survive the trading principles that should serve as a foundation for what you are seeking. Not only that, but it has no redeeming qualities. From all the strategies ever published on Quantopian, is there not at least one that could have served as an example of something that was designed to survive more than its in-sample trading interval?
A trading strategy that will simply blow up in the future should not be considered as having value now. That is if a strategy ends with: F(t) = F(0) + Σ(q∙Δp) – Σ(exp) < 0, then the whole trading interval was a total waste of time and resources.
Why not provide an example that works going forward and meets your requirements? Wouldn't that be more educational than just showing another of those methods that do not work?
[Edited] Here's an idea that might hopefully help, maybe an image banner at the various few places where this algo is posted with some sort of wording to reduce expectations and maybe note that it is known to run negative out-of-sample beyond the backtest end date. Also could edit the backtests themselves with a comment at the top of them?
One other location of this code is Quantopian Risk Model In Algorithms saying "_ full-featured algorithm using the risk model. Thanks to the risk constraints, it now meets the new contest entry criteria." That word 'now' is fuzzy as it met them in that backtest timeframe, different, 2011-14.
@Gary, I am not at odds with what was presented, and there is no strain. However, I do have a tendency to say what I see which at times can be rather direct with no fancy footing.
The most simple way to justify, or help anyone appraise the value of some trading concepts is to provide workable examples, thereby almost “proving” the points being made. I do not think that the strategy provided, which “failed to survive” showed, even for educational purposes, that it fulfilled its primary task. I am very good at designing strategies that fail, I do not need help in that department. Nonetheless, I would never put one of those on the table, except to show how not to do it or explain why it failed.
So, my suggestion remains. Why not provide an example that can at least sustain itself, meaning work going forward, and still meet all the constraint requirements? I do not think it is too much to ask. There must be at least one strategy on Quantopian footing the bill. So, why not start there? Otherwise, it does raise a whole lot of other questions? One of which is: why is there not even one?
Maybe the real question should be: what is the use of this type of market-neutral trading strategy if it fails, going forward, to deliver a profit?
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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.