When clicking on a leaderboard entry in a contest we get information about the performance of the strategy on live data as well as on a backtest. Does this backtest have standardized settings (like starting and ending date and the starting capital) for each contest?
It would be very interesting to be able to compare one's own strategy with the leading ones on exactly the same backtest.
For the backtests, they are standardized on many settings like capital, slippage, and commission. The dates depend on when the entry was made, however.
This works for the purposes of the contest because every contestant has to meet certain hurdles on their 2-year in-sample backtest, but their actual performance is determined by their out-of-sample performance. Because we have a rolling entry system, the contestants have varying amounts of out-of-sample. Of course, by the time the finish comes around, they all have at least 6 months of out-of-sample.
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Hi Dan,
Thanks for your answer. Let me make sure that I understood correctly:
Is this correct?
I know that what really counts in the end is the out of sample performance but it would be interesting to be able to compare one's own algorithm with the top ones prior to entering a contest..
Best,
Romuald
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.
