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Conditional performance using price data only

Feedback please. Is this alpha significant?

2 responses

attached pyfolio sheet.

The 1D IC is 0.005. Not certain, but I believe that is interpreted as the algo being direction predictive 50.5% of the time, which I do not think is significant.

I'd be really interested to hear from anyone who knows that the IC was of the entries which were in the top 10 of the old competition. Was IC data published in the competition stats? If so, it would be useful to know what kind of benchmark there is for a "competitive" alpha factor.