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Contest 11 Rules Change: There Is No Change
Dan Dunn
posted Oct 16, 2015
Contest Q Updates

We're happy with how the contest is running and the quality of the entries coming in. We made significant changes to the contest early in the summer, some tweaks in late summer, and we don't see the need for any changes this month. No change in the rules this month.

Our favorite update was the decision last month to pay contest winners every month that they make money. (I've never seen Fawce happy to sign a check before!) Quantopian is built for quants, and it's a pleasure to see quants rewarded for their effort and insights.

So, to recap:

  • Deadline to enter is market open on November 2nd, 9:30AM EST
  • Contest ends 6 months later, with prize awarded on May 2nd 2016.
  • General description of the contest on https://www.quantopian.com/open
  • Full rules are here

Finally, if you haven't seen the contest leaderboard recently, you should check out the revised layout. I think it sets out the various ongoing contests more clearly than the old version.

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.

3 responses
Luca
Oct 17, 2015

Dan, what happened to the plan of updating default commision and slippage? Shelved?

Grant Kiehne
Oct 17, 2015

Hi Dan,

Any plans to incorporate pyfolio analyses formally into the contest? Your recent practice has been to apply it to disqualify "financially imprudent" algos. I think your working assumption is that the 6-month out-of-sample paper trading will filter out undesirable algos, but it could be that you'll still need to make some qualitative judgements. Why not give contestants that feedback as part of the contest?

Also, your paper trading keeps orders open overnight, right? While live trading at IB has orders automatically cancelled at the close. Shouldn't the contest algos have their orders cancelled at close, for consistency?

Grant Kiehne
Oct 17, 2015

To add a bit more, after a 6-month out-of-sample run, would you still take into account backtests over periods longer than 2 years? I'm just wondering if the current rules really capture everything you might use to select the winner. It seems you are expecting contestants to worry about longer backtests, run pyfolio on their algos, etc., but there is really no incentive, other than the risk of getting disqualified per the "financially imprudent" rule. Of course, if the fund ever gets funded, then there would be reason to have a good story going back 10 years or so, but why waste a contest slot when those algos could be run outside the contest and still submitted for fund consideration.

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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.