Jeffrey, I am in the same boat...here is a comparison of my "algo" to your algo:

user_name
Jeffrey Robinson
Behavioral Trader

score_contest_rank
306
287

score_contest
72.26987793
74.24942263

rankAnnRet_pt
36
39

annRet_pt
1.838184322
1.797461863

I echo all of your points exactly. I hold a not-so-secret combination of ETFs. Makes you wonder why so much money is being thrown at the hedgies...it must be that they are better at sales than trading/investing.

The annual return for Contest 19 reflects 3 days of out of sample performance, but some wannabe walls street charlatans would have you believe that's being honest about the risk in the portfolio. LOL.

Timothy, this is a discussion about principles, i.e. Quantopian allocation criteria, and it is not a premature yardstick measuring contest, as some charlatans would like to spin it into.

Jeffrey your right. No algo like this exists and never will.

I am really trying to understand what your point is Jeffrey?
Quantopian has a business model, lets say it is awful and flat out wrong, but that is their prerogative. In pursing whatever it is they are, right or wrong, they have provided tools and data streams that many others would not have easily access to for free. Your logic of high risk high reward is pretty sound, I am in the same boat myself, but what is the point of constantly criticizing their judging criteria?

"It is not possible and it can never happen (mathematically, philosophically, economically, etc). "

I'm sorry but this is just laughable. To say that an algorithm cannot possibly beat the S&P without having more risk or leverage is borderline autistic level thinking. The S&P500 by it's nature is a completely "dumb" average, meaning it does not have any logic driving it's value other than the 500 components that it is made of, it can't buy and sell like an algorithm, it's running all the time. By simply adding -any- level of intelligence to buying and selling or risk management techniques you automatically beat the S&P. For instance: during a market crash, the S&P crashes. Any algorithm worth it's salt would be able to mitigate this risk, at least partially, by hedging with cash or even better, a more stable asset like bonds. Holding cash does not increase your leverage or volatility... which according to you shouldn't be possible.

Also, there is nothing illegal about making amazing, mind-reader level returns. Insider trading only applies to people who are insiders: "In the United States, Canada, Australia and Germany, for mandatory reporting purposes, corporate insiders are defined as a company's officers, directors and any beneficial owners of more than 10% of a class of the company's equity securities. Trades made by these types of insiders in the company's own stock, based on material non-public information, are considered fraudulent since the insiders are violating the fiduciary duty that they owe to the shareholders." All regular people, like you and me are not insiders and can act on whatever information we want, no FBI at our doors.