Trying to understand the nature of the calculation. Is the calculation something Q has posted?
It looks like all currently running algorithms have a Beta of NaN.
Still curious about this calculation
The betas are getting calculated, but it looks like they're not getting displayed on the leaderboard page. We'll get that fixed when the next leaderboard is posted tonight!
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Hi Charlie,
Looks like the SPY timeseries used by the leaderboard to calculate beta wasn't loaded correctly last night. The leaderboards should be updated with betas shortly.
To calculate beta in the contest (and all of Quantopian) we use the calculate_beta function from Zipline. You can find it in zipline/finance/risk/cumulative.py
Here is the simplified version used in the leaderboard:
def calculate_beta(algo_rets, benchmark_rets):
returns_matrix = np.vstack([algo_rets.values, benchmark_rets.values])
C = np.cov(returns_matrix, ddof=1)
algorithm_covariance = C[0][1]
benchmark_variance = C[1][1]
beta = algorithm_covariance / benchmark_variance
return beta
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.
Thanks. Is the Beta "badge" dependent on the backtest score? My backtest was 0.4096 and my paper trade is 0.2305. Is it possible to get the badge if these average to < 0.3, currently the average is 0.32005?
Signed,
big beta
Can an algorithm get a Beta badge even if the backtest was greater than 0.3? I ask that because the average between the running and backtest is < 0.3 now (but backtest was 0.402). I'm curious, is there any chance of getting the Beta badge at this point?
Hi Charlie,
Only the backtest component of your contest entry is used to calculate the 0.3 beta cutoff. You can read more about how to calculate the mean rolling beta used for the beta badge here.
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.
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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.