I withdrew one of my contest entries and inserted the one analyzed in the attached tear sheet. Thought it might be of interest.
I realize that without the algo it is a bit sketchy, but any feedback would be welcome.
Q support - I'd be particularly interest if this would be at all attractive for the hedge fund, assuming the structural elements and performance persist.
Hi Grant,
Very impressive results for a 2+ years backtest, regardless of the fact that it has volatility of 11% ( which Q will frown upon ). Specific returns and "Q Sharpe" are truly remarkable.
Curious to see how it performs under different market regimes. Can you run and post notebook with backtest starting on 2008?
Trying...
Hmmf! I'm getting this on Aug. 25, 2008:
ValueError: NaN or Inf values provided to FactorExposure for argument 'loadings'.
Rows/Columns with NaNs:
row=Equity(32430 [SHA]) col='industrials'
row=Equity(32430 [SHA]) col='momentum'
row=Equity(32430 [SHA]) col='short_term_reversal'
row=Equity(32430 [SHA]) col='size'
row=Equity(32430 [SHA]) col='value'
... (1 more)
Rows/Columns with Infs:
None
There was a runtime error on line 226 Hi Grant,
I often get that error in long runs and my workaround is to add notnull() or dropna() here: risk_model_loadings=context.risk_loading_pipeline.notnull()
Thanks James -
I got it running with
dropna().
Is this a bug, or a feature/nuisance of from quantopian.pipeline.experimental import risk_loading_pipeline? If it has not yet been reported, I'll let the powers-that-be know.
Here's the longer run. Beta was just over 0.3 at some point; this could probably be fixed. Huge drawdown. Maybe over-fit to recent peformance. Etc.
Hi Grant,
Regarding the Value Error above, I'm not sure if this was ever reported.
Regarding the longer run, not really surprised by the results. It's really very difficult to have consistent returns with managable drawdowns / volatility without an adaptability factor (i.e. Bull vs. Bear and /or Trending vs. Mean reverting) that recognizes market regime shifts and adjust alpha factors accordingly. But for contest purposes, I think you have a good shot at being on top of the leaderboard if current conditions persists over the next six months. Best of luck to you!
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