- Does the contest still use the sum of daily returns instead of cumulative returns? The sum of daily returns isn't exactly accurate due to compounding.
- How is the volatility calculated? Is it just standard deviation or something different
- Does the contest take into account dividends?
Contest Questions
Hi Ma Ak,
Have a look at the Contest Rules under Scoring and Ranking.
Regarding Dividends, I'm pretty sure Zipline accounts for dividends (e.g. reinvested for longs; paid for for shorts). If not, it'd be pretty easy to 'game' the contest. Have a look at the documentation to confirm.
Joakim,
I looked through the contest rules but couldn't find any formula for how exactly they calculate the volatility portion of the score.
With dividends, I've been trying to create a super simple notebook to demonstrate whether or not the dividends are actually recorded, but I have no idea whats going on here. Could you take a look? I only have two stocks going into pipeline; FB and SDIV (a dividend ETF). They are ranked by dollar volume with ascending = False, so facebook always has a rank of 1 and SDIV always has a rank of 2.
So theoretically, when I stick this in alphalens with two quantiles, I should be shorting FB and long on SDIV. Right? When I look at the cumulative returns by quantile, neither of the lines remotely match up to the performance of the stocks in the given year. FB (represented by quantile 1) should have gone up by 50%, and SDIV (represented by quantile 2) should have gone up by about 3-4%.
Again, I'm just trying to conduct a simple test that I can compare to manual data to determine if alphalens actually accounts for dividends, but I'm having trouble even setting this up lol. Any help would be appreciated!
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