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How do I get into the Managers Program?
dank memes
posted

I have an algorithm that I plan on live trading with real money. I want it to have good returns, but I also really want to be eligible for the Managers Program.

Here are the stats for my strategy:
http://i.imgur.com/lfxz8cA.png
However, if I use a leveraged etf, these are the stats:
http://i.imgur.com/MvLDRrp.png

Which of these gets me a better chance at getting in to Managers?
Is Quantopian completely avoiding leveraged etf's?
I know that backtests do not perfectly model real-money performance, but I plan on trading with real money so I will get real money results.
Will trading a leveraged etf always be a reason to pass on my algo for Quantopian, or can good real-money performance be a reason for an exception?

I'm not saying that my strategy is super great or anything. I just want to do whatever I can to help my chances of being selected.

7 responses
Peter Bakker

Hi Jeff, THE Q folks can answer this but I'm intrigued how one can make a algo that has beta zero, beats the market, in the second case, with an incredibly low drawdown...

I would like to learn from you what the trick is.... Could save my retirement....

Taylor Smith

My guess is it's market neutral statistical arbitrage.

Jeff, keep in mind that there are borrowing fees for shorting leveraged ETFs. That's why Q doesn't allow them.

Jessica Stauth

Hi Jeff,

Great question - I think it makes sense to focus on your un-levered strategy.

There are a number of aspects of levered ETFs that make them problematic - as Taylor points out, there are transaction cost and short borrow availability issues that are not handled in our simulation today. Even assuming those issues are addressed correctly, I'd still prefer the approach of separating out your 'alpha' generation strategy from the effects that can be achieved by applying leverage. In the context of the Quantopian Open I expect us to tighten up the allowable leverage constraints and move towards evaluating un-levered strategies and then think about how to apply leverage at the Quantopian fund portfolio level down the line.

I also want to stress that we are actively evaluating paper trading algos from the Quantopian Open for inclusion in the fund. Real money track record is the gold standard, but out of sample results on paper trading are a huge step in the right direction versus pure backtested performance - so if you haven't submitted your best candidate algos to the Open I would strongly encourage you to do that ASAP. Don't be overly concerned about where your algo ranks right out of the gate - there are a lot of games people can play with their backtest to make things look great, but in the long run I expect algos that perform well in paper trading to make their way to the top of the heap :)

Best wishes, Jess

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.

Michael Van Kleeck

Jessica, for inclusion in the fund, are you also evaluating paper trading algos that aren't in the Open? There are probably some good ones out there that aren't in the contest simply because of the limit of three entries per person.

MiLiMaLa Hong

It's not hard at all to get zero beta if that's what you want. To trick the CAPM model, a little bit of linear algebra should suffice.

Phoebe Garcia

Is the hedge fund manager program still available?

Dan Whitnable

@Phoebe Garcia Quantopian discontinued the fund earlier this year and no longer is soliciting algorithms for our own use. There is a post announcing this strategic pivot here which gives a bit more detail if you are interested.

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.