How stable is stability calculation?

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How stable is stability calculation?

posted May 3, 2015

Can somebody point me where is the stability in this algo statistic?
It is one of the best by stability in april Quantopian open.

Paper Trading
score_pt_rank 192 score_pt 47.96

rankAnnRet_pt 320 annRet_pt -318.93%
rankAnnVol_pt 44 annVol_pt 4.71%
rankSharpeRatio_pt 218 sharpe_pt -1.14
rankMaxDD_pt 133 maxDD_pt -3.80%
rankStability_pt 2 stability_pt 0.99
rankCalmar_pt 303 calmar_pt -84.00
rankBetaSPY_pt 160 beta_spy_pt -57.56%
corr_pt 0.08 consistency 0.80

I only see stability of loosing.
Is that we are looking for?

10 responses

Simon Thornington

It is probably losing in a very stable manner, very smoothly.

@ Simon Thornington

Is that we are looking for?
Do you think Quantopian should use it in managers selection?

Simon Thornington

I think it's reasonable, yes; it's just one of several criteria, and between two equally good algorithms, one would prefer the one that was more stable.

@ Simon Thornington

Do you think the algo which loosing money in stable and consistent manner deserve to be in top ten list because it has the highest stability and consistency?

Simon Thornington

Sorry, what makes you think it's in the top ten? All the ranks look pretty high to me. The CSV you download is not sorted by winners at all...

There was no mistakes from my side.
I have sorted them:
7 65.314 192 47.959 320 -318.93% 44 4.71% 218 -1.144 133 -3.80% 2 0.993 303 -84.000

Simon Thornington

Do you have a link to an algorithm with a 320% loss showing up in the leaderboard? I can't seem to find the April leaderboard link any more.

As I mention above the statistic is for april Quantopian open.
https://www.quantopian.com/leaderboard/2015/4

Simon Thornington

Hmm okay sorry, I see the problem now! That does seem strange, and I agree with you, it seems odd that that would have made it to the top ten.

Can somebody from Quantopian stuff point me where is the stability in this algo statistic?
It is one of the best by stability in April Quantopian open.

Paper Trading
score_pt_rank 192 score_pt 47.96

rankAnnRet_pt 320 annRet_pt -318.93%
rankAnnVol_pt 44 annVol_pt 4.71%
rankSharpeRatio_pt 218 sharpe_pt -1.14
rankMaxDD_pt 133 maxDD_pt -3.80%
rankStability_pt 2 stability_pt 0.99
rankCalmar_pt 303 calmar_pt -84.00
rankBetaSPY_pt 160 beta_spy_pt -57.56%
corr_pt 0.08 consistency 0.80

I only see stability of loosing.
Is that we are looking for?

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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.