Just a thread to track OOS tearsheets of models in the Insiders transactions Challenge, so not to 'clutter' the main challenge thread too much with 'OOS' tearsheets. OOS in quotation and to be taken with some grain of salt, as it's quite possible to train on this period as well.
The first one below is of my Model 3B (non-linear interactions with 'Value factors'). OOS period: 2005 - 2014.
Hey mate,
You might have just discovered the elusive "holy grail"! You're on a roll, keep up the good work!
Thanks mate! I remain sceptical, but it does look quite nice on historical data. Will attach the OOS tearsheet of my other Insiders models once I get a chance. I doubt they’ll look as impressive.
Here's the OOS tearsheet (same period as above) for my 3A insiders model. Same factors (insiders non-additive interactions with 'Value' factors) as model 3B, just different ranking scheme.
Model 4A OOS tearsheet (Insiders non-additive interactions with 'Growth' factors). Looks like I overfit this model a bit unfortunately. Hoping not to repeat that in my next (5th) model. I also wish I knew of a better way of assessing level/degree of noise fitting...
Model 4B OOS tearsheet (same factors, alternative rankings), looks overfit as well, though perhaps slightly less so?
Model 5A OOS tearsheet. This one suffers greatly during the GFC & Recovery periods, possibly due to the positive exposure to generic Momentum?
Model 5B OOS tearsheet. Same with this one, though perhaps slightly less affected by the GFC & Recovery periods?
Thank you @Enigma, I try my best not to fool myself.
Here's the OOS tearsheet of my Model 2 (pure Insiders - generalized). Still a bit overfit I reckon...
Thanks Viridian! None of the Insiders factors were trained on this period but some of the 'Value' factors I'm interracting with I had trained from 2010 onwards. So, anything from before 2010 would be true OOS, if you could call it that. Will the model work on future data? I have no idea, but I hope so, as that's the whole point after all. :)
Average Turnover is 5.92% but briefly dips below 5% so I would need to reduce some of the smoothing I'm doing. That shouldn't impact alpha too much, if anything it should improve 1 day IR if anything I reckon. It meets all other contest requirements though so yes, I might submit it later (I have 1 slot open).
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.
