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June Leaderboard Updated
Dan Dunn
posted

Last week we announced that we'd be using updated rules for the June contest. You can see them implemented now on the leaderboard. You can see how algos with a beta between 0.3 and -0.3 are ranked above algos that don’t make the beta cutoff.

A refresher on the beta cutoff calculation: We are computing your beta to SPY over a trailing 1-year period at the end of each month for a year, and then averaging those results. In actual practice, that means computing your beta to SPY for the year ending April 30, 2015, for the year ending March 31, 2015, for the year ending February 28, 2015, etc. until we have 12 computations, and then averaging them.

We don't yet have an automated way of showing you that cutoff number in the backtest, but we do have a way for you to calculate it yourself:

  1. Run a full minute-mode backtest from 5/1/2013 to 4/30/2015.
  2. Click into the ‘beta’ tab on the left side of your full backtest screen.
  3. Take the mean of the twelve most recent values for twelve month rolling beta (the rightmost column)

This value will match what you see on the leaderboard.

As the contest kicks off future months, we're going to recompute the filter to use the latest 12-month period. This means that with every new contest, everyone will get a new beta score.

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.

4 responses
Michael Van Kleeck

From the "Last updated X hours ago" text, it appears that the June leaderboard was updated shortly after market close today (Friday 5/29), but the Sharpes for paper trading don't match the May leaderboard and the algo dashboard. Did the new rules change the Sharpe calculation? Or did the update not include all of today's trading?

Dan Dunn

The update at 4pm on the 29th was still the 28th's data. As of now (the 30th), the June leaderboard includes the 29th's data. It is, I believe, entirely up to date.

Peter Bakker

But with some algos, like mine, still scored incorrectly: 6.3 sharp with -100% return... Return is more +100.....

Michael Van Kleeck

Perhaps it's a caching problem on my end, but on Saturday 5/30 I'm still seeing the same June leaderboard from Friday, with Sharpes that don't match the May leaderboard and the algo dashboard. Is anyone else seeing this?

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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.