New tearsheet challenge on the estimates dataset!

What if we run out of memory trying to load such a long backtest into the notebook?

Viridan: Good point, I hadn't thought of that. I considerably reduced the duration of the backtest so that there shouldn't be any memory problems.

Disclaimer

Kyle M

Edit: see below for my two "final" submissions. One based on this algo, and another that uses higher turnover to drive better short-term returns.

3 estimates factors

thank you Quantopian!

Balakrishnan Swaminathan

Nice. My submission -

@Balakrishnan Swaminathan I think you posted the wrong notebook.

first try

Kyle M

Likely too high of turnover to be exciting for Q, but here's another shot.

(Re-submitting because I made some fixes.)

To my surprise there actually appears to be some good alpha in analyst price targets, albeit with very quick alpha decay. Trading at close is already much worse than trading at open, and then within a day it's all gone.

Interesting to see the style analysts latch onto -- heavily momentum.

It's a shame Q can't do anything with this. Fundamental alpha seems like a lot of hocus pocus to me, like predicting next year's fashions, whereas this has a clear mechanism that explains it.

This is the same strategy, just starting at Jan 1 2010.

Daniel Cascio (Blue Robin)

Would Quantopian be kind enough to post a template algorithm (backtest) using all the features and data so that we can work on it? The learning curve is quite steep otherwise for many of us.

I previously uploaded the wrong NB so I just deleted the post to keep clean. Consists of 4 FS EST Factors. There is a drop off from Day 1 to Day 2 but seems remain stable thereafter. Turnover averages out around 10%. One take-away for me is to see if I can minimize risk tilts a little better but overall not too bad.

Joakim Arvidsson (Cream Mongoose)

My first one. 4 Estimates based factors (maybe too complex?). This was my 'validation' period (single backtest).

Here is a template for creating an algo for this challenge.

Disclaimer

Thank you @Thomas

Thank you @Thomas.

The IR dropoff :(

I'm a little bit confused by the turnover tbh, I'm only ordering once at the beginning of the day.

Guy Fleury

@Jamie, I do like that equity curve. Great job.

Sorry for the submission spam, I've had a lot of fun with some of these datasets :). Will Q do a live video evaluating our submissions?

Andy

Five estimate factors (across LongTermConsensus, ConsensusRecommendations, PeriodicConsensus, Guidance, Actuals).

Does the entry need to include estimates datasets only? Can I use other factors as well in addition to factors derived from estimates datasets?
Here is my entry. This contains only the estimates datasets. Thanks!

Newer Version Below

Shiv: No, every factor should be using estimates as its primary source, but if there is alpha in combining estimate data with other data sources, that's totally fine. Your tearsheet looks great, but a) it looks like you're close to equal weight, and b) can you increase your universe size, and c) you have a pretty high tech exposure, which doesn't have to be bad, but maybe that is a spot where you could apply the optimizer only at tech exposure..

Disclaimer

@Jamie -- Lets say you have a $100mm book and rebalance the entire portfolio once a day, if you exit $100mm worth of positions and enter $100mm worth of new positions, you just turned over a total of $200mm. That's presumably why your one notebook's turnover is hitting 2.0 (e.g. $200mm transacted/$100mm portfolio value).

Four Factors

Newer Version Below

I'm really excited about all these fantastic submissions!

One request: If you post an updated version of your factor, please remove the previous version. That will make it much easier for us to sort through when determining the winners. We will take correlations and similarity into account.

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Vasilis Nikolaou

four-factor model updated

Alan Coppola

This one uses
https://www.quantopian.com/posts/build-alpha-factors-with-cointegrated-pairs
as the starting point.
@Rene uses co-integrated pairs to look at earnings surprises, and goes long-or-short based on the direction of the surprise.
Because there are limited pairs, we use a minimum-total-number-of-assets filter(60 in this case) and hence create a factor that both has a limited number of assets in it, and is investment-on-off filtered.

Kyle M

Three estimates factors

Vladimir

Three factors alpha there is a newer version further below.

Daniel Cascio (Blue Robin)

Final Submission:
Added 4 more factors (total of 8 factors). Correlated with last entry with correlation at 0.80

Vedran Rusman

Final Submission 1: Four Estimates Factors

Here's two factors with better risk exposure tilts

Indigo Monkey

Two factors to get in early before the start of analyst momentum herding.

Indigo Monkey

Five estimate factor model

My second attempt

Indigo Monkey

One factor to keep things simple

Vedran Rusman

Final Submission 2: Seven Estimates Factors

single factor

Could someone please guide me on how to create a Custom Factor with a 90-day window on Factset PeriodicConsensus data?

Andy

4 estimate factors. Tried to focus on large universe, long-term stability and controlled risk exposure via factor construction.

Vladimir

Single Estimates alpha without constraints.
There is a better version further below.

Vladimir

Three factors alpha without constraints

Another single factor

Attempt 1.

Pure raw 8 Estimates factors

Joakim Arvidsson (Cream Mongoose)

Pure raw 5 factors, quantile binning

Enigma Variation

Wow, some really impressive tearsheets. My submission is using the Broker Recommendations dataset as main source.

Enigma Variation

Another tearsheet, also using Broker Recommendations als main dataset.

Late submission. Tried to replace my second model but wasn't able to.

Edit: Deleted my second model above, as this one replaces it.

Thanks for all your submissions, we are really excited about all the algorithms, some of which look really good. What I'll do next is go through all of them, select the winners together with David and then do a live review of them where we will announce the winners (of course I'll post it here too).

Due to the success of this, I'd really like to get some feedback, as we'll definitely do more of them in the future. What did you enjoy here, what was not so great, what questions came up, was it enough time or not nearly enough?

Also, if you want to make my life easier, please go back and delete any outdated submissions that are superseded by more up-to-date ones. Or, even better, edit those old ones saying that there is a newer version further below, that way we can see the progression. Thanks!

Disclaimer

Thanks, @Thomas for your template algorithm. I mostly struggled with API and it would be nice if we could see more examples of using Factset data.

Did not know how to get a series of consensus estimates for a historic window (say 90 days).
Could not figure out why this does not work as expected: factor.rank(groupby=sector, mask=screen).zscore(groupby=sector)
Q does a great job pre-trade, but access to post-trade analytics within an algorithm is very poor. I want to see the IC of my signals as algo progresses so that I could use some form of dynamic weighting.

Thanks everyone for submitting their factors, we are really excited with the results of this challenge!

I announced the winners during our webinar where I also went over the new alpha tearsheet, showed some common failure modes (and what to do about it), how the winners performed out-of-sample, and showed what happens when we combine the winning factors on our end. If you missed the live webinar, you can watch it here: https://www.youtube.com/watch?v=FYnxvdHPan8&feature=youtu.be

The winners are (in no particular order) drumroll:

Antony Jackson
Shiv Chawla
Vedran Rusman
Kyle M
Vladimir

We liked these 5 factors so much that we are sending licensing agreements to all of them. Please join me in congratulating them, as they really did outstanding work.

If you submitted a factor but didn't win, we still want to thank you for submitting by sending you a Quantopian T-Shirt (if shipping is too hard because of where you live we will send you an Amazon gift card instead).

If your factor received some feedback that you now want to fix, please post an updated version here and I'll be happy to take another look.

Stay tuned for the next data challenge coming up soon!

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I don't believe you have my address, how are you going to ship a t-shirt?

@Jamie: My people will get in touch with your people ;)

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Yes, please get in touch with me, too.
I want the Q T-Shirt!
Even if I didn't have good results on this particular challenge I'm doing really great on the daily contest, so I really think I deserve one!

Thanks!

Here' my resubmission. Six estimates factors.

Here's the same as above but implemented with an Unsupervised ML algo. Looks almost identical but wanted to illustrate implementation possibilities.

@James: Those look excellent, thanks for posting the updates. There is a good chance we'll want to license that one too.

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Leo M

My updated submission.

Leo M

I'll be posting an update version with some changes.

@Thomas
I worked further and added (improved) more factors. This includes the latest work with Guidance dataset which I have shared separately on the other post.

James M

Thank you

Enigma Variation

My updated submission. Daily turnover and alpha decay are still incredibly high; that's just part of this strategy.
There's a thread on the evolution of this strategy; thanks again for the great feedback I got there!

Thanks everyone for posting the updates, we'll evaluate them carefully.

Apologies that the winners and contestants have not received their prizes yet. As this is the first time we've been doing this we're still figuring things out. The winners should have the cash prizes by the end of this week. If you submitted and want to get your t-shirt, please email [email protected] with your address and shirt-size (S, M, L, XL).

Finally, I can't promise that we will keep the T-Shirts for future challenges, we'll play that by ear.

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Leo M

2013-2018

Thanks for the feedback Leo. The example equal-weighted allocation I showed in the webinar is not how we allocate things in our fund, so I completely agree.

Disclaimer

Leo M

Thomas, I also had another feedback. It will probably be a good idea to compare an industry standard Estimates factor's performance during the in-sample and out of sample period and see how much relative degradation happened with respect to that benchmark degradation. In the absence of an industry standard Estimate factor performance, one could possibly take the average degradation (or top 50% degradation) in the submission universe.