Does anyone know how many instruments are traded by the top 10 leader board traders for all previous months? Are they trading 5, 10, 20, or 30 instruments?
I have 18 total in the algo that won the first round of the contest, although at any given time, some may have minimal weight in the overall portfolio.
Thanks Grant for sharing your information. Any chance that you can share with us your backtesting results? Are you compounding your results during the two years of backtesting?
The results of past winners can be found here:
https://www.quantopian.com/posts/contest-data
Lucas,
The contest data provide limited information. I am looking for a bit more granular info, i.e. monthly results from the two years of back testing per contest requirements. From these monthly results, I can calculate the Sharpe, Calmar ratios, Sortino and etc. I would like to confirm that the ratios provided by Quantopian are correct. Sometimes, it does not hurt to have someone else double-check the calculations.
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