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Quantopian open contest 26 results
Vladimir
edited Sep 3, 2017
Contest

Quantopian open contest 26 results.

261 (25.6% ) contestants outperformed SPY, but their average rank is 534.
From top 50 only 11 (22%) beat SPY by return. Average return 30.7% and their average rank is 27 .

Here are best of them:

Cerulean Chimpanzee 31
Anna Petrova
score_contest_rank 31 score_contest 74.13
Paper Trading
score_pt_rank 73 score_pt 74.13

rankAnnRet_pt 106 annRet_pt 50.51%
rankAnnVol_pt 624 annVol_pt 11.45%
rankSharpeRatio_pt 6 sharpe_pt 3.65
rankMaxDD_pt 460 maxDD_pt -5.22%
rankStability_pt 10 stability_pt 0.95
rankSortino_pt 24 sortino_pt 5.56
rankBetaSPY_pt 715 beta_spy_pt 50.58%

corr_pt 0.04

Cerulean Chimpanzee 34
Anna Petrova
score_contest_rank 34 score_contest 73.71
Paper Trading
score_pt_rank 81 score_pt 73.71

rankAnnRet_pt 112 annRet_pt 49.43%
rankAnnVol_pt 663 annVol_pt 12.70%
rankSharpeRatio_pt 24 sharpe_pt 3.25
rankMaxDD_pt 409 maxDD_pt -4.56%
rankStability_pt 5 stability_pt 0.96
rankSortino_pt 38 sortino_pt 5.23
rankBetaSPY_pt 725 beta_spy_pt 53.60%

corr_pt 0.04

Cyan Grasshopper 33
Matthew McKenna
score_contest_rank 33 score_contest 73.77
Paper Trading
score_pt_rank 80 score_pt 73.77

rankAnnRet_pt 133 annRet_pt 41.42%
rankAnnVol_pt 712 annVol_pt 15.35%
rankSharpeRatio_pt 131 sharpe_pt 2.35
rankMaxDD_pt 534 maxDD_pt -6.16%
rankStability_pt 100 stability_pt 0.90
rankSortino_pt 150 sortino_pt 3.76
rankBetaSPY_pt 212 beta_spy_pt 7.15%

corr_pt 0.00

The third prize got

Cyan Grasshopper 3
Matthew McKenna
score_contest_rank 3 score_contest 83.50
Paper Trading
score_pt_rank 6 score_pt 83.50

rankAnnRet_pt 136 annRet_pt 40.85%
rankAnnVol_pt 460 annVol_pt 8.06%
rankSharpeRatio_pt 1 sharpe_pt 4.32
rankMaxDD_pt 472 maxDD_pt -5.33%
rankStability_pt 72 stability_pt 0.91
rankSortino_pt 5 sortino_pt 7.59
rankBetaSPY_pt 97 beta_spy_pt 2.23%

corr_pt 0.00

The second prize got

Amaranth Caribou 2
ioannis ioannou
score_contest_rank 2 score_contest 84.11
Paper Trading
score_pt_rank 5 score_pt 84.11

rankAnnRet_pt 412 annRet_pt 9.49%
rankAnnVol_pt 128 annVol_pt 3.70%
rankSharpeRatio_pt 103 sharpe_pt 2.48
rankMaxDD_pt 120 maxDD_pt -1.85%
rankStability_pt 56 stability_pt 0.92
rankSortino_pt 128 sortino_pt 4.07
rankBetaSPY_pt 250 beta_spy_pt 9.43%

corr_pt -0.02

The first prize got
Trader Cat
Harlequin Sheep 1

score_contest_rank 1 score_contest 85.85
Paper Trading
score_pt_rank 2 score_pt 85.85

rankAnnRet_pt 435 annRet_pt 9.11%
rankAnnVol_pt 114 annVol_pt 3.43%
rankSharpeRatio_pt 83 sharpe_pt 2.58
rankMaxDD_pt 69 maxDD_pt -1.09%
rankStability_pt 44 stability_pt 0.93
rankSortino_pt 143 sortino_pt 3.81
rankBetaSPY_pt 179 beta_spy_pt 5.60%

corr_pt -0.01

From top 50 6 algos has returns below 3%(average 1.87%) and their average rank is 24.

1 response
Vladimir
Aug 2, 2017

Best Return

Taupe Eagle 1
Yusup Jorayev
score_contest_rank 1025 score_contest 21.23
Paper Trading
score_pt_rank 1014 score_pt 21.23

1 rankAnnRet_pt 1 annRet_pt 152979.79%
2 rankAnnVol_pt 1068 annVol_pt 6038.25%
3 rankSharpeRatio_pt 823 sharpe_pt 0.05
4 rankMaxDD_pt 1070 maxDD_pt -939.29%
5 rankStability_pt 1064 stability_pt NaN
6 rankSortino_pt 822 sortino_pt 0.07
7 rankBetaSPY_pt 1059 beta_spy_pt 1616.39% 

        corr_pt 0.09

Best Sharpe

Cyan Grasshopper 1
Matthew McKenna
score_contest_rank 3 score_contest 83.50
Paper Trading
score_pt_rank 6 score_pt 83.50

1 rankAnnRet_pt 136 annRet_pt 40.85%
2 rankAnnVol_pt 460 annVol_pt 8.06%
3 rankSharpeRatio_pt 1 sharpe_pt 4.32
4 rankMaxDD_pt 472 maxDD_pt -5.33%
5 rankStability_pt 72 stability_pt 0.91
6 rankSortino_pt 5 sortino_pt 7.59
7 rankBetaSPY_pt 97 beta_spy_pt 2.23% 

        corr_pt 0.00

Best Sortino

Taupe Eagle 1
Yusup Jorayev
score_contest_rank 734 score_contest 53.46
Paper Trading
score_pt_rank 528 score_pt 53.46

1 rankAnnRet_pt 3 annRet_pt 6067.97%
2 rankAnnVol_pt 1052 annVol_pt 385.91%
3 rankSharpeRatio_pt 75 sharpe_pt 2.65
4 rankMaxDD_pt 1047 maxDD_pt -87.64%
5 rankStability_pt 227 stability_pt 0.83
6 rankSortino_pt 22 sortino_pt 5.66
7 rankBetaSPY_pt 1067 beta_spy_pt 4317.60% 

        corr_pt 0.19

Best Stability

Dark Blue Hedgehog 1
Ankita Kar
score_contest_rank 471 score_contest 74.95
Paper Trading
score_pt_rank 65 score_pt 74.95

1 rankAnnRet_pt 173 annRet_pt 32.54%
2 rankAnnVol_pt 550 annVol_pt 9.66%
3 rankSharpeRatio_pt 37 sharpe_pt 2.99
4 rankMaxDD_pt 198 maxDD_pt -3.11%
5 rankStability_pt 1 stability_pt 0.96
6 rankSortino_pt 70 sortino_pt 4.76
7 rankBetaSPY_pt 854 beta_spy_pt 94.95% 

        corr_pt 0.16
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