The final June leaderboard is now published. June is currently missing the correlation scores, those will fill in later. July and August leaderboards will be posted shortly, using the updated rules.
Congratulations to Michael VK on pulling out the win!
The bug was indeed in the dividend accounting. The dividend cash transaction was happening after the closing portfolio value was computed, but before next day's opening portfolio value was computed. Some of our risk and measurement statistics, like overall returns, are computed by comparing one day's closing value to the next day's closing value. These statistics were not affected. However, some risk statistics were calculated by comparing the day's opening value to the day's closing value. Those statistics couldn't "see" the dividend because it was already paid before the opening value. Volatility and sharpe were affected. This bug affected paper trading, but does not affect backtests.
The underlying bug in zipline is still present, and that fix is still in progress. What we've done today is fix the leaderboard.
We found that the bug has been there since the very beginning of paper trading! We appreciate the feedback from the community that found this bug. Every time we dig one of these up, the platform gets better for everyone. The thousands of eyes checking the backtester and the results is making the tools more robust.
To summarize: algorithms that had dividend events during their paper trading had incorrect sharpe and volatility calculations, which affected the leaderboard's scoring. The leaderboard has been corrected.
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