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Understanding Contest Results

When I download the results, I get a file full of different factors like returns, volatility, etc.

Some are obvious enough while others take a quick google search. There were still some that I couldn't seem to understand though. Is there anywhere on quantopian that has a list of the factors on that excel file with explanations of what they mean?

If there isn't a list that explains it all, these are the ones I'm confused about:

  • What's the difference between "min" and "max"? As in, when it says "max cumulative specific returns", does it just find the 365-day period in which a certain algo had the best performance?
  • What is max_max_ drawdown and min_max_drawdown? Maybe this'll be explained when the above question is explained too.
  • What is dollar exposure?
  • What are "max_traded_in_qtradeable" stocks?
  • What rate is the turnover? monthly?
3 responses

Hoping for a reply at some point so I can understand this better

Hi Ma,

The metrics in the downloadable .csv file are the metrics that are used when checking if an algorithm passes the contest criteria, as well as some other performance metrics from the out-of-sample period of the contest algo.

Max cumulative specific returns is the maximum cumulative specific returns in the OOS of the contest algo, while min cumulative specific returns is the minimum. You can think of this as finding the minimum and maximum values along the OOS cumulative specific returns time series.

Min and max drawdown are the lowest and highest points on the max drawdown time series. In retrospect, the maximum max drawdown doesn't make much sense, and the minimum max drawdown is just... the conventional max drawdown.

Dollar exposure is your exposure to long or short positions. A dollar exposure of 0 means you are equally invested (by capital, not position count) in long and short positions.

Max traded in qtradeable - the maximum % of your portfolio (by capital, not position count) that was in the QTU (Quantopian Tradable Universe) on any given day. A value of 1 means on at least one day, the algo was 100% invested in QTU stocks. Similarly, the minimum traded in qtradeable reflects the minimum % of your portfolio (by capital) that was invested in QTU stocks.

Turnover is computed over a rolling 63-trading-day window. You can read more about the details in the contest rules.

Does this help?

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Hey Jamie,

Thanks for the response! Quite helpful.

One last question, so the cumulative specific returns are not on an annual/monthly basis or anything of the sort, but simply the best returns achieved on the entire OOS timeframe?