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What is actually displayed on the contest performance page?

The contest leaderboard allows you to drill down on the performance of a given algo. However if we look at one (high ranking) algo across multiple contests the results are the same for each contest:

https://www.quantopian.com/leaderboard/21/578a4e88070c0828d80008d3
https://www.quantopian.com/leaderboard/22/578a4e88070c0828d80008d3
https://www.quantopian.com/leaderboard/23/578a4e88070c0828d80008d3
https://www.quantopian.com/leaderboard/24/578a4e88070c0828d80008d3

The MaxDD, beta, Sharpe, etc are all the same for all four contests. One would not expect the same algo to have the exact same MaxDD, beta, Sharpe, etc over different periods, in fact I would think something was wrong if it did. In the contest rules it states:

If you win, the overall performance of your algorithm during the prize period will be public

So what results are actually displayed? The results of the given algorithm in the latest contest?

Thanks in advance.

1 response

The way to think about contests is the date that the entry was made. If someone makes an entry before the contest deadline, then that algorithm is entered into all subsequent contests until it is withdrawn. It's a rolling entry. The entry's paper trading score is computed on all available paper trading data. The fact that you see the same MaxDD, beta, etc. is exactly expected. That particular algorithm was submitted on July 16th of this year, and the full paper trail record is used for each of the subsequent contests.

When you think about it, that works pretty well. If your algorithm loses a lot of money (big maxDD) it's going to be a loser, and you might as well stop that entry and try a new one. If it's doing pretty well in terms of returns, then those returns are annualized so that they can be compared to other competitors with a different test duration. If you have a couple volatile days, you can wait it out - your volatility will smooth out over the long run.

The quote that you pulled from the rules is a different question from the leaderboard, and it's actually obsolete. The prize for the contest used to be that your algorithm would trade real money, and we publicly shared your performance. That rule was to make it explicitly clear that was a condition of the prize. The last real-money trading prize concluded last month, so it's something that we will remove in the next revision of the rules. It's no longer relevant.

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