So, I have been researching copula methods in finance and came up with this idea and algorithm. There are several reasons I cannot use this for the contest.
- It took 4 hours to run this backtest of 1 year with just 80 securities.
- I had to use before_trading_start to fit the model.
- I haven't even used optimize API yet.
Now imagine if I tried to run this backtest on 500 or 1000 securities and ran the backtest for 5 years it would take me days (literally) to finish the backtest (after assuming that model fits in 5 minutes).
This is very disappointing. We devote days and weeks to research and come up with original ideas but the platform is so slow that we are unable to capitalize.