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Backtests for strategies on contest leaderboard

When clicking on a leaderboard entry in a contest we get information about the performance of the strategy on live data as well as on a backtest. Does this backtest have standardized settings (like starting and ending date and the starting capital) for each contest?

It would be very interesting to be able to compare one's own strategy with the leading ones on exactly the same backtest.

2 responses

For the backtests, they are standardized on many settings like capital, slippage, and commission. The dates depend on when the entry was made, however.

This works for the purposes of the contest because every contestant has to meet certain hurdles on their 2-year in-sample backtest, but their actual performance is determined by their out-of-sample performance. Because we have a rolling entry system, the contestants have varying amounts of out-of-sample. Of course, by the time the finish comes around, they all have at least 6 months of out-of-sample.

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Hi Dan,

Thanks for your answer. Let me make sure that I understood correctly:

  1. The backtest covers 2 years prior to submission date. E.g. for the entry Tim Vidmar's entry the backtest range would be two years prior to March 12, 2017?
  2. I guess slippage and commission is the default as in Quantopian's IDE or do you have other defaults for the contest backtests?
  3. The capital is 1 000 000 USD?

Is this correct?
I know that what really counts in the end is the out of sample performance but it would be interesting to be able to compare one's own algorithm with the top ones prior to entering a contest..
Best,
Romuald