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Futures leverage/risk

Does anyone have any specifics on how will leverage/risk be evaluated for futures algorithms competing for capital? I looked through the other tutorials and didn't see anything, sorry if I missed anything!

Thank you

3 responses

Hi Cam,

That's a great question. A similar question was asked in another thread. Essentially, we are working on a metric called CVaR as a measure of risk for futures algos. We are working on building the metric and deciding on criteria for how much expected CVaR an algo should be able to take on when moving its portfolio from one state to another. I don't have much more info available yet, but we will make an announcement in the community when we have more to share. Stay tuned.


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Will we be able to mix equities and futures in our portfolios? For example, as a hedge to a long equity portfolio, I may want to short S&P e-mini contracts rather than short SPY. Will these mixed portfolios be eligible for contest entries?

We're definitely planning to have a contest where you can trade both. I'm not yet sure whether the first edition of the contest will be futures-only or futures and equities, but having a contest that allows trading both is definitely on the roadmap. Part of the reason we're building out a CVaR metric is because it extends to any asset class (based on the return stream), so we hope to be able to use it in strategies that trade futures and equities.

Mixed portfolios can also be eligible for an allocation. We're working on building out these criteria as well.