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How are futures algorithms evaluated?

Hi, can anyone in the quantopian team give me some ideas as to how futures algorithms are evaluated? The ones under the allocation and the contest sections seem to be catered only to equities strategies. Please let me know!

3 responses

Hi Seine,

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 imagine sharpe, volatility, drawdown, and beta-to-SPY will have similar criteria to equity strategies.

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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Thank you for your response, Jamie. I have two more questions- can we submit futures algorithms for the contest? When will you start funding good futures algorithms?

Hi Seine,

You can't submit futures algorithms to the current contest, but we are in the process of developing a new contest specifically for futures algos.

I don't know yet exactly when we will start funding futures algorithms, as it will depend on how soon we find some that pass evaluation, but I can tell you that we plan to start evaluating strategies over the next few months. As I mentioned earlier, we are still working on defining our evaluation criteria, so it will be a bit of an iterative process, but we plan to start evaluating soon.