Our contest remains the most successful method to inspire new ideas, license new algorithms, and provide guidelines on the type of algorithms we are looking for. First off the bat: the contest is not changing. It is unrelated to this challenge and remains your best bet to receive an allocation. But because of its success, we want to experiment with some additional challenges, and this is the first of these experiments.
Here are the rules:
- There is no submission or live-updated leaderboard like for the contest. To enter this challenge, simply post an alpha tearsheet as a reply to this thread. For this, you would run a backtest on your factor and run the alpha notebook which loads in your backtest results.
- The deadline to submit a factor is September 16, 2019 at 9:30am ET.
- There is no hold-out testing, just post your best factor starting on June 1, 2015 until Sept 1, 2018.
- We will look at all submissions and manually determine the 5 best algorithms according to our discretion. Each winner gets a $100 prize.
- There is no limit on the number of submissions.
Algorithm requirements to enter the challenge:
- Use at least one of the estimates datasets (Consensus, Actuals, Long term, Broker recommendations, Guidance) as your primary signal source.
TargetWeightsin the optimizer and do not put any constraints on common risk exposures.
- Use the QTU.
- Set slippage and commission costs to 0.
When selecting a winner, we will primarily look at:
- Specific Sharpe Ratio (IR) in the first 5 days (higher is better).
- Turnover (lower is better).
- Universe size (larger is better).
- Not driven mainly by common risk (but no reason to try and artificially reduce your exposures, ideally your idea is dissimilar enough from common factors that it will be naturally uncorrelated).
These rules are mostly derived from our updated guidelines on getting an allocation and are based on many community members' feedback. Thank you for all your input and creative suggestions. If this challenge is well-received, we will continue to offer more experimental challenges.
Ultimately, we want to keep improving our ability to find your best ideas and fund them!
Good luck and happy coding!