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Quantopian - what's new?

I've been taking an indefinitely long break from Q. That said, what's new? I gather that not much has changed in N months (N >> 1). Anything interesting going on?

8 responses

Hey Grant,

Welcome back from your hiatus! There's new Global Dataset from Factset, otherwise, same old, same old...cracking the low volatility, market neutral L/S strategy with risk adjusted returns objective!

I still don't really get why all this (possibly curve fit) obsession for the sake of then gearing up. I have been back testing simple All Weather strategies using mildly leveraged bonds (5 year treasuries and below) + stocks. Something like 125% bonds and 40 to 50% stocks. Using futures you are leveraging positive carry courtesy of the yield curve. Or on occasions of course suffering from negative carry. But positive on balance over the long term since longer maturities generally attract higher interest rates because of the greater interest risk assumed by buyers.

You can also reinvest most of your capital in T-Bills since very little is needed for margin. You test back to the 1960s on bonds or further so you see the effect of a rising rate environment on bond/bond futures prices. Notice the scary Volker period in 1980/81.

Rising rates eventually mean bonds benefit provided the rise ain't too swift and severe.

Perhaps all the manic activity here on long / short stocks is sufficiently different to attract big Steve Cohen and other punters?

Perhaps they would feel cheated by a simple risk parity approach?
For me the simpler the better. I'm not comfortable with the complex long short approach adopted here. Way too many variables for me and way too difficult to see what is driving the P& L.

Bonds go up over time. Unless they go bust. And high grade sovereign bonds at the shorter end of the yield curve are usually low volatility.

Stocks go up over time - provided you use some sort of filter like a stock index.

Provided you are modest with the leverage you are getting similar return on a risk parity approach to stocks but for 1/3 of the DD and Vol.

You are investing in two asset classes which should go up over time. You can see very clearly where you growth and income stream are coming from. You are not investing in a powder keg of code and relationships between stocks and classes of stocks which may not last.

You could of course rightly argue that stocks may not always go up. You could also argue that the fortunate and usual relationship between stocks and bonds may not last - both may crash at the same time.

However perhaps these bets are simpler than the jungle of code and tangled web of relationships provided by the Q Long / Short Strategy with complex optimization subject to the lord only knows how many constraints.

I could well be accused of being naive, simple, ill educated and plain wrong. For what it is worth however I prefer something I can fully understand and which is simple. Risk parity may not always produce the returns in the future it has in the past. And the risk reward ration may not be so attractive. But if it does go wrong at least it will be easy to understand why.

Thanks James & Zeno -

Yes, the Global Dataset from Factset was something in the works when I more-or-less checked out of Q. At this point, I'm not interested in pursuing a career in this field, so the time commitment for TBD success on Q is out of whack with my priorities.

Just curious--is the Global Dataset allowed in the contest? Presumably the answer is 'no' since I see on https://www.quantopian.com/contest/overview that the QTradableStocksUS is required, which would rule out non-US stuff, right?

Grant, great seeing you again here in the forums. The answer to your specific question "is the Global Dataset allowed in the contest?" is no not at the moment. Moreover, global data isn't supported yet in the IDE backtester -only in notebooks. The direction is certainly to support global data in the IDE and in the contest and subsequently for allocations in the fund but no timeline yet. I'd encourage working with the new data and tools in the notebooks to hit the ground running (so to speak) when it does become available. There's a good overview here in Jamie's post https://www.quantopian.com/posts/global-equity-pricing-and-fundamental-data .

To answer your more general question about "what's new?"... a bunch. Actually your post spurred work on a periodic forum update to the community just on that topic. Work in progress, but you should see something soon.

One other change you may have noticed is my personal role at Quantopian. I've started full time in support.

Grant, again, glad to hear from you.

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Hi Dan -

Thanks for the update. Dan Dunn used to send out a regular e-mail (monthly?) describing the various goings-on at Q. You might just revive that update, versus a forum post (I no longer pay much attention to the forums, but as a spectator, would probably read through an e-mail).

At a high level, I'm wondering if there is a new focus. When I do a Google search, I see "Quantopian: The Place For Learning Quant Finance" which suggests you have explicitly focused Q as a training platform (perhaps maintaining the Q contest and fund as a kind of "brass ring" incentive to learn?). Feel free to fill me in offline, if you want (since technically, I'm not supposed to even think about such things, let alone discuss them on the forum...).

@Grant Are there other platforms that you are focussing on?

@ Arun - no, just taking a break.