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rankings

hello,

my also is top scorer with 87.75% in contest 35. why does it have a rank of 304?
https://www.quantopian.com/leaderboard/35/59dfb92664453126b07f3bd7
in general, how is the rating given? is it based on sharpe ratio (only)?

thanks
-kamal

15 responses

The contest ranking rules are explained on the Quantopian Open page. Look for the "judging" section.

Your algorithm is ranked lower because it doesn't have all three badges. The overall ranking consists of everyone with all three badges, from highest to lowest score, and then everyone missing badges, from highest to lowest score. It looks like you have the 4th best score of people without all of the badges, but there are 302 people ahead of you who have all of the badges.

The badge you are missing is Positive Returns. Your backtest loses money.

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Past performance is not a guarantee of future returns (and vice-versa). So, will the ranking improve if it comes out on top despite not having 3 badges?
I am also curious why the sharpe ratio spikes as soon as you enter a contest. Also, another of my algorithms is entered in the contest 3-4 days back but yet to get a ranking.
https://www.quantopian.com/live_algorithms/59e325286bf94500102cbc51

thanks
-kamal

I guess the reasoning is that if your algorithm didn't work in the past, any future positive performance is purely/mostly based on luck. (Or that you somehow knew the algorithm was just about to start yielding positive returns the day you entered the contest, which seems unlikely)

Not exactly a case of me being lucky. To get an algorithm that yields good returns in the past, I would need to bet long on FANG stocks (or tech sector). My algorithm does not do that, and assumes that emerging market stocks will (eventually) outperform the domestic equities. It may not have happened in the past, but could likely happen in future meaning many brokerage houses believe that US stocks are fully priced but same may not hold true for emerging markets. So, its not a case of me being lucky now, but that algorithm would not have yielded results in the past but just might start doing so now.

thanks
-kamal

yes and that makes it dependent on market conditions. If those reverses, then you have negative returns again.This is very different from an algorithm that consistently outperforms whatever the conditions, which is what we are after, right?

yes -but it os based on a macro trend which hedge fund managers are vouching for. If the macro trend holds, then it will not flip in a week's time but will flip in a decade's time. If you have access, pl see my buy/sell actions for more info.

thanks
-kamal

Kamal - It requires 2 days of data before your algo makes it to the leaderboard. It's there now.

Sharpe ratio is very volatile in the beginning of the contest because there are very few data points - it can be both very high and very low. It takes many weeks for the leaderboard to "settle down."

Making investments on macro trends is certainly a common thing in the industry, but it is not the type of strategy that Quantopian is looking for. Quantopian is looking for algorithms that have low market risk with consistent low volatility and low drawdowns (there is more on that page I just linked). So you see, if your algorithm turns around and makes money, that might be great for some investors, but it's not what we reward in the contest.

We're working on a revision to the contest that will use a new scoring mechanism that will hopefully make it more clear what we are looking for.

Yippey! My algorithm is #1 on leaderboard. Any clues when I will get paid or how long it will need to be #1 for me to get paid?

thanks
-kamal

Right at the top of the leaderboard page it gives the submission deadline (two weeks) and the prize date (May 1, 2018).

what is the prize money? I even read that someone got an award instantaneously without waiting for 6 months to get over but was barred from adding any more algorithms to the contest for the next 6 months.

thanks
-kamal

I'll refer you again to the Quantopian Open page. It says "One winning algorithm will win $5000, 2nd gets $1000, 3rd gets $500. Plus 100 limited-edition tshirts." We give those prizes out every month.

We don't give instantaneous awards. The rules do include the restriction that "The winner of the first prize will not be eligible for cash prizes for the subsequent three months."

well- market neutral depends on what you define as the "market". In a globalised world, the entire world is one market. So, if I short the S&P500 but go long on some other indices, it could still be considered a market neutral algorithm. But from a domestic equity point of view, it is not a market neutral strategy.
The message above says I did not get positive returns from the backtest. That is because my market neutral strategy didn't yield gains in one particular scenario where the shorts yielded negative returns.
The algorithm has a annual volatility of 0.3265% and a sharpe ratio of 1.564 and a beta of 0.04898. So, it is not exactly an aggressive algorithm that ignores risk and volatility.

thanks
-kamal

I know about the $5000 prize. Viridian had mentioned that if someone takes your algorithm, they pay a bigger amount.

thanks
-kamal

Perhaps he's referring to the allocations we make to algorithms that meet our needs.

The largest allocation we've made so far is $15 million.

I had actually used optimize API to improve my algorithm's performance. After becoming #1, it has slid to #256. the original algorithm is ar #189.
So, it looks like the optimise api can do a good job but not all the time.

thanks
-kamal