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September Prize Winner: Pravin Bezwada

Congratulations to Pravin, our winner for the September prize! Today we're starting the first part of the prize, the algorithm consulting. We're working on making his algorithm more robust and making sure it's ready for live trading.

Then, we'll start the monetary part of the prize: 6 months of trading $100,000 of our money, and he keeps any profit.

Pravin has been a member of this community since late 2013. He's a prolific poster here on the forums, with dozens of algorithms and backtests under his belt. I'm looking forward to a longer interview with him later this month.

Congratulations!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

18 responses

Thanks Dan and all the folks at Quantopian for providing such a great platform and making it possible for me to experiment with data and come up with something.

Well done!

Congratulations Pravin !

Congrats!

Thanks all.

Congratulations, Pravin.

Would you be willing to say anything about your strategy? One question, which Q can probably already sort out, is how much capital it might sustain? Beyond $100K, what do you think will happen? Will it be killed by slippage? Or will it hold up at $5M of capital, for example?

Thanks Grant. I don't think it can sustain beyond $100K because I am hedging positions with an index and that could cause slippage.

Congratulations Pravin . . !

Best wishes for future.. . ..

Congratulations Pravin. Great work. All the best

Congrats! Hope your prize period earns you a good return.

Pravin,

Hmm? I hope you make some money (looks like it could be around $7K), but I have to comment that if the contest is not taking strategy capacity into account, I don't see how it ties into the $10B Quantopian crowd-sourced hedge fund. The problem is, they'd need 10^9/10^5 = 10,000 algos like yours, which seems like an unrealistic number. Although, I suppose if Quantopian gets to 100,000 users, then only 10% of them would need to have decent, unique strategies. Still seems like a stretch, though.

If you end up in the hedge fund, you'd get maybe 10%*14%*$100,000 = $1400 per year. Not bad, I suppose, but not super motivating, either.

The "financially prudent" rule would seem to dictate that your algo should have been rejected, in favor of one with greater capacity. Otherwise, $100K gets tied up, when it could be used to put real money toward a hedge-fund-viable algo.

Grant

Pravin,
Congrats on the great work! Jess and team can help you develop other hedging ideas to increase the capacity of your strategy. Keep at it!
thanks,
fawce

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Hey Pravin, you might be underestimating the capacity of your strategy if you are long a basket of stocks and hedging with a liquid index fund like SPY. Hedging with an index fund is pretty standard and there are usually shares available to short at reasonable rates. Your turnover rate will probably affect the capacity of your strategy more than anything else. If you're holding a portfolio of liquid stocks with a periodic rebalance, then I think you can probably throw quite a bit at it, as long you're not too concentrated in a few assets.

If you always hedge with the same index most of your slippage is incurred when you first start trading because you have to establish a massive short position. Once that position is established you'll only accumulate/distribute a small portion of your hedging position at each rebalance so the impact is not so bad.

Congratulations and keep em coming!

David

Perhaps a topic for a separate discussion (not to detract from Pravin's win), but real-world capacity (on the scale required for the Q fund) would seem to have been completely left out of the contest judging criteria. My sense is that each strategy needs to work at 10X-100X the capital of the contest, so we are talking about orders of magnitude difference (and maybe 1000X, for a $10B Q fund). There is incentive to write algos that work at $100K, but that doesn't mean they'll work at $10M.

+1 for Grant topic. It would be really interesting to know Q idea.

Way to go, Pravin! Congratulations!!

What ever happened to Pravin's algo, is it running?

It is paper trading on evaluation mode currently. Scheduled to go live next week.