It was suggested by a very nice person on here to look at the statistics on the leaderboard to understand the contest statistics and so I did. The leader, Naoki Nagai, has a paper trading Sharpe ratio of 36.69. Whoa! What little I know about Sharpe ratios suggest this is fantastic. It is going to be hard to beat an algorithm that paper trades with a 36.69 Sharpe ratio.
In a former life I was an assistant to a powerful guy who managed money. I answered his phone, ran errands, got coffee and lunch, kept his schedule that sort of thing. I overheard him express disbelief when he was told that Steven A. Cohen - the founder and manager of the SAC hedge fund - had a Sharpe ratio of 7 in his first few years. Now we know that SAC was doing some pretty illegal stuff to generate returns like that. Even so, a Sharpe ratio of 7 is probably as high as it gets.
Imagine a Sharpe ratio of 37?
Perhaps there should be a reality screen on scoring algorithms.