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    • A

      Correlation fails although Sharpe ratio > 1
      Support • • agent.hitmonlee

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      Thanks for the answer!

      I still think something is wrong with this correlation checker. I even used this function to randomize the weights a few times, and I got the same correlation error:

      def add_random_noise(weights, noise_level=0.01): noise = np.random.uniform(-noise_level, noise_level, size=weights.shape) return weights + noise

      I am pretty sure it's impossible to have 90% correlation in this case.

    • R

      Processing Time
      General Discussion • • rezhak21

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      @support ok, thank you!

    • S

      Stocks strategy
      Strategy help • • spancham

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      @sheikh Hi, when it comes to stocks and historical simulations, the biggest issue is dealing with survivorship bias. The stock universe must include also stocks which have been delisted and we need to define trading rules which allow for trading instruments which make sense at each point in time. This week we are announing a new contest which is preparing the ground for stocks.

    • M

      Why we need to limit the time to process the strategy ?
      Support • • multi_byte.wildebeest

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      @multi_byte-wildebeest Hi, these limitations refer to the processing time per point in time, not for the full strategy.

      If it takes 10 minutes per historical day, and the simulation has to take into account 250 days for let us say 10 years, the multi-pass simulation would process 6 days per hour, 144 days per real day, that means 2 weeks of processing time for the full submission, it is a lot of time.

    • O

      Can I use astronomical data as features for my machine learning model?
      Support • • omohyoid

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      @support Thx for ur reply

    • news-quantiacs

      New futures data and next-to-front contracts
      News and Feature Releases • • news-quantiacs

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      @magenta-grimer Hello, we updated the documentation.

      Now there are 78 futures contracts. Yes, we allow allocating to only 1 asset. If you trade more assets, then you can go long on some of them and short others.

      Using more assets helps in increasing the Sharpe ratio, as the mean return grows linearly with the number of assets, and the volatility in the denominator with the square root of the number of assets if there are no correlation terms.

      Using uncorrelated assets would then lead to a scaling of the Sharpe ratio with the square root of the number of assets. In practice, however, correlation terms are decreasing this growth.

      Stated more simply, it is a good idea to avoid putting all your eggs in the same basket...

    • nosaai

      Local Development with Notifications
      Support • • nosaai

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      It's safe to ignore these notices but if they bother you, you can set the variables together with your API key using the defaults and the messages go away:

      import os os.environ['API_KEY'] = 'YOUR-API-KEY' os.environ['DATA_BASE_URL'] = 'https://data-api.quantiacs.io/' os.environ['CACHE_RETENTION'] = '7' os.environ['CACHE_DIR'] = 'data-cache'
    • magenta.grimer

      Optimizer for simple MA crypto strategy
      Strategy help • • magenta.grimer

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      There is a way to use the optimizer with a (stateful) mulit pass algo, but depending on the total number of changed parameters it can take a very long time. However, if it runs on a local computer with many workers this can still be useful.

      We could run the backtester with the multi pass algo to get all the weights for the test period and pass these weights to the optimizer.
      There's just one problem with this: you can't pass changed parameters to the strategy using the backtester.
      In order to solve this I created a nested function where the outer function takes the changed parameters from the optimizer. The inner function is the actual multi pass strategy and doesn't define the params but just uses the ones from the outer function. Still within the outer function we run the backtester with one set of params, get the weights it returns and return them to the optimizer.

      The time it takes to run the optimization would roughly be
      (time for 1 multi pass backtest) x (total number of parameter changes) / (number of workers that are able to run)
      So if one multi pass takes 1 minute, you want to optimize 10 parameter changes and can run 5 workers it would take about 2 minutes.

      Here's an example based on the one above with 2 parameter changes and 2 workers:

      import qnt.data as qndata import qnt.ta as qnta import qnt.optimizer as qnop import qnt.backtester as qnbt import xarray as xr def load_data(period): """Loads the BTC Futures data for the BTC Futures contest""" return qndata.cryptofutures.load_data(tail=period, dims=("time", "field", "asset")) def multi_pass_strategy(data, ma_slow_param=50, ma_fast_param=10): """The outer function gets called by the optimizer with changed params, the inner function gets passed to the backtester.""" def strategy(data, state): # The state isn't used in this example, this is just to show that it can be used while optimizing. if state is None: state = 0 state += 1 close = data.sel(field="close") ma_slow = qnta.lwma(close, ma_slow_param).isel(time=-1) ma_fast = qnta.lwma(close, ma_fast_param).isel(time=-1) weights = xr.zeros_like(close.isel(time=-1)) weights[:] = 1 if ma_fast > ma_slow else -1 return weights, state """The backtester returns all weights for the test period which will then be returned to the optimizer""" weights, state = qnbt.backtest( strategy=strategy, competition_type="cryptofutures", load_data=load_data, lookback_period=700, start_date='2014-01-01', build_plots=False, ) return weights data = qndata.cryptofutures.load_data(min_date='2014-01-01') result = qnop.optimize_strategy( data, multi_pass_strategy, qnop.full_range_args_generator( ma_slow_param=range(50, 60, 5), # min, max, step # ma_fast_param=range(5, 100, 5) # min, max, step ), workers=2 # you can set more workers on your PC ) print("---") print("Best iteration:") print(result['best_iteration']) qnop.build_plot(result)

      There might be more efficient ways to do this, so if anyone has one feel free to post it here.

    • M

      Printing training performance of neural network models
      Support • • multi_byte.wildebeest

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      @multi_byte-wildebeest Hello. I don't use machine learning models in trading.

    • E

      Improving Quantiacs: Aligning Developer Objectives with the ones of Quantiacs
      General Discussion • developers improvement quantiacs rankings risk • • EDDIEE

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      @eddiee Hi, Mr. Eddie.

      I am new to building strategies using ML/DL on Quantiacs and am very impressed with the OS performance of your ML strategies. I hope you can give me your contact (mail, limkedin,...) so I can learn from your experience in building an ML/DL strategy.

      Sincerely thank.

    • E

      Q17 Contest: When will you update the performance of the strategies?
      Support • • EDDIEE

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      @theflyingdutchman Hello, before the end of the week the update will be ready, sorry for the delay

    • B

      Accessing both market and index data in strategy()
      Support • • buyers_are_back

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      @buyers_are_back Hello.
      Here is a new example of stock prediction using index data.
      I recommend using the single-pass version.
      https://quantiacs.com/documentation/en/data/indexes.html

    • S

      Pairs trading with states iterations
      Strategy help • • spancham

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      @support
      Cool, thanks very much! 👍

    • A

      Taking long time and no status update
      Support • • anshul96go

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      @anshul96go Sorry for the late answer, we missed it somehow. Yes, all submissions sent before deadline will be processed and accepted.

    • M

      training, predicting and backtesting Neural Network
      Support • • magenta.kabuto

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      @magenta-kabuto The weights generated are simply the daily allocations to the various assets.

    • D

      Kelly criterion
      Support • • dark.pidgeot

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      @dark-pidgeot Yes, of course. Please note that we do not implement leverage, and the sum of the absolute values of the weights has to be equal or smaller than 1. If it is larger, they will be rescaled down.

    • M

      Any updates on the next context?
      News and Feature Releases • • magenta.muskrat

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      @support thanks!!!

    • T

      Calculation time exceeded on submission
      Support • • TheFlyingDutchman

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      @theflyingdutchman Hello,

      Another option is to rewrite your strategy for a single-pass version before submitting it. This approach will significantly speed up the calculations. However, it's important to note that the actual statistical values can only be tracked after submitting the strategy to the competition.

      For example:
      https://github.com/quantiacs/strategy-ml-crypto-long-short/blob/master/strategy.ipynb

      To adapt this strategy for a single-pass version, follow these steps:

      Comment out or delete the line where qnbt.backtest_ml is used. Insert the following code: import xarray as xr import qnt.ta as qnta import qnt.data as qndata import qnt.output as qnout import qnt.stats as qnstats retrain_interval = 3*365 + 1 data = qndata.stocks.load_ndx_data(tail=retrain_interval) models = train_model(data) weights = predict(models, data) In a new cell, insert code to save the weights: qnout.write(weights)

      To view the strategy's statistics, use the following code in a new cell:

      # Calculate stats stats = qnstats.calc_stat(data, weights) display(stats.to_pandas().tail()) # Graph performance = stats.to_pandas()["equity"] import qnt.graph as qngraph qngraph.make_plot_filled(performance.index, performance, name="PnL (Equity)", type="log")

      The qnbt.backtest_ml function is a unique tool for evaluating machine learning strategies, which stands out from what is offered on other platforms. It allows users to set retraining intervals and analyze statistical metrics of the strategy, as opposed to the traditional evaluation of the machine learning model. This provides a deeper understanding of the strategy's effectiveness under various market conditions.

    • magenta.grimer

      Importing external data
      General Discussion • • magenta.grimer

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      support

      @penrose-moore Thank you for the idea. For the Bitcoin Futures contest we are indeed patching the Bitcoin Futures data with the BTC spot price to build a meaningful time series. For the other Futures contracts, for the moment we will keep the futures histories only, but add spot prices + patching with spot prices to increase the length of the time series to our to-do list.

    • A

      Futures contests and BTC??
      Support • • anthony_m

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      @anthony_m we patched with spot BTC data see answer: https://quantiacs.com/community/topic/6/btc-contest-start-date

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