Announcement of updates to the Q21 contest
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Hi @support,
First, congratulations for all great news on the Q21 contest, in particular, for the new set of tools available for improving risk management. These new functions are more than welcome!
Regarding today’s announcement of updates to the Q21 contest, in particular, in respect to the “Exposure” section, from now on it is “mandatory” or it is “advisable” to limit the max investment of 10% of capital per asset?
The announcement says that: “Weight allocations exceeding 0.1 will be adjusted automatically to this limit during live processing.”
This rule above refers only to the function: “qnstats.check_exposure”, that one might use or not in the system, or this rule enforces all systems submitted to the Q21 contest (those submitted until today, and those that will be submitted from now on)?
Many thanks!
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@sun-73 Hi,
Respecting this exposure rule is mandatory for Q21 contest and will affect all strategies submitted to Q21. Since there are a lot of strategies already submitted to the contest, and possibly many of them are not compliant with the rule, we cannot say it is mandatory in the way that strategy will be rejected if any weight exceeds limit of 10% of capital in in_sample period, but we will apply the rule on evaluation period (contest/live period).
There are various ways how to manage risk/exposure, we presented a few in the Docs, which could be useful to handle the weights to not exceed the exposure limit, like normalize_by_max_exposure(w) and cut_big_positions(w, 0.1), but you can use any other method for normalization you find appropriate.
After submitting a strategy, weights, even after normalization, could exceed the exposure limit (not intentionally or intentionally), and to ensure that the rule has been followed, cut_big_positions(w, 0.1) function will be applied(during live processing for sure). The function qnt.stats.check_exposure is not included in multipass/singlepass output generation at the moment, but can be used as helper function for checking the output.
If you have any further questions (or suggestions) about this new topic, please feel free to ask.
Best regards,
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@support Hi, is the Q21 Global Leaderboard currently considering the limit of 10% of capital per asset?
Since this rule is binding for all systems submitted to the Q21 contest, it would be interesting to also see the current sharpe ratios when the rule is in place (to better simulate the live phase and help us adapt and optimize the systems to this new rule).
Maybe just adding an extra column (such as "Out-of-Sample Sharpe, lim. 10%") would be enough.
Thanks once again!
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@sun-73 Hi, thanks for the input, we will check the leaderboard and work on improving the presentation. As mentioned, we will apply the 10% roof once contest (live) starts.