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Kamil - 12/23/2018 4:19:55 AM
   
By what criteria are the winners selected?
Looking at the yield curve of the participants, you can see that there are participants with good performance 
on the backtest, but they immediately begin to lose in the real market.
For example, a random forest may well fit the data, but the forward immediately begins to lose.
Do you use the forward to double-check the data not included in the training?

Eric - 12/26/2018 9:02:16 AM
   
RE:By what criteria are the winners selected?
Kamil,

The winners are selected by taking the Sharpe ratio of the backtest, which is the time in the past upto the competition submission deadline.  We then take the Sharpe ratio of the live period which is the three or four months after the submission deadline.  The score is the lower of these two Sharpe ratios and the three unique quants with the highest scores are the competition winners.

Regards,

Eric

nishnha - 1/9/2019 10:03:38 PM
   
RE:By what criteria are the winners selected?
Eric,
> The score is the lower of these two Sharpe ratios


Why are winners chosen by the lower sharpe ratio instead of a weighted average?

Volatile - 1/18/2019 10:31:29 AM
   
RE:By what criteria are the winners selected?
The answer to your question lies in the original question. If you use an average, then a ridiculously high Sharpe Ratio on the backtest data could win the contest, no matter what happens during the live test.

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