@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.

@support yes coarse heuristics work well as long as you are conservative. For shorter term models I have started using minute bars despite the computational hit, because it helps in a lot of other ways.

I may enter this contest, I am pretty rusty on predictive modelling and I am not sure I can do a good job using just daily prices, there is not a lot of data. I used to work at a CTA and I feel like we wasted a lot of man years using only prices, hoping better models would acheive more alpha. in the end the sharpe is similar to the S&P but uncorrelated, but you have gotten there with some simpler models and enjoyed life.

I have some other questions about the platform and the contest that I will post here.

Best
P.M.

@magenta-grimer That is correct, but you can for example train a model locally on your machine, and then submit a code which uses the results of the training (for example stored in numerical form) but does not reveal the underlying idea.