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RE: Strategy passes correlation check in backtester but fails correlation filter after submission
Dear @antinomy,
We didn't want to completely reprocess your strategy, but since it was filtered out before we had to manually return it to eligible candidates list.
Regarding your second question, we have updated our correlation service, and you could try submitting again and see if it will be filtered out.
Best regards
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RE: Strategy passes correlation check in backtester but fails correlation filter after submission
Dear @antinomy,
This issue has been resolved, and your strategy is now eligible to participate in the future contest. Thank you for bringing this up.
Best regards
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RE: Strategy passes correlation check in backtester but fails correlation filter after submission
@antinomy Hi,
sorry for late notice, we are checking what is the reason of such behavior, we will let you know soon.
Best regards,
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RE: Max exposure
@sun-73 Hi,
sorry for late answer, this has been fixed, please use the latest qnt library version. Thanks, that's correct, there is a typo in check() function, it will be changed in next update - cut_big_positions() is function from qnt.exposure module.
Best regards
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RE: Q21 contest results
@theflyingdutchman Hi, sorry for the delay, yes, all fine, more details by e-mail
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RE: ERROR! The max exposure is too high
@antinomy Hi,
You are absolutely correct, we will fix check() function ASAP. It should only cut weights which exceed 0.1 allocation by asset, and normalize the sum of allocation to maximum 1, on every timestamp. If sum was < 1, and weight of an asset < 0.1, the output remains the same.
Thanks a lot for pointing this out with examples. -
RE: Q22 seems paused at 22-may, is it expected?
@angusslq Hi,
yes, it is expected and will be updated soon. Since it is the end of Q22 contest period, this update will show preliminary results of Q22. Thanks for your patience. -
RE: "Show only my results" not working
@sun-73 Hello,
Thank you for pointing out the bug — we really appreciate it. The issue with the "Show only my results" checkbox on the Q23 Global Leaderboard has been fixed. You can now check that everything is working correctly on the site.
Please note that you might need to clear your browser cache for the changes to take effect.
If you have any suggestions regarding the interface or other features, we’d be happy to hear them!
Best regards,
Support Team -
RE: Strategy trades illiquid instruments
sorry for late answer, please check the correctness of dataset used for defining weights in strategy. Be sure that 'stocks_s&p500' dataset is used and not 'stocks_nasdaq100' for current competition. To ensure strategy trades only liquid assets in certain time period, multiply the output from your strategy function with 'is_liquid' field from correct dataset, or simply use clean() function from qnt.output:
import qnt.data as qndata import qnt.output as qnout def strategy(data): ..... # liquid = data.sel(field='is_liquid') # weights = weights * liquid return weights data = qndata.stocks_load_spx_data(min_date='2005-01-01') weights = strategy(data) weights = qnout.clean(weights, data, kind='stocks_s&p500') qnout.write(weights)
Also, keep in mind that submission will not be eligible for contest if stocks universe (in this case "top 7 magnificent") is hand picked (manually defined).
Best regards,