Suggestions for the Q17 contest.
Since we're approaching the end of the submission phase for the Q16 contest, is it possible for us quants to already know a little bit about the upcoming competitions?
Will the Q17 contest be designed similarly to Q16? In other words, will Q17 be based only on crypto trading (or will it allow for futures trading too)? Only long-positions allowed (or short-positions too)?
I would suggest (if feasible) to put in place a new contest allowing to trade both cryptos and futures, besides trading long and short in any asset, but limiting the overall leverage of the portfolio. For example, adopting a 130/30 portfolio structure, which is a structure with a net long position, but permits leverage with long and short positions up to a maximum amount of leverage. In the case of a 130/30 portfolio, the leverage is 30%.
This broader and combined setup would allow us to design enhanced portfolios and might (potentially) increase the out-of-sample Sharpe ratios. Thank you!
@sun-73 Hello, sorry for delay. We are working on the new contest, please be patient, we are evaluating some options. For sure we should introduce some novel element.
130/30 is a popular investment style we can consider, thank you!
@support Hi, is there any news on the Q17 contest? Best Regards, TheFlyingDutchman
cespadilla last edited by
@support I'm also very eager to know what the Q17 contest brings , please keep us posted!
@cespadilla Hello, the Q17 contest has been deployed. We decided to organize a contest very similar to the Q16, but relaxing the long-only condition and allowing quants to short cryptos. You can already play with the new contest and submit, there will be time until April 2022. New data will soon be ready with the Q18.
@theflyingdutchman Hello, sorry for the delay, we started the contest. It is similar to the Q16 one, but it allows for shorting also. Q18 with new data is in preparation.
@sun-73 Hello, we deployed the Q17. For the moment, we simply decided to allow for shorting. Q18 in preparation with new data.
@support Great news! Thank you!!
Hi , I do have a question on the development and testing for the Q17 competition:
Sometimes I do get a warning in testing: "The strategy correlates with other strategies and will be rejected. Modify the strategy to produce the different output."
What does the correlation refer to, to what strategies exactly? To me it is unclear what to modify. Best Regards, TheFlyingDutchman
@theflyingdutchman Hi, each system is tested for correlations against the templates we provide and with all systems submitted to the past crypto contest.
Sorry for the confusion when you run the notebook, we are working on improving the correlation messages.
We already changed the information displayed in the submission area. If you want to get more infos on correlations, please submit your code (it does not matter the message about correlations you get in the notebook, the system will be processed). After processing, the submission will appear in your submission area as a "non-eligible" submission because of high correlations, and you will see to which template the correlation is high; and to which past submission you made (to the Q16) the correlation is high. Moreover, you will get some infos about correlations to systems you are submitting to the Q17 contest.