<![CDATA[Different Sharpe ratios in backtest and after submission]]>Hi @support,

The SR of the system "Sun73_Q17_1a" is above 1 in JupyterLab (SR = 1.08), but almost half of it (SR=0.50) after submission to the Q17 contest.

Do you have any clue on that? I am using a modified version of the example "Q17 Supervised Learning".

Many thanks!

]]>http://quantiacs.com/community/topic/204/different-sharpe-ratios-in-backtest-and-after-submissionRSS for NodeTue, 10 Mar 2026 10:26:26 GMTTue, 19 Apr 2022 16:49:46 GMT60<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Thu, 21 Apr 2022 13:08:25 GMT]]>Hi @support,

I modified the retraining interval to 1 day and it worked. Thank you for the help.

You guys rock!

]]>http://quantiacs.com/community/post/670http://quantiacs.com/community/post/670Thu, 21 Apr 2022 13:08:25 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Wed, 20 Apr 2022 14:07:25 GMT]]>@anshul96go Hi, please check answers to Sun-73. The most likely reason is the retraining option in the backtester. Are you using that version of the backtester?

]]>http://quantiacs.com/community/post/667http://quantiacs.com/community/post/667Wed, 20 Apr 2022 14:07:25 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Wed, 20 Apr 2022 14:06:19 GMT]]>@sun-73 Also here, the reason should be the retraining interval. Can you try with retraining_interval=1?

]]>http://quantiacs.com/community/post/666http://quantiacs.com/community/post/666Wed, 20 Apr 2022 14:06:19 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Wed, 20 Apr 2022 14:05:48 GMT]]>@sun-73 Ok, thanks, then if you are using the backtester with the retraining option that is the reason. Can you check your notebook run using retrain_interval = 1 day?

]]>http://quantiacs.com/community/post/665http://quantiacs.com/community/post/665Wed, 20 Apr 2022 14:05:48 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Wed, 20 Apr 2022 11:51:07 GMT]]>By the way, I submitted another system yesterday, called "Sun73_Q17_1b", with an in-sample SR=2, but today the system is online in the website with an in-sample SR=0.7

]]>http://quantiacs.com/community/post/664http://quantiacs.com/community/post/664Wed, 20 Apr 2022 11:51:07 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Wed, 20 Apr 2022 11:46:59 GMT]]>Hi @support, I backtested the system in JupyterLab two days ago and submitted on the same day. The submission went online yesterday.

Since I am trying to use a multi-pass strategy based on the function "qnbt.backtest_ml", maybe the difference is due to difference parameters of this function considered in Jupyter and the online filters of the quantiacs website.

Are the parameters of the function "qnbt.backtest_ml" exactly the same in those cases?

For example, I run the code using retrain_interval=90 days. When the system is evaluated online is it retrained every day since 2014 (or every 90 days in this example)? In other words, the parameter "retrain_interval" is forced to 1 when evaluated online?

Many thanks again!

]]>http://quantiacs.com/community/post/663http://quantiacs.com/community/post/663Wed, 20 Apr 2022 11:46:59 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Wed, 20 Apr 2022 09:12:53 GMT]]>@anshul96go Thank you. When did you submit the code? Do you see a difference in the current notebook result and current submission result?

In other words, how long is the lag between submission time and running the notebook?

]]>http://quantiacs.com/community/post/661http://quantiacs.com/community/post/661Wed, 20 Apr 2022 09:12:53 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Wed, 20 Apr 2022 09:12:10 GMT]]>@sun-73 Thanks for the note, we are checking, sorry for the issue. When did you submit the code? Do you see a difference in the current notebook result and current submission result?

In other words, how long is the lag between submission time and running the notebook?

]]>http://quantiacs.com/community/post/660http://quantiacs.com/community/post/660Wed, 20 Apr 2022 09:12:10 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Wed, 20 Apr 2022 00:04:39 GMT]]>@sun-73 I am also facing the same issue. I checked the submission weights and it seems the number and type of assets used in the submission are different. Also, the data seems to be different on some days.

]]>http://quantiacs.com/community/post/659http://quantiacs.com/community/post/659Wed, 20 Apr 2022 00:04:39 GMT<![CDATA[Reply to Different Sharpe ratios in backtest and after submission on Tue, 19 Apr 2022 16:51:53 GMT]]>I am using the "in-sample Sharpe" in the comparison above.

]]>http://quantiacs.com/community/post/658http://quantiacs.com/community/post/658Tue, 19 Apr 2022 16:51:53 GMT