Posts made by angusslq

for example, 2.72 contest sharpe ranked 11 but 4.64 contest sharpe ranked 12

Besides contest sharpe, what's the factor for ranking please?

@support may i know why the sharpe ratio doesn't take into account for risk free return (e.g. https://www.investopedia.com/terms/s/sharperatio.asp)?

It is weird that a strategy that return is less than risk free return can win

@support

@support said in Question about the contest structure:

at the end of that period the prizes will be given to the winners.

what's the prize referring to? is it 10% profit of the allocated amount of money to the algo? if that is the case, does that mean the amount allocated will change every day according to the ranking?
e.g.

17-Feb user A is 1st => allocated 1M
17-Feb user B is 2nd => allocated 0.5M

prize for 17-Feb is 10% of daily profit according to above allocation.

18-Feb user C is 1st => allocated 1M
18-Feb user A is 2nd => allocated 0.5M

prize for 18-Feb is 10% of daily profit according to above allocation?

as title

I am currently trying to retry multi data set. i follow the example of Q18 and change for spx / s&p500. However, it doesn't work anymore. May i know how can i return multi data set in Q22 now? Thanks a lot.

https://quantiacs.com/documentation/en/examples/q18_quick_start.html

def load_data(period):
    futures = qndata.futures.load_data(tail=period, assets=["F_DX"]).isel(asset=0)
    stocks  = qndata.stocks.load_spx_data(tail=period)
    return {"futures": futures, "stocks": stocks}, futures.time.values



qnbt.backtest(
    competition_type= "stocks_s&p500",
    load_data= load_data,
    lookback_period= 365,
    start_date= "2006-01-01",
    strategy= strategy,
    window= window
)

Error happened in validate_data function

File ~/book/qnt/backtester.py:386, in backtest.<locals>.validate_data(data)
    377 def validate_data(data):
    378     mismatches = {
    379         'stocks': ['stocks', 'stocks_long'],
    380         'stocks_s&p500': ['stocks_s&p500'],
   (...)
    384         'futures': ['futures']
    385     }
--> 386     if data.name not in mismatches.get(competition_type, []):
    387         log_err(
    388             f"WARNING! The data type and the competition type are mismatched. Data type: {data.name}, competition type: {competition_type}")

AttributeError: 'tuple' object has no attribute 'name'

Is the server busy? my job didn't start after 2 days still, is it normal?

May i know what’s the calculation time definition?

The contest t&c is not quite clear to me.

The execution time of your code must be less than 10 minutes per each point in time.

“Per each point of time”

Is it referring to the duration of time for a given date?

Thanks for advice

@stefanm Thank you for the details

weights = qnbt.backtest(
    competition_type="stocks_s&p500",
    load_data=load_data,
    lookback_period=350,
    start_date="2006-01-01",
    strategy=strategy,
    window=window,
    analyze=True,
    check_correlation=False
)

In the old days, i can write using as below as per documentation

qnout.write(weights)

Since some days ago, the above doesn't work, i need to change to

qnout.write(weights[0])

to make it work again, does it expect? @support

@angusslq @support

Below is the log. there is conda related error (but the calculation completed still). Is it causing the strategy filtered? Is there any solution for this please

Error while loading conda entry point: conda-libmamba-solver (libarchive.so.20: cannot open shared object file: No such file or directory)
/usr/local/lib/python3.10/site-packages/conda/base/context.py:982: FutureWarning: Adding 'defaults' to the channel list implicitly is deprecated and will be removed in 25.3. 

To remove this warning, please choose a default channel explicitly via 'conda config --add channels <name>', e.g. 'conda config --add channels defaults'.
  deprecated.topic(
Error while loading conda entry point: conda-libmamba-solver (libarchive.so.20: cannot open shared object file: No such file or directory)
http://hl.datarelay:7070/last/2024-12-23T00/
https://stat.quantiacs.io/regular/task/316264333663616565643330663366393465636265393364353364313431653635343437396363643661393335303666383033653663626336303761316634623A313733353339313431343A3230323431373431/

Calculation start...
[NbConvertApp] Converting notebook strategy.ipynb to html
[NbConvertApp] Writing 294586 bytes to strategy.html
Calculation completed.

Hi,
I had a strategy submitted for around 5days and it was submitted successfully (at least i can see my entry in leaderboard). But after the weekend i found my strategy in filtered tab and no longer can be found in leaderboard. My strategy id is # 17958989

I checked that there is no error reported in the log can @support or anyone please help to have a look and point me the way to resolve it please

Thank you