Hi there,

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!

Best regards,
Sun73

Hi there,

The set of 15 selected systems displayed on page: https://quantiacs.com/personalpage/submissions/tab_in_contest
or on page: https://quantiacs.com/leaderboard
is not the same that I have selected (before October 31, 2021) on page: https://quantiacs.com/personalpage/submissions/tab_candidates
to be my final set of systems to compete on the Q16 contest (for example: Sun73_Q16_4f).

Also, there are systems not listed anymore on the latter page (such as: Sun73_Q16_3a) which I have previously selected to compete on Q16.

Could you please check this (selection) issue? Many thanks!

Kind regards,
Sun73

Hi there,

Another question about the new Bitcoin spot data: Should we use the code lines below to import the data? Or there is a new way to do that?

def load_data(period):
data = qndata.cryptofutures.load_data(tail = period, dims=("time", "field", "asset"))
return data

In respect to the competition "type", will it be called "cryptofutures" or there is a new name for it?

Many thanks again!

Hi @support,

Thank you for the prompt response. My set of Q16 systems displayed on the website https://quantiacs.com/leaderboard/16 is the following: Sun73_Q16_1c , Sun73_Q16_1d , Sun73_Q16_1e , Sun73_Q16_2b , Sun73_Q16_2b_v2 , Sun73_Q16_2b_v3 , Sun73_Q16_2c , Sun73_Q16_2e , Sun73_Q16_2f , Sun73_Q16_3a , Sun73_Q16_3b , Sun73_Q16_3c , Sun73_Q16_3d , Sun73_Q16_3g , Sun73_Q16_3h.

However, my chosen set of selected systems is the following: Sun73_Q16_2c , Sun73_Q16_2e , Sun73_Q16_2f , Sun73_Q16_3a , Sun73_Q16_3b , Sun73_Q16_3c , Sun73_Q16_3d , Sun73_Q16_3e , Sun73_Q16_3f , Sun73_Q16_3g , Sun73_Q16_3h , Sun73_Q16_3i , Sun73_Q16_3j , Sun73_Q16_4d , Sun73_Q16_4f.

All systems above were submitted before the Q16 deadline. Since there is an issue with the auto/manual selection, could you please select the 15 systems above for the Q16 contest? Many thanks once again!

Regards,
Sun73

Hi there,

The new function backtest_ml() implemented in the example: "Machine Learning with a Voting Classifier" is a great way of getting a fast feedback from a given model.

Is it possible to use it with multiple datasets (for example, using "futures" and "commodity" data, as done in the template: "Futures - IMF Commodity") ?

Thank you!

@support Yes, I can load now the stocks data. Thank you once again!

@support Great! This route opens new possibilities in terms of model design. Thanks a lot!

Hi there,

I submitted a strategy for crypto-futures, called Sun73_Q15_BTC_1f that was not accepted in the contest due to a Sharpe ratio lower than 1.

However, the in-sample Sharpe ratio obtained with the JupyterLab does not match the one displayed online. Both prints are shown below.

It seems that the online system almost does not trade Bitcoin after March 2017 (please see the first graph below), whereas the original system from JupyterLab trades Bitcoin on a regular basis since 2014 (as shown in last graph).

Could you please verify this mismatch?

Thanks a lot!!

@support Thank you for the prompt response. I appreciate if you could reprocess the strategy Sun73_Q15_BTC_1f after solving this cache issue. You guys are the best!

@qida1995 Hi qida1995, please take a look at the documentation available in the Quantiacs' website (https://quantiacs.com/documentation/en/), which is very useful not only for beginners but also for experienced users. Best of luck!

Hi @support,

The JupyterLab run of new strategies for Q23 contest is giving the message below regarding max exposure:

Check max exposure for index stocks (nasdaq100, s&p500)…
ERROR! The max exposure is too high.
Max exposure: [0.10520976 0.10536531 0.1051576 ... 0.09200489 0.09211786 0.09212628] Hard limit: 0.1
Use qnt.output.cut_big_positions() or normalize_by_max_exposure() to fix.

However, the strategy already cuts the abs(weight) if above 0.10.

Besides, module 'qnt.output' has no attribute 'cut_big_positions'.

Thanks!

Hi @support, thank you! The box is now working fine!

I have a simple suggestion regarding the charts created for each strategy:

Besides the equity curve (strategy, SPX and Nasdaq100), Logarithmic scale, Long/Short, Underwater, and Bias, it would be nice to see an additonal chart (with two lines) showing the number of assets in each day that have a positive weight (long position), as well as the number of assets in each day that have a negative weight (short position).

This will help us developing the strategies, since we can better track the outcomes generated by different algorithms being constructed.

Also, this can help you identify asset hand-picking with buy-and-hold positions.

Thanks!

Hi @support, the box “Show only my results” in the Q23 Global Leaderboard is not working. Thanks!

Hi @support, everything is all right now. Thank you!

Hi @support, last week, a set of previously submitted (and accepted) strategies were moved from the Q22 competition (from the “Candidates” area, in the website, to the “Filtered” area).

Some strategies were submitted more recently while others several months ago.

In the “Filtered” area, there is no comment attached to each strategy to justify the mentioned exclusion from Q22.

The strategies are the following: Sun73_Q22_6a, Sun73_Q22_5a_v3, Sun73_Q22_4a, Sun73_Q22_2e, Sun73_Q22_2d, Sun73_Q22_2c

Could you please check this issue? I noticed that it also happened to other users as well.

Many thanks!

Hi @angusslq, the same thing happened to me (ex: with my strategy Sun73_Q22_6a).

Hi @support, can you please check this issue for us? Thank you!

Hi @support, thank you once again!

Hi @support, regarding the upcoming Q22 contest on S&P500 (long-short), a couple of questions:

• How can one upload stocks data for S&P500? For NASDAQ-100, we use qndata.stocks_load_ndx_data(tail=period)

• Is there a maximum limit of stocks to be traded on a given day (or, in principle, one can use all available liquid stocks for that day)?

• Is there a limit for the weights? In Q21 contest, the limit was a maximum of 10% of capital to be invested in a given stock in a given day.

Thank you!

@support Thank you!

Hi @support,

System Sun73_Q21_6aaa #17158009 is not being updated in the Q21 leaderboard. The "Date End" for this system seems to be stucked at 2024-06-12.

Could you please check it?

Many thanks!