@rezhak21 Hi, the lookback period used in the builtin backtest function is expressed in calendar days, while indicators are computed in trading days. As a rule of thumb, add 2 more days every 5 trading days to take weekends into account.

@anshul96go Just to give you more context: when you submit a strategy to the contest, the strategy is queued. Depending on the current load, the processing can take some time. If you submit when many other users are submitting, then processing will take more time.

Moreover, when you develop on the notebook, processing is instantaneous because no particular checks are done (well, it depends on the complexity of the strategy). You just run your code and get the result.

If you code it using a single-pass approach the processing will be very fast. If you use our backtesting function (which prevents forward looking), processing will be a bit slower.

When you submit the strategy, however, several sanity checks are run on the strategy. The system checks if allocations are defined for all datapoints, if your strategy is performing looking forward operations, if it stops producing the output before current day, it computes the Sharpe ratio and other statistical indicators, and moreover it computes the correlation of your strategy with all examples we provide, as we do not allow an example to win a contest...so the processing is slower.

For quick development, please refer to the results you get in the notebook, submit the strategy and then it will be ok.

@spancham Hi, yes, understood. The 10% rule applies to the contest entries and to the prizes (1M USD invested, 500k USD invested, etc, see https://quantiacs.com/contest).

However, strategies can get funded by investors even if they do not win contests. In this case 2 schemes are possible:

1. a fixed management fee, i.e. the quant earns a monthly fixed fee.

2. a performance fee, i.e. the quant earns a monthly performance fee.

It is already happening with quants who submitted systems which developed a long track record. In both cases, there is a mutual agreement between Quantiacs, the investor and the quant on the level of the fees.

Hi.

When you submit the strategy, the evaluator checks the strategy using data isolation and runs the notebook each day during the in-sample period.

This is necessary because there is a very common issue - looking forward.

The evaluator can parallelize this process, but anyway it takes more time.

@spancham Hello, the management fee is order of magnitude of a performance fee. Imagine that you get 1m USD allocated, the system has 10% volatility, a Sharpe ratio of 1 for 1 year, and you make 10% in performance fees per year. Instead of choosing a performance fee (which could be zero in bad months) you could choose at the very beginning a fixed fee. In this case, it would be order of 1k USD per month.

The length of the track record depends on the strategy and many factors, let us say no less than some months, longer time for a larger capacity.

@sheikh Hi Sheikh, we are busy preparing the new contest.

The algorithm you mention actually has a lot of flat phases also in sample, why do you think the problem is an external library?

If you run the system in a notebook and plot the equity chart, do you get the same result or not?

Thank you

@spancham The performance fee is a yearly performance fee as per industry standard. If system makes 100k USD in profits per year (1 Sharpe, volatility 10%, 1M USD invested), then the quant will receive 10k USD per year.

@spancham Currently there is no investor tab, it is part of our roadmap and we are working on that. At the moment we are focusing on improving the software and the data, the new version of Quantiacs is up and running since 3 months only. As soon as the fund is up, we will announce it.

We published a summary of the past 14 contests on the home page, with quant names and allocations made by Quantiacs (own money). Quantiacs has private agreements with investors allocating their money to selected systems, and with quants who developed systems and are getting fees.

If you/your family have enough capital and want to invest in your own algo and bear the risk of downside losses, well, you will be able to do it with Quantiacs (once we start the fund) if you want.

@magenta-grimer yes, correct, and it does not have to win a contest, we monitor all submitted systems and will contact the quants who wrote interesting systems.

But if you implemented a stateful strategy, the evaluator can't parallelize the checking. It will take much more time. You can see the time of the one-day evaluation in the log and estimate how long it will take.

@theflyingdutchman Yes, we are integrating new data sources for a new asset class, once we are done (next week) the data and leaderboard updates will start again.

@eddiee Hi, please follow @antinomy recommendation. We deleted your post with API key, that should not be shared for security.

@eddiee Hi, local development works fine. The procedure for using Jupyter Notebook is:

1. conda activate qntdev;

2. then install jupyter as follows in the qntdev environment:

conda install notebook python=3.7

3. deactivate and reactivate env as follows:

conda deactivate
conda activate qntdev

4. "C:\Users\baiti\anaconda3\envs\qntdev\bin\jupyter notebook"

(note the bin!)

Then try just to download data as follows:

import os
os.environ["API_KEY"]= "your key here"

import qnt.data as qndata

futures_data= qndata.futures.load_data(tail=365*16, dims=("time","field","asset"))

@eddiee Dear Eduard, they look ok:

https://quantiacs.com/leaderboard/17

For example:

https://quantiacs.com/statistic/5011582

Click on "Live Contest" and you will see the performance.

Sometimes we need some days for the updates, in case we are rolling some fixes.

@alfredaita Thanks, can it maybe help? https://stackoverflow.com/questions/53421626/valueerror-found-array-with-0-sample-s-shape-0-1-while-a-minimum-of-1-is

@alfredaita Ok, so you get an error when you generate the weights using backtest_ml. Correct?

Could you post all the error log, and not only the last line?

@alfredaita Hello, can you let us know which version of the toolbox are you using on colab and which one on the server? Colab uses the conda version, and we have still to upload the new version of the toolbox there.

Did you try to run your code locally on your machine (no colab, no server)?

@eddiee Thanks a lot. If you have some good fix, could you upload it to our repo in github? Or send a snippet here, we will happily update it. Sorry for the issue.

@support thank you @antinomy

@eddiee We are sorry, you are right and we are fixing.