Dear @gjhernandezp,
That strategy is filtered out because it exceeds limits (memory or time) that a strategy has. Your strategy is using machine learning, so that is risky section and could lead to something like this. The success status is irrelevant, it is probably some edge case. The only thing that matters is the status of the strategy which is filtered.
Best regards
Dear @antinomy,
We didn't want to completely reprocess your strategy, but since it was filtered out before we had to manually return it to eligible candidates list.
Regarding your second question, we have updated our correlation service, and you could try submitting again and see if it will be filtered out.
Best regards
Dear @antinomy,
This issue has been resolved, and your strategy is now eligible to participate in the future contest. Thank you for bringing this up.
Best regards
@antinomy Hi,
sorry for late notice, we are checking what is the reason of such behavior, we will let you know soon.
Best regards,
@sun-73 Hi,
sorry for late answer, this has been fixed, please use the latest qnt library version. Thanks, that's correct, there is a typo in check() function, it will be changed in next update - cut_big_positions() is function from qnt.exposure module.
Best regards
@theflyingdutchman Hi, sorry for the delay, yes, all fine, more details by e-mail
@antinomy Hi,
You are absolutely correct, we will fix check() function ASAP. It should only cut weights which exceed 0.1 allocation by asset, and normalize the sum of allocation to maximum 1, on every timestamp. If sum was < 1, and weight of an asset < 0.1, the output remains the same.
Thanks a lot for pointing this out with examples.
@angusslq Hi,
yes, it is expected and will be updated soon. Since it is the end of Q22 contest period, this update will show preliminary results of Q22. Thanks for your patience.
@sun-73 Hello,
Thank you for pointing out the bug — we really appreciate it. The issue with the "Show only my results" checkbox on the Q23 Global Leaderboard has been fixed. You can now check that everything is working correctly on the site.
Please note that you might need to clear your browser cache for the changes to take effect.
If you have any suggestions regarding the interface or other features, we’d be happy to hear them!
Best regards,
Support Team
sorry for late answer, please check the correctness of dataset used for defining weights in strategy. Be sure that 'stocks_s&p500' dataset is used and not 'stocks_nasdaq100' for current competition. To ensure strategy trades only liquid assets in certain time period, multiply the output from your strategy function with 'is_liquid' field from correct dataset, or simply use clean() function from qnt.output:
import qnt.data as qndata
import qnt.output as qnout
def strategy(data):
.....
# liquid = data.sel(field='is_liquid')
# weights = weights * liquid
return weights
data = qndata.stocks_load_spx_data(min_date='2005-01-01')
weights = strategy(data)
weights = qnout.clean(weights, data, kind='stocks_s&p500')
qnout.write(weights)
Also, keep in mind that submission will not be eligible for contest if stocks universe (in this case "top 7 magnificent") is hand picked (manually defined).
Best regards,
@magenta-grimer Hi, the Q22 basic template is a good starting point.
@nosaai Hi,
which version of qnt library is used? We introduced that function about a year ago, with S&P500 stocks dataset, maybe try with the most recent qnt version. If the issue persists, please let us know.
Regards
Hi,
thanks for pointing this out, we are working on refactoring the code, qnt is reverted to previous version. Sorry for late answer.
Dear @omohyoid,
That would not be a quantitative approach, hence it is not allowed based on the current contest rules.
Best regards
Dear @angusslq,
The ranking is calculated based on contest sharpe ratio only. The situation that you saw at that time was only temporary because at that point the calculations for new day were ongoing, so some strategies were processed before others, and their contest sharpe was updated, but the ranking is only updated after every single strategy from that contest has been processed and updated.
Regards
Dear @silverstar1003,
There was a temporary problem with our servers which has been resolved, and your strategy should be calculated soon.
Regards
Dear @angusslq,
Once the competition ends its live period (currently 4 months for Q22), the prizes are given. That means that at the end of those 4 months we sort all strategies and only the top 7 by sharpe ratio are eligible for prize and get allocation: 1st place 1M, second place 500k etc. and this cannot be changed afterwards. The prizes are not given on the daily basis and certainly not during the contest live period. You can find more info in the contest rules page on our website.
For your second question, we assume risk-free rate to be zero. You can find additional information about how we use sharpe ratio here.
Regards
Dear @captain-prairie_dog,
Yes, that's right. We will announce next contest soon, but roughly, the deadline period will be a couple of months away, so the users get enough time to develop their strategies.
Regards