I remember we don’t need to consider the transaction fee for the week-1 submissions. Do we need to consider that for week-2 or week-3?
The IR shown in leaderboard is based on yearly return or monthly return?
Is the backtest period for the leaderboard the same as what we have (i.e. 2007-2016)? Or is out-of-sample period?
Is the backtest period the same for week-1,2,3 or it will be different each week?
Will the submisson for week 1 be automatically considered in week 2 leaderboard?
Thanks,
Hello - quite a few questions here :
1/ IR as all metrics is usually annualized daily returns, some approximation can be made and that’s up to Alphien own calculation that is done to make sure that all strategies are evaluated in a similar manner.
2/ The public leaderboard is the same as what you have, the private leaderboad that is going to be put up will include out of sample period(s).
3/ The private leaderboard may change over the week at Alphien discretion and discussion with sponsor. You should not try to ‘game’ the out of sample period.
4/ Submissions will be automatically kept one week over the other week, the latest revisions out of your 2 submissions are the one that will be taken into consideration.
I hope that clarifies. Thanks, Lionel.
Hi Lionel,
Thank you for you detailed answers. That clarifies most of my questions.
Just one thing: when we design stretagies, should we consider the cost of reallocation? (i.e. penalize too-frequent reallocation)
Thanks,
You can check the answer there : https://dashboard.alphien.com/forum/216
Please like good answers so that they are easier to be found ! Thanks, Lionel.
Regarding point 2/, the returns of what we got for backtesting (2007-2016) and what was shown on the public leaderboard differs to a very big extent. My impression is that the public leaderboard results should match what we obtain through port.backtest(), and only the private leaderboard results will differ, is this understanding correct?