Deadline for the GPM Precious Metals Competition

Alphathon
#1

Dear All,

A very happy new year to everyone.


The deadline for the Precious Metals Competition would be on 04 Jan 2021 23:59:59 EST (New York Time)

No further new submissions / version updates would be valid after that (Unless requested by the Alphien Team)


What happens after the deadline?

  • The best strategy per user would be picked to be on the Private Leaderboard. Best Strategy = highest Information Ratio.
  • The Alphien Quant Team would do a deep dive in the code and do a thorough review. Users might be required to update their respective code based on their feedback. Please comment your code properly.


Please do not hesitate to ask any questions if you have.


Regards,

Manas

#2

Is there any function gives the information ratio metric directly(not in the backtest function)?

#3

Hello,


Theres a function called informationRatio in R but its not yet in python. It wouldnt be too difficult to derive though.

#4

Dear All,


To add on to Manas:


For your final version of your notebooks, please also make sure that your models are ‘explainable’. If you are choosing to use a smaCross of unconventional parameters like short = 23, long = 164, there should be some sort of logic behind it.


i.e. you have to convince us that there is not a huge risk of overfitting and that you have taken the necessary steps to prevent it.


Bottom line is that we need to be confident that your strategy will produce results in the months/years to come for us to license it to the client.


Feel free to reply/start a new topic to clarify.


All the best!

#5

Thank you Yongcheng.

#6

Hello Yongcheng, i see in my last submission notebook the sharpe before and after transaction cost is 0.75 and 0.58, but in the dashboard is only 0.4. We used a different peroid of historical data for the public dashboard?

#7

Hello,


Yes, the time period we use for the public leaderboard is 2003::2016. You might have been backtesting from 2003::2014 in your notebook

#8

Thank you Yongcheng