Share New Research 
Hello All,
We've released some pretty radical changes in the last month, starting with making the Alpha Market public. This allows investors with accounts as small as $10,000 to license code and deploy algorithms from the community to their trading accounts.
Alphas were previously only deployed to paper trading, and their signals consumed by funds by API. This provided a homogenous environment that provided fantastic stability and almost eliminated bugs. Alphas were regularly up and running for 6 months at a time.
The Situation
Deploying to user accounts has provided a huge range of new challenges as every investor's account is slightly different and the Alphas weren't equipped to manage random capital allocations, holdings, cash currencies, and account-permissions. We've been scrambling the last two weeks trying to patch the edge cases as fast as possible but we've decided it's not possible to continue that pathway for now due to the high risks and instability it causes for investors.
Unfortunately for now we need to restrict deploying Alphas to "single-purpose accounts". This means the account will be fully controlled by the Alpha; including any existing holdings. If investors have a larger account and only wish a partial allocation to an alpha; investors will need to create sub-accounts at their brokerage with a dedicated username and password and launch the trading with that account. I appreciate this is an unfortunate barrier to entry but the risks are too great to continue the previous "mingled" account design.
The Plan
We have a plan to reduce this friction. We can use the Alpha Streams paper-account portfolios and build the point in time portfolio the Alpha is holding. This will then allow an investor to select N-Alphas; and we can do simple math to combine N-Alpha portfolios together, scaling them to the allocation requested. This will still be a "single-purpose account" but it would be one account for all alphas licensed. This has an ETA of about 4-6 weeks.
- Currently, freshly deployed alphas may not trade for many days while they build-up internal state; the modeled point-in-time portfolio would help solve this by instantly getting the investor accounts into the correct state on deployment according to the master Alpha.
- As it would also be one live server (or none ideally) it can reduce the costs to investors further by eliminating the need for live hosting and lowering their costs; hopefully leading to more alpha licensing.
Thank you for your patience with us over the last few weeks. We've been working incredibly hard to try and keep up and think this simplification that although a barrier is the best thing we can do without taking the marketplace offline. We've been really excited to see the quick adoption of the Alphas and can see it growing in 2021 to hundreds of millions in assets!
Best,
Jared
Jovad Uribe
Thanks, Jared! I believe this is a step in the right direction.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Grant Forman
Thanks for the update J. Big picture - this is massive innovation - and the development of a next-generation platform for those who license and develop alike - keep up the great work!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Johnathan Alexander
What will happen to strategies currently licensed and not running on single purpose accounts?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
Once they redeploy they will no longer have the option to limit the allocation the previous way. The next redeployment will require using the whole account. If this is your case I would recommend contacting your brokerage now to set up a subaccount user and password now and transferring an allocation to the new subaccount. I'm sorry I know it's a pain but it was just too risky doing it the other way.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Stephen Hyer
I haven't attempted to license another alpha so if this is already mentioned somewhere in the process I apologize. However, one thing to note is that many strategies likely exceed the pattern day trade limits that are imposed on accounts with less than $25,000. If someone were to license an alpha for only one lot and have that alpha control their account trading it might cause issues if the account cannot make all of the necessary trades. Perhaps the minimum allocation for strategies that make over 3 trades per week on average should be 3 lots?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
No problem Stephen we're iterating pretty fast so there is not much written down yet. That is precisely what we're doing - except it's set by the author of the strategy in the Settings dialog. Canadian residents are not subject to PDT so we had a few complaints when we enforced 3-lots. We opted instead to let the author set the minimum and showing a warning for everyone else if we think its a fast-trading strategy.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Manoj Agarwala
What does a lot mean? Does it mean 10K?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Manoj Agarwala
I am interested in licensing Bitcoin Momentum and Mean Reversion Algorithm. How do I figure out what instruments in trades? Does it trade the bitcoin futures? I thought alpha listing requires the publisher to list their universe but I did not see one listed for this particular alpha..
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Manoj Agarwala
This alpha mention a price of three dollars per lot. I am wondering is this price one time or monthly or for certain duration? Again I did not see this specified anywhere on the Alpha listing page.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Quant Trader
It would be great to have multiple algos to license as from the overview it is difficult to see how and what an algo is trading. How much spread does it have in what categories, how much allocations per ticker? I trade for instance per 2 or 4K, 10K over 50 tickers manually. However, the algo I subscribed does 20K over 8 stocks, and tries to trade after market closure which failed. Once the alpha is assigned it would help you can set the start and end date to do little more research if the algo would work if you would start using it at a particular time.
Secondly, 1 account for multiple algos would be a huge plus, as from European perspective, it took me 4 months to get a business account to avoid all the MFID2 stuff. I finally also got a LEI which is obligated for European non-retail traders. Big brothers in Europe :-). The alpa streams might trade something you do not have permissions to, knowing that in advance or during back testing would be a plus.
Regarding the subscription, I found that for some reason I needed to pick all server options although only a simple server would do to run the algo. This is a bug in the subscription page. So finally I had to check out a full seat instead of a smaller seat without notebooks and research stuff.
Next, I do not like the bidding system, in the end an algo might be more costly than a ETF or the performance risk if investors start (over)bidding. Practically, I would like to start with amount X and then the algo and the subscription does not take the total portfolio into account. If the algo is doing bad, you are paying too much for the subscription. If the algo is doing good, you need to increase the subscription all the time. If the surplus would be untouched (also in back testing), then the licensing could continue without that it stops as I am currently facing. It is not nice that the algo stops as it might not anticipate correct if it is turned on at a later moment. In particular, if you stop it or the license has a problem, it is impossible to see the last trades to correct manuallly or to have history, or run the algo to replay if it did run as is illustrated in the backtest or its performance.
Keep the good work going, hope this feedback helps, and I hope to retire soon :-).
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
Thank you for the questions Manoj Agarwala
- I've updated the text to make it clearer; the reserve price was $3 per $10k allocation.
- Periods are monthly, correct. We are updating this now to allow 1M, 2M or 3M licensing.
- The instruments traded are lower down on the Alpha page as a pie chart.
Thanks for the feedback Quant Trader we're working on simplifying it now:
- A single account is the plan! We are designing it now but it's a complex project so ETA 2-3mo.
- Servers will be included in the licensing code so you don't need to manage them.
- Licenses will look more like subscriptions with a maximum subscription cost (bid).
- We cannot charge based on performance due to US regulation so it will need to be a fixed subscription.
- We're keeping the auction system to provide the best place for quants to monetize their alpha; despite potential higher costs for investors. An ETF beta follower is not comparable with an alpha-producing strategy.
The auctions will now also only run monthly to provide some more stability to investors and make it feel more like a subscription. These new changes should be about 3-4 days away.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Stephen Hyer
I'm still very curious how the capacity is being calculated. I've read in the past that if your trades are under like 5% of the daily dollar volume you're not really going to make any waves. I'd like to see how the calculation compares to that arbitrary benchmark.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Laurent Crouzet
Stephen Hyer : 5% of the daily volume is pretty huge, actually. Let's think of Jarnuary 21st of 2008, the day that the Societe Generale liquidated what they could of their huge exposure of about 50 billions € previously taken by Kerviel, which leads to:
https://www.onthisday.com/date/2008/january/21
and:
https://www.theguardian.com/business/2008/jan/22/marketturmoil.equities
Agreed, there were other bad news, bad mood, maybe some people saw that there was "something to profit from"... the US markets were closed because of the bank holiday, which probably increased a lot the volatility of this day, and the issue that Societe Generale had: they were compelled NOT TO trade more than 10% of the daily volume of futures (CAC40 and DAX30 if I remmember well)... but the exposure of selling about only 20 billions by Societe Generale on the future markets were enough to ignitiate one of the biggest sell-off at that time (agreed, the sell-off of October 2008 would be MUCH MORE VIOLENT only 9 months later, but at that time, the 21rd of January 2008 was really something!)
Still, as you, I would be very interested in knowing more about the capacity calculations of QC.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
The full source of the capacity estimate is here. TLDR:
- Sum of 2-20% of the volume in the 10-60minutes after a trade happens. Minute data uses 20% of trailing 1-60min bars and daily data 2%.
- Averaged by the number of trades in the period to penalize fast traders.
- Scaled up by smallest capacity asset max(fraction of holdings, sale volume) in the period monitored.
- 3-EMA on the capacity to smooth it out.
The goal was a replication of a strategy at any point, so the focus was if I wanted to buy in now; what could it accommodate.The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Seersquant
In the case of multiple alphas, how would QC manage clashes in terms of trading the same equity (in the same account)?
Also, it is possible to get a list of symbols traded by a specific licensed alpha? So that I can safely deploy my own algorithm in the same account (but exclude those symbols) to prevent issues. This would be a good option in the meantime while a QC team develops a more sophisticated system.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Derek Melchin
Hi Seersquant,
When trading multiple alphas, each alpha is allocation a portion of the overall portfolio.
To get a list of the most traded assets by an alpha, visit the Alpha's page in the Alpha Market. To get a list of all the securities, we can either:
Note that SDK credentials are required for this. Please contact support@quantconnect.com for more details.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Javier V.
Hello,
I take this discussion to ask some questions about Alpha Market.
--------------------------------
1- Is the calculation of the metrics in the apha market done using the full backtest and the live period?I think that some strategies are calculated trailing, which ones and how?
2- What is the Score formula? PSR, Sharpe and Capacity ... but how?
3- There is a column that is "Traded Assets" but it is "0" in total, what is it?
4- The bidders is the number of different investors in the alpha?("License Holders" or "OrderBook Bidders" for the next)
5- Which are the benchmarks to calculate the information ratio in the different assets (forex, cfds, crypto, equities)?
--------------------------------
6- Is there a site where I can see what someone who buys a license sees?
I do not understand the process, I do not know if you receive the insights as a message in your dashboard or if you operate them in your account automatically or if perhaps you can do both. I don't understand that an alpha has 400 live insights and 0 trades per day, aren't stats trading orders? it would be interesting to see it as a license buyer to know how is.
7- How do you control the real allocation of license buyers?
8- Sometimes some metrics are missing or do not match those of the report, a "-" appears or decimals are missing, why?
9- In the alpha market I see "Sharpe" and in the report I see "Live Sharpe Ratio", can you explain how it is calculated?
I think a section is needed in the documentation where the calculation of all the metrics QC uses (like the capacity calculation that Jared explained above, PSR or DTW but all together ).
10- I understand that the Reserve Price is the minimum that can be bid for a license and from that price it would increase through auction, but first the capacity should be exhausted, right? Or if someone exceeds the offer of the other bidders even though the capacity has not been finished, all of they must raise to continue?
11- On the page to license alphas, Order Book contains the bids for the next auction and License holders contains the current bidders who have the license? If the holders have a license for several months, will they appear in the Order Book?
12-Why is the name of the creator of an alpha hidden in the market? it would be interesting if you like someone's work in the community to be able to see their alphas.
-------------------------------------------
13- Will I always be able to send alphas to Alpha Market with the Classic Algorithms format or do you intend to withdraw them at some point? Is there any kind of penalty for not using the algorithmic framework?
-------------------------------------------
14- In the fund projects page I see funds requesting licenses for futures but that is not possible, what happens then?Where it says licensed AUM is what they already have licensed in QC or what they want to license for that requested project.
15-There is some site with statistics of the funds that work with QC even if they were anonymous?, total AUM, average AUM in QC, number of funds, geographical origin ... it would be motivating to know these data.
Thanks!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Javier V.
Another question
Why are there strategies with negative performance throughout its history? How did they pass the inlet filter?
Example:
https://i.imgur.com/6d8olv1.png
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Javier V.
- "Live" are calendar days or trading days?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Derek Melchin
Hi J Viq,
#1 - The Key Statistics displayed in an alpha listing are reflective of the live trading performance. To see how they are calculated, refer to the source code here.
#2 -
Score = PSR * Sharpe * Capacity * ( MIN( daysLive/180, 1) )#3 - We've reported this to the UX team to resolve.
#4 - Bidders: The number of open active offers to license the alpha from other investors
#5 - The benchmark is SPY.
#6 - Once licensors buy the Alpha Streams bundle, they get access to the SDK. The view is basically the same as a normal live project (Holdings | Orders | Insights | Logs tabs) but the code is hidden.
#7 - Please clarify this question.
#8 - Thanks for reporting this. We've made a GitHub Issue to have this resolved. Subscribe to our progress here.
#9 - The "Sharpe" is equal to the "Live Sharpe Ratio". The name has just been shortened to fit in the table that's displayed in the alpha market. We are in the process of updating our documentation. We appreciate the feedback and patience.
#10 - Correct, the capacity must be exhausted before price will increase. The bid users provided is the maximum price an investor is willing to pay. If another investor outbids you, we will email you an option to continue licensing the strategy.
#11 - Yes
#12 - This is done to protect the privacy of the author.
#13 - Alphas in the market are not required to use the framework designed. However, the algorithm must emit insights. Refer to our documentation here.
#14 - We are actively working on this and hope to enable futures and options support soon. The "Licensed AUM" is the amount the fund currently licenses from the Alpha Market.
#15 - This is not currently available.
#16 - We have had a different criteria that allowed negative performance. With PSR>80 criterion, it is no longer possible.
#17 - Calendar days
#18 - All assets must be tradable by the same brokerage. Since IB cannot trade crypto nor crypto brokerages can trade SPY, it's not possible.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
7- How do you control the real allocation of license buyers?
We measure the allocation from the deployed live algorithm (brokerage total portfolio value). We only permit some larger funds who sign agreements to receive the signals directly. These funds agree with audits and penalties to remain within the licensed allocations.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Javier V.
Thanks Jared an Derek you are always very kind.
I have some replies and some new questions, sorry... :)
1- Key Statics. Does it reflect live commercial performance? Sorry, I still don't get it.
- I see metrics that are historical like the DD and others that I'm not sure if they are calculated with a rolling window, like maybe the Sharpe?
- It is important to distinguish live metrics from backtest metrics (and compare them), have you thought about doing it?
3- "Assets Traded" should indicate the name of the tickers of the traded assets, the number of diferente traded assets, the type of assets ...?
5.- BENCHMARKS. Wouldn't it make more sense to compare apples to apples and pears to pears? That is, what is the point of comparing the performance of a BTC strategy with SPY? Or something more subtle even, a bond-only strategy should have a bond benchmark, I think. It would not be difficult to list 4 or 5 common benchamarks for strategies.
9.- Sharpe ratio. I already mentioned it before, could you explain to me in words how it is calculated? Live, in sample, mixed, rolling ..? With returns per trade, per day, per resolution bar, per portfolio equity ..?
12.- Name of Alpha author. For the privacy of the author. have you thought about making it optional? The author could decide (certainly, currently it is not difficult to identify the main authors of the Alpha market). On the other hand, can the author promote his algorithms in the community or outside explaining them in a post or similar?
16.- Negative performance. Do you have any criteria to take off an alpha that does not work from the alpha market?
Very few alphas listed on the market meet the conditions to be accepted. Are there entry conditions but no exit conditions?
There are also some alphas where it is perfectly appreciated that the backtest period and the live one are totally different.
---------------------------------
NEW QUESTIONS:
N1-I have seen some temporary spaces in reports between the Backtest period and the Live one. Because?
N2.- The backtest period is a very important metric (an algorithm that has worked for 20 years does not have the same value as one that has been working for 5 years). Also, playing with this backtest period can transform horrible metrics in 20 years into wonderful metrics during the last 5 or 6 years, (see SPY performance last years) where a random long-only algorithm can look really good.
I know that there may be several subjective assessments about the length that a backtest should have (and that you already include it in the formulation of other metrics) as well as evaluation criteria that we could talk about for hours (such as including a comparison against "random strategies" mentioned in the previous paragraph). However, versus other more complex debates, including the backtest period length metric (or backtest start date) is simple, universal, unequivocal, objective and very informative for those who, like me, value it.
N3-MAX DD.
N4.-RELATING ALL OF THE ABOVE. In my case, for example, I have good algorithms that would not have a PSR greater than 80% in a 15-year backtest, but they DO have it in a 5-year backtest. I do not see any benefit for the investor in removing 10 years of information from the report.
Thank you very much for your attention and answers and sorry for the length, I hope it also helps you and the community.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Grateful Trading
I love to see the innovation and industry disruption happening here. Excited for future developments!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Quant Trader
It is unclear to me if running multiple alpha streams on 1 account is possible? If so, how to setup a second?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Javier V.
Another one..
N5.- One of the criteria for accepting an Alpha is "Quick drawdown recovery", however I don't know where I can see it before sending you an alpha.
Because it is a piece of information that you take into account, it should appear somewhere in the backtest, also to analyze other alphas.
Thanks!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Derek Melchin
Hi Quant Trader,
Yes, it's possible to license multiple alpha streams algorithms. However, it's only possible to run one alpha per brokerage account. To subscribe to another alpha, we just need to win another auction in the Alpha Market.
Hi J Viq,
#1 The Key Statistics are calculated using the live trading equity curve of the alphas.
#3 We've removed the Assets Traded column. It'll be added back with correct values and a clear description as soon as possible.
#5 Thanks for the suggestions.
#9 The Sharpe ratio is calculated using the annualized daily returns of the live trading period.
(AnnualPerformance(algoPerformance) - riskFreeRate) / (AnnualStandardDeviation(algoPerformance))See the source code here for reference.
#12 We've forwarded this suggestion to the UX team. Yes, authors can promote their own alphas.
#16 There are currently no criteria to remove alphas from the marketplace.
-------
N1 There was a infrastructure upgrade that affected some Alphas that could not be accepted while the upgrade was not completed.
N2 The backtest period can be longer than 5 years. "Backtests should consist of 5 or more years worth of data before being submitted."
N3 Drawdown is calculated using the daily closing equity values. See the source code here for reference. There is no drawdown requirement, but there is a drawdown recovery requirement. "Algorithms that fail to recover from a drawdown within 6 months will likely not be accepted."
N4 See N2.
N5 We don't have this in LEAN, but the Report Creator produces a drawdown graph.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Johnathan Alexander
Any new ETA for the combination of alpha streams?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Varad Kabade
Hi Johnathan Alexander,
Currently, we have not started working on combining the Alpha Streams, so we cannot give you an ETA. Each Alpha Stream algorithm controls one portfolio, so we cannot deploy more than one Alpha to the same account. We have been working on another Alpha Stream project that might help us address the combining Alpha feature.
Best,
Varad Kabade
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Pi..R INVESTOR
Hi there,
I am interested in trying to license some alpha for my personal account. Before paying any licensing fee, I would like to be crystal clear on the steps I would have to take to go from licensing to live trading:
Many thanks
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Quant Trader
Hi,
No coding required. You can run a limited backtest on the license you subscribed to. With limit I mean I would like to play a bit with the periods before stepping in.
Once subscribed you get a list of brokers you can deploy to. I think they are similar to those for which you can design your own strategy.
Deploying is step bij step. There is no check on if you are allowed to trade the instruments. So algo might run into error.
For some reason my private Kubernetes cluster in Azure runs as a charm. I had a lot of issues once alpha market started. Now they are less, but if you need support you need to buy paid support like bronze.
I changed subscription as I had an algo running which did not do any profit. Maybe due to technical issues at start. The algo I run now did trade as I had no right to the instruments and after I corrected that it did not trade anymore. It is hard to understand if an algo is actually doing something. Take in particular care if you are from Europe. You cannot trade other instruments than stock/equity. If you have a LEI and professional account for your own only you can.
I saw in a post there is a notebook which you can use to compare alpha streams. That is interesting.
Hopes my input helps.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Pi..R INVESTOR
Thanks a lot @Quant Trader, very helpful answer! I am based in Europe, so I would run into the same limitation regarding tradable instruments.
Feedback for the QC team, it would be helpful to know the available brokers for a given alpha licence before having to subscribe to it. Also, it would help to show the symbols traded in advance (I was able to find them by downloading the PDF report, but would be good to show them in the UI when you click on a strategy).
Thanks!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Hsiao Shi
Why can't Europeans trade anything other than equity? Also the only practically possible broker option for EU is Tradier (assuming not professional acc.), because IB complies to EU regulation disallowing US-domiciled ETFs and most strategies use ETFs…
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
Sorry for the lack of a video introduction Pi..R I'll try and make one in the next couple of days.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Pi..R INVESTOR
Thanks Jared, no rush! I think what would be most helpful would be to be able to know in advance the available brokers and traded symbols for a given Alpha.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Toaster
Hi All,
I licensed an alpha for one month. Now the January is over, and the auction is closed. The algo stopped and my holdings are in a state of uncertainty.
I thought the alpha will renew it's license for another month automatically? The maximum capital allocation is not reached. What can I do to join the alpha again?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Laurent Crouzet
Toaster It seems that there was a glitch this month as for Alpha licensing renewal (normally, it is done just after midnight in the first day of the month, right after the auction).
I saw it as an Alpha author about 1 hour before the opening of the US equity markets and directly let the QC team know about it.
As for the Alpha licenses themselves, that was corrected the same-day (the 1st of February), but not before the opening of US equity markets.
Hopefully, it is working again and you did not miss any order, nor had any orders erroneously sent. 😊
If the issue has not been solved yesterday for the Alpha you licensed, I suggest that you discuss directly to the QC Team, especially Alex Catarino.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!