QUANTCONNECT COMMUNITY
Hey All,
Due to the busy holiday season and increased difficulty of the 80% PSR submission restriction we've decided to push back the deadline for the Liquid ETF competition until January 20th, 2020 to give people more time for submissions.
Hope you take this as a chance to kick back and enjoy the holidays! All the best from the team at QuantConnect,
Best,
Alex
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.
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Laurent Crouzet
Hum, I am not sure that this is a "chance" for everyone, especially for the 9 individuals/teams who spent some (sometimes a lot of!) time in the last couple of weeks to be ready for this contest following what was set in the "rules" until now...
https://www.quantconnect.com/competitions/liquid-etf#leaderboardÂ
Alfred Aita
80% PSR is tough. Am I correct in thinking the higher the PSR sought the lower the volatility per issue. Leading to a lower sharpe ratio ( but above one ). Â
Jared Broad
Understandable Laurent it was a hard decision. We have to make sure competitions are sustainable so put in the rules the 100 submission minimum but I didn't expect the 80% PSR to eliminate quite so many so unfortunately have to extend the competition. We would like to lower the PSR requirement but don't want to change the rules halfway through so this the best option. For general Alpha Streams, we're considering reducing the PSR requirement to 80% > 0.75 SR but will wait till the end of the competition. I promise we won't extend the deadline again if the 100 is still not reached.
@Alfred the PSR is currently the confidence the true SR in live trading is greater than 1.0, which does factor in the volatility of the returns. High volatility strategies can still earn a high PSR they'll just need to achieve a 3-4 SR in backtesting.Â
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.
Alex Otsu
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.
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