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We've been seeing these quantopian fund stores for years now. Where are the numbers? I mean at some point you have to produce right? https://news.ycombinator

We've been seeing these quantopian fund stores for years now. Where are the numbers? I mean at some point you have to produce right? https://news.ycombinator.com/item?id=12171843#12173142 https://news.ycombinator.com/item?id=12171843#12173142 https://news.ycombinator.com/item?id=12950276#12952666 https://news.ycombinator.com/item?id=12950276#12952666 https://news.ycombinator.com/item?id=12335272#12336086 https://news.ycombinator.com/item?id=12335272#12336086 THe biggest issue I see for a quantopian fund is the "skin in the game" rule. All of the successful fund managers I know have a very unhealthy portion of their net worth in their own funds. It's not clear to me that the quantopian algo designers will be able to, or be forced to, put their own money into their strategies. I find "skin in the game" to be one of the most promising alpha signals that still persists to date.

dnadler 9y ago
> THe biggest issue I see for a quantopian fund is the "skin in the game" rule. All of the successful fund managers I know have a very unhealthy portion of their net worth in their own funds. I feel like there's a very large survivor bias here. How many managers with unhealthy amounts of money in their funds lost it all? Having some money in your own funds certainly aligns manager interests with investors. It can, however, also lead to biased decision making by the manager. Not having skin in the game can actually lead to more rational decision making, and long-term success. I don't have any numbers to back this up (though I think studies have been done), but on the other hand, neither did you :P.
deleted 9y ago
[deleted]
laxatives 9y ago
I have a very simple algo (like 30 LoC) that is currently performed 9x S&P returns on >100k in initial capital. Granted, this is over a relatively short span of time and it doesn't observe the requirements to be part of Quantopian's contest. However trading live, it is doing significantly better than any back-testing I've done. There's nothing preventing designers from putting their own money in. Contest winners get profits in addition to whatever they invest themselves, on the condition they share the algorithm (I think closed source?) with Quantopian. That being said, Quantopian probably has enough information to reverse-engineer at least the main ideas of anything you share, given they can observe the orders made and probably also your network requests.
- dsacco 9y ago
  How long has your algorithm been running live, and how many trades has it made?
  - laxatives 9y ago
    Months and dozens. No leverage, no shorts. It just goes long and reallocates every couple of weeks. So it hasn't really sustained a serious bear market, but its also never had a drawdown more than 0.5% less than that of the S&P500.
    - dx034 9y ago
      Having algorithms that work in one regime are not that hard. The problem is detecting when regimes change and how to adapt algorithms to that.
zeppoleppo 9y ago
This is an interesting comment as we have no way of validating how much money designers are putting into their own algorithms. I started building algorithms on Quantopian 2.5 years ago, using it as a way to teach myself how to code because I come from a finance background and had no coding experience. I now have a portfolio of algorithms that consistently produce alpha (so far). My favorite algorithm does valuations and then buys and holds for long periods of time. I don't actually invest any money into this algorithm but rather use it as a prescreener for my own personal investments. I have a significant amount of 'skin in the game' because of the amount of time I have invested in developing my algorithms in addition to half of my (very little) net worth being allocated based on the suggestions of my algorithm. I wouldn't be surprised if other designers were in the same boat. This is purely anecdotal but I hope it helps.
- Danieru 9y ago
  Do you know if there is something similar which can run against stocks traded on the Japanese markets? I would love to write a pre-screener for myself.

dnadler 9y ago

> THe biggest issue I see for a quantopian fund is the "skin in the game" rule. All of the successful fund managers I know have a very unhealthy portion of their net worth in their own funds. I feel like there's a very large survivor bias here. How many managers with unhealthy amounts of money in their funds lost it all? Having some money in your own funds certainly aligns manager interests with investors. It can, however, also lead to biased decision making by the manager. Not having skin in the game can actually lead to more rational decision making, and long-term success. I don't have any numbers to back this up (though I think studies have been done), but on the other hand, neither did you :P.

deleted 9y ago

[deleted]

laxatives 9y ago

I have a very simple algo (like 30 LoC) that is currently performed 9x S&P returns on >100k in initial capital. Granted, this is over a relatively short span of time and it doesn't observe the requirements to be part of Quantopian's contest. However trading live, it is doing significantly better than any back-testing I've done. There's nothing preventing designers from putting their own money in. Contest winners get profits in addition to whatever they invest themselves, on the condition they share the algorithm (I think closed source?) with Quantopian. That being said, Quantopian probably has enough information to reverse-engineer at least the main ideas of anything you share, given they can observe the orders made and probably also your network requests.

dsacco 9y ago
How long has your algorithm been running live, and how many trades has it made?
- laxatives 9y ago
  Months and dozens. No leverage, no shorts. It just goes long and reallocates every couple of weeks. So it hasn't really sustained a serious bear market, but its also never had a drawdown more than 0.5% less than that of the S&P500.
  - dx034 9y ago
    Having algorithms that work in one regime are not that hard. The problem is detecting when regimes change and how to adapt algorithms to that.

zeppoleppo 9y ago

This is an interesting comment as we have no way of validating how much money designers are putting into their own algorithms. I started building algorithms on Quantopian 2.5 years ago, using it as a way to teach myself how to code because I come from a finance background and had no coding experience. I now have a portfolio of algorithms that consistently produce alpha (so far). My favorite algorithm does valuations and then buys and holds for long periods of time. I don't actually invest any money into this algorithm but rather use it as a prescreener for my own personal investments. I have a significant amount of 'skin in the game' because of the amount of time I have invested in developing my algorithms in addition to half of my (very little) net worth being allocated based on the suggestions of my algorithm. I wouldn't be surprised if other designers were in the same boat. This is purely anecdotal but I hope it helps.

Danieru 9y ago
Do you know if there is something similar which can run against stocks traded on the Japanese markets? I would love to write a pre-screener for myself.