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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
by 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 agoHow long has your algorithm been running live, and how many trades has it made?
- laxatives 9y agoMonths 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 agoHaving algorithms that work in one regime are not that hard. The problem is detecting when regimes change and how to adapt algorithms to that.