Making the Grade: A Look Inside the Algorithm Evaluation Process

Описание: In this talk, Dr. Jess Stauth, Quantopian's Managing Director on the Investment Team, will give an overview of how Quantopian evaluates algorithms for receiving allocations. She will then give detailed analyses of several candidate algorithms and explores the flaws that she finds. She also will give instruction on how to avoid these pitfalls and what educational resources are available. The common errors include:

• Overfitting
• Holding a net-long portfolio
• Portfolio with high beta to the overall market
• Having an outsized position in a single security
• Mixing two mis-matched strategies
• Trading in small-cap, illiquid securities: not using the Q1500US

Link References:
Slides: http://bit.ly/2vYKclP

Allocation criteria: http://bit.ly/2x2cVKy

Getting Started: http://bit.ly/2vYszTv

To learn more about Quantopian, visit us at: https://www.quantopian.com.

Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.

More specifically, the material 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 or other services by Quantopian.

In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to 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.