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Hi,
So I'm currently developing an algorithm for crypto and trying to make the PSR (80%) requirements over a long backtest and it's proven to be very difficult (clean without overfitting of course), partly because of the asset's volatility about 5-6 years ago, but as well as one of the statistical methods used didn't apply very well up until about 3 years ago as different coins start to move together and have higher correlation. I'm wondering if anyone have been able to meet the requirement with crypto/ if it's even possible. Although making the requirement during the past 1-3 years have been pretty consistent on my part.
Short and Long term Backtests example:
2021
2017 - 2021
Could there be an exception for the alpha stream for cryptocurrency? Since I see the 2 crypto algorithms that are currently in the stream have very low PSR so I'm wondering if they achieved it before submission.
Louis Szeto
Hi Anthony
We will relax the criteria for cryptos, please contact support@quantconnect.com for alpha stream issue. We look forward to your masterpiece!
Best
Louis Szeto
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Anthony Suherli
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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