Back

How does QC ranking system work?

Out of curiosity, how does QC's ranking system work? It seems quite dependent on the time period chosen. If I run my latest algo in 2016 it's ranked #68, whereas in 2002 it gets ranked #0. I guess it's not meant to be taken overly seriously. :p

Update Backtest








I was getting better rankings when I first started, I used to get rankings of #0 quite often. Then I added code to eliminate slippage, round lots, and accounting to reduce the cash available when placing an order.  I added position sizing to account for low dollar volume stocks as well. I can still get a Compounding Annual Return of about 60% when I account for overfitting but nothing like I used to see.

0

I've noted it's easy to get high ranks if limiting test to a tiny time period, but that would be quite silly since it's equivalent to curve fitting. (And it's also silly ranking therefore does not appear to take length of time or recency of test period into account.)

My algo sucks w.r.t. sharpe ratio and max drawdown so I don't intend to trade it, but it has obscene CAR; I'm kind of thinking the ranking calculation only looks at CAR for that reason?

Not a big deal, I guess it's a for fun thing. :)

0

Update Backtest





0

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.


Loading...

This discussion is closed