Oracle - Perfect score - Hypothetical by Fabian Schut

Fabian Schut INVESTOR

| Reward Discussion

Hi All!

I'm looking for a hypothetical perfect score (oracle), where I would be able to compare my backtest result with.

Let me explain it a bit more, since I can understand it is confusing. With Machine Learning, I've made a predictor whether a FOREX pair is going up the next time interval (day, hour or minute) or is going down. Based on that prediction, I'm buying or selling that currency pair. For educational purposes, I want to compare my strategy with the oracle. The best possible score I could have had, if every prediction was right. It there a possibility for this score in QuantConnect?

Thanks in advance!

Update Backtest

Fabian Schut

Accepted Answer

Update Backtest

Notebook

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.

Jack Simonson

Hi Fabian,

When we calculate an algorithm's score, we use a sigmoid scaling factor and so technically no algorithm can achieve a perfect score. However, an algorithm can still be the highest scored algorithm and thus be in the 99.99th+ percentile (the percentile ranking is the value that is displayed). We do have an algorithm that produces a near-perfect score, which you can view here, but note that although the algorithm displays a 100 score, this is a small bug and we'll be fixing it soon.

You can view the exact method by which we calculate the rankings here. Briefly, algorithms with high Sortino and annual return-to-drawdown ratios will be scored highly.

Fabian Schut INVESTOR

Update Backtest

Notebook

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!

Platform

QuantConnect Community

Alpha League Competition: $1,000 Weekly Prize Pool

Filter Discussion by Tags

Community Ambassadors

Earn free QuantConnect cloud credits by helping others, each week we airdrop credits to the most active community members.

231,920 Quants.

Online Now

Stay Connected