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Insight Scoring Metric

Hello All! 

We're looking for feedback on a proposed new scoring function for Insights. This metric would allow algorithms to be compared so we can provide a cut off for acceptance to Alpha Streams -- we've laid out the research in the notebook attached and would love your feedback!

We've laid out the reasoning below, but briefly, we propose using a Kelly Criterion estimate and the p-value of that estimate to measure the significance of Insight accuracy. The goal is to provide a way to evaluate Insights, their accuracy, and the statistical significance of the estimated Kelly Criterion.

If you have suggestions please clone the notebook and attach your own suggestion! 

Thanks,

Jack

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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.


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.


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