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Question about Low Return Correlation in Quant League weekly competitions

Hi,

in Quant League weekly competitions a lot of Alphas have been disqualified due to Low Return Correlation. 

How this values is being calculated?

 

 

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Hi Mykola, please see more information about both reconciliation techniques in this notebook

The only difference from the notebooks is that for the Quant League we adjust the period of the reconciliation so it's calculated based on the trailing 90 days. We hope it will incentivize a new generation of Alphas specifically designed to focus on highly robust performance. 

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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.


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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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