<div dir="ltr">Tayloe cc'd on this email.<div><div><br></div><br><div class="gmail_quote"><div dir="ltr">On Mon, Jul 24, 2017 at 10:08 PM David Matsumura <<a href="mailto:davidkunio@gmail.com" target="_blank">davidkunio@gmail.com</a>> wrote:<br></div><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex"><div dir="ltr">Hi Chipy,<div><br></div><div>As detailed in our last FinSIG meeting you can win a prize from CloudQuant by improving a strategy on their platform. Submissions need to be returned to Tayloe (cc'd) by <b>7:30 AM Friday</b>. </div><div><br></div><div>You will need to return your Detailed Portfolio Report to be considered. The scoring criteria is below. </div><div><br></div><div>Here is a link to an intern's attempt to improve the strategy.</div><div><a href="https://forum.cloudquant.com/discussion/140/improving-the-td-sequential-long-strategy" style="font-size:13px" target="_blank">https://forum.cloudquant.com/discussion/140/improving-the-td-sequential-long-strategy</a>  <br></div><div><br></div><div>Here is the scoring criteria.</div><div><p class="MsoNormal"> <u></u></p><table class="m_-2305541227063827430m_-4466970869297660639inbox-inbox-m_1081134735635226048MsoNormalTable" border="0" cellspacing="0" cellpadding="0" width="687" style="width:515pt;border-collapse:collapse"><tbody><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><b><span style="color:black">Criteria*<u></u><u></u></span></b></p></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><b><span style="color:black">Description<u></u><u></u></span></b></p></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><b><span style="color:black">Score<u></u><u></u></span></b></p></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Avg annual ROR<u></u><u></u></span></p></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Strategy with higher return gets higher score.<u></u><u></u></span></p></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal" align="right" style="text-align:right"><span style="color:black">/10<u></u><u></u></span></p></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Net Edge/Share<u></u><u></u></span></p></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Strategy with higher edge per share gets higher score.<u></u><u></u></span></p></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal" align="right" style="text-align:right"><span style="color:black">/10<u></u><u></u></span></p></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Sharpe ratio<u></u><u></u></span></p></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Strategy with higher Sharpe Ratio gets higher score.<u></u><u></u></span></p></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal" align="right" style="text-align:right"><span style="color:black">/20<u></u><u></u></span></p></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Maximum drawdown<u></u><u></u></span></p></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Strategy with lower max drawdown (by absolute value) gets higher score.<u></u><u></u></span></p></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal" align="right" style="text-align:right"><span style="color:black">/20<u></u><u></u></span></p></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Trade win percentage<u></u><u></u></span></p></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Strategy with higher trade win percentage gets higher score.<u></u><u></u></span></p></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal" align="right" style="text-align:right"><span style="color:black">/10<u></u><u></u></span></p></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Average daily turnover<u></u><u></u></span></p></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Strategy with higher daily turnover gets higher score.<u></u><u></u></span></p></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal" align="right" style="text-align:right"><span style="color:black">/10<u></u><u></u></span></p></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Duration<u></u><u></u></span></p></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal"><span style="color:black">Strategy with longer duration gets higher score.<u></u><u></u></span></p></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"><p class="MsoNormal" align="right" style="text-align:right"><span style="color:black">/20<u></u><u></u></span></p></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="151" nowrap valign="bottom" style="width:113pt;padding:0in 5.4pt;height:15pt"></td><td width="477" nowrap valign="bottom" style="width:358pt;padding:0in 5.4pt;height:15pt"></td><td width="59" nowrap valign="bottom" style="width:44pt;padding:0in 5.4pt;height:15pt"></td></tr><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="687" nowrap colspan="3" valign="bottom" style="width:515pt;padding:0in 5.4pt;height:15pt">Good Luck!</td></tr></tbody></table></div></div><div dir="ltr"><div><table class="m_-2305541227063827430m_-4466970869297660639inbox-inbox-m_1081134735635226048MsoNormalTable" border="0" cellspacing="0" cellpadding="0" width="687" style="width:515pt;border-collapse:collapse"><tbody><tr style="color:rgb(33,33,33);font-size:13px;height:15pt"><td width="687" nowrap colspan="3" valign="bottom" style="width:515pt;padding:0in 5.4pt;height:15pt"><br><br>David</td></tr></tbody></table></div></div></blockquote></div></div></div>