[Chicago] FinSIG - Win CloudQuant's money

David Matsumura davidkunio at gmail.com
Mon Jul 24 23:08:34 EDT 2017


Hi Chipy,

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 *7:30 AM Friday*.

You will need to return your Detailed Portfolio Report to be considered.
The scoring criteria is below.

Here is a link to an intern's attempt to improve the strategy.
https://forum.cloudquant.com/discussion/140/improving-the-td-sequential-long-strategy


Here is the scoring criteria.



*Criteria**

*Description*

*Score*

Avg annual ROR

Strategy with higher return gets higher score.

/10

Net Edge/Share

Strategy with higher edge per share gets higher score.

/10

Sharpe ratio

Strategy with higher Sharpe Ratio gets higher score.

/20

Maximum drawdown

Strategy with lower max drawdown (by absolute value) gets higher score.

/20

Trade win percentage

Strategy with higher trade win percentage gets higher score.

/10

Average daily turnover

Strategy with higher daily turnover gets higher score.

/10

Duration

Strategy with longer duration gets higher score.

/20
Good Luck!

David
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