[Chicago] FinSIG - Win CloudQuant's money

[David Matsumura]

Tayloe cc'd on this email.


On Mon, Jul 24, 2017 at 10:08 PM David Matsumura <davidkunio at gmail.com>
wrote:

> 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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