Buy Low Sell High - leaderboard and rule clarification
You can now register your team and submit your trades files to see how you do on the leader board:
Just to clarify a few things:
- You should only use the values of the current and previous predictions to make a decision
- If you use future prediction values then you will probably get a good result but this logic is unimplementable
- Any strategies found to be using future prediction values will be disqualified, so there is no point in trying
- Do not use anything else in your algorithm such as pair name, price or absolute time
- If you want to use previous prediction values, then use the relative time differences to determine them
- The new file we provide will be consistent in having predictions generated every 5 minutes intervals, but the absolute values could be anything
- After the deadline, you will be asked to nominate your 3 long and 3 short strategies you want to be evaluated
- All teams beating the Benchmark solution on the private leader board for their nominated strategies will then qualify for stage 2
- We will then invite those teams to run their code over several new files. They must only use the strategies nominated and the strategies must be locked in with no further parameter tuning allowed
- The new files will have different pair names and the start time for the field minutesSinceStart will not necessarily be the same start time as the file already provided
- The winners will be the team that gives the best return on the new data providing they still beat the Benchmark and we are confident no future prediction values have been used.
- There will be a winners for Short and a winners for Long
- If we suspect future prediction are being used then we will say how we came to this conclusion and the team will have a right of reply to prove otherwise
- There will be a benchmark prize for the first leading team on the private leaderboard as at 12 pm on Thu Oct 17th that wishes to reveal their method. In order to receive the prize the team must write a blog post describing their method so it can be reproduced by others. It must not use future information. It is not compulsory to reveal your method, so we will proceed down the ranking and award the prize to the first team that wishes to do so.
Just to clarify what we mean by 'future information'. The data set does contain records that are 'in the future' to the times we have asked you to make decisions for. It is OK to use this data to come up with a set of coefficients for a model.
What it is NOT OK to do is use the raw prediction values at time 'x' as inputs to a model making a decision for a time prior to 'x'. This is an unimplementable solution.
If there is anything else that needs clarifying, ask below and we will add to the list