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Making the Grade: A Look Inside the Algorithm Evaluation Process at QuantCon 2017

"Making the Grade: A Look Inside the Algorithm Evaluation Process" by Dr. Jess Stauth, Vice President of Quant Strategy at Quantopian, and co-written by Delaney Granizo-Mackenzie, was delivered at QuantCon NYC 2017.

In this talk, Jess gives an overview of how Quantopian evaluates algorithms for receiving allocations.  She then gives detailed analyses of several candidate algorithms and explores the flaws that she finds.  She also gives instruction on how to avoid these pitfalls and what educational resources are available.  The common errors include:

  • Overfitting
  • Holding a net-long portfolio
  • Portfolio with high beta to the overall market
  • Having an outsized position in a single security
  • Mixing two mis-matched strategies
  • Trading in small-cap, illiquid securities: not using the Q1500US

We have the video and the slides here:

About the Speaker

Dr. Jessica Stauth is Quantopian's Managing Director, Research. Jess and her team are in charge of selecting the algorithms from the Quantopian community, for our portfolio. Quantopian offers license agreements for algorithms that fit our investment strategy, and the licensing authors are paid based on their strategy's individual performance.

Previously she has worked as an equity quant analyst at the StarMine Corporation and as a Director of Quant Product Strategy for Thomson Reuters prior to joining Quantopian in August of 2013. Jess holds a PhD from UC Berkeley in Biophysics.

For immediate access to more talks and slide decks like this one from QuantCon NYC 2017, get a QuantCon Replay Ticket here.

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