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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.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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