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DTL Quant Contest 3

Rules and regulations

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SHUBHAM NAHATA
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29 views1 page

DTL Quant Contest 3

Rules and regulations

Uploaded by

SHUBHAM NAHATA
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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9/27/24, 8:43 AM DTL Quant Contest

DTL Quant Code

03:02:16:18 SubmissionsLeaderboardReadme SHUBHAM

Challenge@2024 Editor

36 # Another example
37 simulation.my_data["days_elapsed"] = 0
38
39 ⌄
40 def alphaFn(di, simulation):
Use Run Insample to test the algorithm in insample period and see the score, logs, and PnL curve
41 """Computes alpha vector"""
42 N = simulation.N()
43 # Alpha needs to be
44 # - A Pandas Series
45 # - Have length N
Submission Confirmation
46 # - Have index 0, 1, ... N-1
47 alpha = pd.Series(index=np.arange(N))
48
49 # A 5-day reversal example for reference
50 signal = pd.Series(index=np.arange(N)).fillna(0)
51 ⌄ T = min(di + 1, 5)
52 for dd in range(T):
53 r = simulation.oneDayData("returns", di - dd)
54 signal = signal - r["returns"].fillna(0) / T
55 alpha = signal * 0.4 + simulation.my_data["prev_alpha"] * 0.6
56
57 # Updating saved data
58 simulation.my_data["prev_alpha"] = alpha
59 simulation.my_data["days_elapsed"] += 1
60
61 ⌄ # Can log any inferences (will not be shown Insample Results
in outsample)
62 if simulation.my_data["days_elapsed"] % 63 == 0:
63 print("Quarter ", simulation.my_data["days_elapsed"] // 5)
64 ⌄
65 if simulation.my_data["days_elapsed"] == 10:
66 # Other ways to read data
67 fields = simulation.fields()
68 print("Fields available:", fields)
69 print("Data for stock 10 on day 2:\n", simulation.pointData(fields, 2, 10))
70 print(
71 "Close price for all stocks on day 3:\n",
72 simulation.oneDayData("close", 3).head(5),
73 )
74 print( Logs
75 "Historic returns for stock 1 in last 5 days:\n",
76 You can see the the results of all past submission using the Submissions
simulation.oneStockData("returns", 1, di - 4, tabdi),
77 )
78 print(
79 "Traded volume between days 0 and 2:\n",
80 simulation.fieldData("volume", 0, 2).T.head(5),
81 )
82
83 # You can create your own features
Clicking on any submission will take you to the code of the submission. Here you can see the results and reruse the code for a new
84 df = simulation.oneDayData(["close", "low", "high"], di)
submission by clicking the Reuse This Code button
85 feature = (df["high"] - df["close"]) / (df["close"] - df["low"])
86 print("Feature:\n", feature.head(5))
87
88 ###### DO NOT REMOVE THIS OR WRITE ANY OTHER RETURN STATEMENTS ######
89 return alpha
90 #####################################################################

Notes: Notes for this submission (optional) Submit Outsample Run Insample

You have 10 outsample submission(s) remaining.

Outsample Testing

DTL © 2024toCreated
If you think the results are good, use Submit Outsample test theby DTL
algorithm in outsample period. You can submit a code to
Outsample from the Code Editor or the Submissions page
https://quant-contest.dytechlab.com/quant/contest 1/1

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