Performance Guidelines for 'Fund My Strategy'


Where CloudQuant lags behind its competitors in this space (Quantiacs and Quantopian, AlphaLabsHFT on the horizon) is a lack of guidance on what is worth submitting on the 'Fund My Strategy' space.

For example, when it started, Quantiacs was looking for a SR > 1 on a 25-year backtest on end-of-day futures trading. Then, similar performance out of sample for at least 6 or 9 months. It now adds that it likes a lack of correlation with the equity and bond markets.

Quantopian, on a model similar to Cloudquant, lists a whole array of requirements, including dollar- and CAPM beta-neutrality. Their backtest is 2 years, and their requirements have evolved to now include sector-neutrality and lack of exposure to the Fama-French SMB and HML factors.

Any guidance for Cloudquant? In particular, it would be great to know the required length of backtest and a threshold for the in-sample Sharpe Ratio. I can't emphasize enough how frustrating it is for the average user to submit a strategy that just 'disappears' with no prospect of any feedback.

Many thanks.

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