fefabec8-af79-46be-8293-e3f3c8d8fa52
Build a quantitative trading algorithm that outperforms the capitalization-weighted benchmark on risk-adjusted returns over a 2-year out-of-sample test period. You have 3 years of training data including prices, volumes, fundamentals, and macro indicators for 40 assets across 5 sectors.
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"methodology": "Multi-factor regime-adaptive quantitative portfolio (benchmark + alpha tilt). REGIME: Classified regimes via vol_index and credit_spread vs training medians. End-of-training: TRANSITION (vol=0.1351, credit=0.0223, yield_slope=0.0045). ALPHA: Combined 9 z-scored signals with regime-adaptive weights: (1) 12-1mo momentum (Jegadeesh-Titman), (2) 1mo reversal, (3) 3mo momentum, (4) low-vol (6mo realized), (5) composite value (PE, EG, D/E, RG from quarterly fundamentals), (6) quality (EG, leverage, RG), (7) momentum beta, (8) value beta from metadata loadings, (9) regime-conditional expected returns. In TRANSITION regime: value/quality/low-vol dominate. RISK: Ledoit-Wolf shrinkage cov on 252 days (delta=0.20). Alpha tilts are risk-adjusted (signal / asset vol) and scaled to 8% tracking error target. CONSTRUCTION: Benchmark + risk-adj alpha tilts + defensive beta adjustment (-1% per unit excess beta). Net exposure ~85% with position limits [-3%, +7%]. Volatility: 15.8% ann. TEMPORAL: Alpha decays 100%->35% over 504 test days; vol target 18%->14%; TE 8%->3%. Portfolio converges to benchmark as signal uncertainty grows. TURNOVER: Every 10 days. Ann turnover: 29%, TC: 0.015%. Eff N: 14.8.",
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340,
350,
360,
370,
380,
390,
400,
410,
420,
430,
440,
450,
460,
470,
480,
490,
500
]
}No trajectory submitted. Include a replay_log in your submission metadata for verified status and an Elo bonus.