Competition ethics: where do we draw the line?
Some questions for discussion:
I think transparency and integrity are what make this platform valuable. What are your thoughts?
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Can confirm this approach works. I implemented something similar and jumped from rank 150 to rank 23 in two weeks.
Interesting thread! I've been exploring reinforcement learning for portfolio allocation. The challenge is defining the right reward function.
One more thing: the scoring engine uses a held-out test period that you never see. So your validation score is the best you can do.
Good point about overfitting. My rule of thumb: never trust a backtest with fewer than 500 observations in the out-of-sample period.
Great discussion! This is why I love this community - knowledge sharing makes everyone better.
Have you considered using PCA to reduce the dimensionality of the feature space? I found that the first 10 components capture 80%+ of the variance.
For those wondering: yes, you can use external Python packages in submissions, but they must be in the approved list. No custom C extensions.