Definitions

Please refer to the main definitions docs to understand the basic functions referenced below.

Targets

• target_20d

  • timeline: 20D2L

  • bins=5, uniformity=10%, 40%, 50%

  • neutralizers: Standard Factors and other factors not listed

• target_20d_factor_neutral

  • timeline: 20D2L

  • bins=5, uniformity=10%, 40%, 50%

  • neutralizers: Standard Factors and other factors not listed

• target_20d_factor_feat_neutral

  • timeline: 20D2L

  • bins=5, uniformity=10%, 40%, 50%

  • neutralizers: Standard Factors and other features not listed

Meta Models

• Signals submissions are cleaned first by:

  • tie-kept-rank each submission

  • fill nans in each submission with 0.5

  • tie-kept-rank each submission

  • gaussianize each submission

• Signals Stake-Weighted Meta Model w/ minimum stake (SSWMM)

  • Stake-weighted average of cleaned Signals submissions

• Signals Naive-Weighted Meta Model w/ minimum stake (SNWMM)

  • Average of cleaned Signals submissions

• Signals Naive-Weighted Meta Model w/ minimum 10 NMR stake (SNWMMmin10)

  • Average of cleaned Signals submissions with at least 10 NMR stake

Scores

• submissions are cleaned before used in scoring:

  • drop invalid tickers

  • tie-kept rank the submission

  • fill nans with 0.5

• MMC - Meta Model Contribution

  • correlation contribution of a submission, SNWMMmin10, and target_20d_factor_neutral

  • timeline: 20D2L (+ 2 days data lag)

• CORRV4 - Correlation v4

  • numerai corr of a submission and target_20d_factor_feat_neutral

  • 20 score days w/ 2 days returns lag (+ 2 days data lag)

• ICV2 - Information Coefficient V2

  • spearman correlation between binned returns and submission

  • 20 score days w/ 2 days returns lag (+ 2 days data lag)

• RIC - Residual Information Coefficient

  • spearman correlation between target_20d_factor_neutral and submission

  • 20 score days w/ 2 days returns lag (+ 2 days data lag)

• FNCV4 - Feature Neutral Correlation v4

  • submission is tie-kept-ranked then gaussianized then neutralized

  • tie-broken-rank correlation between target_20d_factor_feat_neutral and submission

  • neutralizers: Standard Factors and V4 Medium Safe Features

  • 20 score days w/ 2 days returns lag (+ 2 days data lag)

• CWSNMM - Corr w/ Signals Naive Meta Model

  • s` = tie-kept rank, then gaussianize, then pow 1.5 a submission s

  • calculate pearson correlation between s` and SNWMM

  • timeline: 4 days data lag / not dependant on returns

• MCWSM - Max Corr w/ Signals Models

  • Maximum pearson correlation of a submission with any other Signals submission

  • only compared to other submissions made in the same round

  • timeline: 4 days data lag / not dependant on returns

• APCWSM - Average Pairwise Corr w/ Signals Models

  • Average pearson correlation of a submission with each other Signals submission

  • only compared to other submissions made in the same round

  • timeline: 4 days data lag / not dependant on returns