The Numerai dataset is a tabular dataset that describes the global stock market over time.
At a high level, each row represents a stock at a specific point in time, where
idis the stock id and the
erais the date. The
featuresdescribe the attributes of the stock (eg. P/E ratio) known on the date and the
targetis a measure of future returns (eg. after 20 days) relative to the date.
There are many features in the dataset, ranging from fundamentals like P/E ratio, to technical signals like RSI, to market data like short interest, to secondary data like analyst ratings, and much more.
Each feature has been meticulously designed and engineered by Numerai to be predictive of the target or additive to other features. We have taken extreme care to make sure all features are point-in-time to avoid leakage issues.
While many features can be predictive of the targets on their own, their predictive power is known to be inconsistent across over time. Therefore, we strongly advise against building models that rely too heavily on or are highly correlated to a small number of features as this will likely lead to inconsistent performance. See this forum post for more information.
Note: some features values can be NaN. This is because some feature data is just not available at that point in time, and instead of making up a fake value we are letting you choose how to deal with it yourself.
The target of the dataset is specifically engineered to match the strategy of the hedge fund.
Given our hedge fund is market/country/sector and factor neutral, you can basically interpret the target as stock-specific returns that are not explained by broader trends in the market/country/sector or well known factors. In simple terms: what we are after is "alpha".
Apart from the main target we provide many auxiliary targets that are different types of stock specific returns. Like the main target, these auxiliary targets are also based on stock specific returns but are different in what is residualized (eg. market/country vs sector/factor) and time horizon (eg. 20 day vs 60 days).
Even though our objective is to predict the main target, we have found it helpful to also model these auxiliary targets. Sometimes, a model trained on an auxiliary target can even outperform a model trained on the main target. In other scenarios, we have found that building an ensemble of models trained on different targets can also help with performance.
Note: some auxiliary target values can be NaN but the main
targetwill never be NaN. This is because some target data is just not available at that point in time, and instead of making up a fake value we are letting you choose how to deal with it yourself.
Eras represents different points in time, where feature values are as-of that point in time, and target values as forward looking relative to the point in time.
Instead of treating each row as a single data point, you should strongly consider treating each era as a single data point. For this same reason, many of the metrics on Numerai are "per-era", for example mean correlation per-era.
In historical data (train, validation), eras are 1 week apart but the target values can be forward looking by 20 days or 60 days. This means that the target values are "overlapping" so special care must be taken when applying cross validation. See this forum post for more information.
In the live tournament, each new round contains a new era of live features but are only 1 day apart.
The best way to access the Numerai dataset is via the data API.
The Numerai dataset is made up of many different files.
Here is how to query the data API to see what files are available and how to download a file.
from numerapi import NumerAPI
napi = NumerAPI()
# Let's see what files are available for download in the latest v4.2 dataset
[f for f in napi.list_datasets() if f.startswith("v4.2")]
# Download the training data
train_int8.parquetcontains the historical data with features and targets
validation_int8.parquetcontains more historical data with features and targets
live_int8.parquetcontains the latest live features with no targets of the current round
features.jsoncontains metadata about the features and feature sets
meta_model.parquetcontains the meta model predictions of past rounds
live_example_preds.parquetcontains the latest live predictions of the example model
validation_example_preds.parquetcontains the validation predictions of the example model
By default, features and targets in all files are stored as floats ranging from 0 to 1, but you can also find versions of the files that store them as integers which are useful for lowering memory usage.
The Numerai dataset is a living and breathing dataset that is constantly improving. In general, if you are building a new model you are encouraged to use the latest version.
Improvements to the dataset are released as new versions of the dataset to preserve backwards compatibility of models trained on older versions.