Submissions not receiving Q-rank despite good Sharpe/IC - City Novelty threshold clarification?
Md_Khairul_IslamHi everyone,
I'm noticing that some of my submissions with strong Sharpe ratios (0.03+) and positive IC are not receiving Quality ranks (Q-rank). For example: My submission with Sharpe 0.0316, IC 0.0097 got City Novelty: 3.32° and no Q-rank Another submission with Sharpe 0.0301, IC 0.0094 got City Novelty: 5.17° and received Q37 Can someone clarify: 1.Is there a minimum City Novelty threshold to enter the Quality Set?
2.If my signal is highly correlated with my own previous submission, does it still get rejected?
3.Should I focus on maximizing novelty even if it slightly reduces Sharpe/IC?
From the metrics, it seems signals with City Novelty < 10° struggle to get Q-ranks. Is the target really >60° as mentioned in some discussions? Thanks!
1 Reply
Nonius29d agoHi Md_Khairul_Islam,
Whilst a sharpe of 0.03 is good, a low city novelty of 3.32 degrees means it's too close to other signals, probably some of whihc have higher sharpe (you can see what city is the closest, and trace that to what is ahead of you in sharpe by recursively checking. think of it like cities on earth. Prague and Vienna are around 3 degrees seperation- they are relatively close to each other . On the other hand, there is a village on the island of St. Helena called "Edinburgh of the Seven Seas" that's a pretty unique village since it's nearest neighbor is 60 degrees away. we want you to find places like "Edinburgh of the Seven Seas", not places like Prague, which everyone "knows"
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