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Numeraiトーナメントのデータを構築過程から分析してみる

Numeraiトーナメントのデータを構築過程から分析してみる

ZennZenn04 Jun 2021 | 04:54 am
Numerai’s “Kaggle” app allows users to share data from a mobile device with other users. Kaggle offers users the ability to share their data with each other. Users can also share data with other members of the same company.
The Creation Of Numerai Payouts With Flutter

The Creation Of Numerai Payouts With Flutter

MediumMedium03 Jun 2021 | 20:53 pm
Numerai Payouts is a community-made app to track all your pending payouts across all your different models. The API is made in Bottle, which is a production-grade and fast Python web framework. With the help of FCM and its integration with Flutter, it’s possible to send push notifications to all app users when daily scores are available.
Numerai Signals のTips

Numerai Signals のTips

ZennZenn31 May 2021 | 18:01 pm
Numerai has launched a new product called NumeraiSignals.com, which allows users to connect to the internet using a mobile phone. The product is designed to allow users to communicate with each other over the internet. The company has also launched a community for users to share information about the product.
Numerai SignalsにGoogle Trendを予測として提出する

Numerai SignalsにGoogle Trendを予測として提出する

ZennZenn24 May 2021 | 19:51 pm
Numerai Signalsは株式の予測コンペです。Numeraiとの違いは、各銘柄の予測に使う情報を参加者が自分で用意するところです。詳しくは下記ドキュメントを参照してください。 公式ドキュメント 機械学習による株価予測 さがそうNumerai Signals Signalsに対するアプローチは次の2つがあると考えています。 株価や投資指標など既存のデータセットから、機械学習を使って予測する。 Numerai運営にとって未知のデータセットを使って予測する。 公式サンプルを始め多くの方が試みている方法です。公式サンプルでは株価からテクニカル指標のRSIを計算して機械学習を行っています。 Signalsとメイントーナメントとの違いとして、提出した予測をNeutralizationします。ありきたりな投資指標やテクニカル指標を使ったモデルではうまくスコアが伸びない可能性が高いです。 なかなか一筋縄では行きそうにないので、まだ私は手を出していません。まずはメイントーナメントでFNCが高く、Feature Exposureが低くなるような学習方法を研究してからにしようかと考えています。 GME騒動があったとき、リチャードさんがErasure Bayで「Redditのr/WallStreetBetsのデータを使ったSignalsのチュートリアル」を募集したところ、Suraj Parmarさんが作成して公開してくれました。 From r/WSB to Numerai Signals このようなNumerai運営が持っていないオルタナティブデータを使うアプローチであれば、Neutralizationに対抗できる可能性があります。 というわけで、運営が使ってなさそうでたくさんの銘柄の情報を集められるものはないかなと探していたところ、Google Trendが使えるんじゃないかと思い当たったわけです。 Google Trendでは各株式市場のTickerを使ってトレンドを検索することができます。たとえばアップルならNASDAQ:AAPL、ソニーならTYO:6758という具合です。 Tickerそのままを検索キーワードとして集計しているわけではなく、関連している検索キーワードを"トピック"として集約してくれているようです。 検索した期間の最大値を100、最小値を0として週毎に結果を返してくれます。 PythonからGoogle Trendの結果を取得するにはpytrendsを使用します。 以下の記事が参考になりました。 Google Trendsの情報をPythonで取得したい。pytrendsの紹介 Google TrendでNASDAQ:AAPLを入力すると、「検索キーワード」と「トピック」がサジェストされます。 検索クエリとして"NASDAQ:AAPL"を指定すると「検索キーワード」になります。 pytrendでキーワードのサジェストをすると、トピックの検索クエリが得られます。 "NASDAQ:AAPL"のトレンド検索クエリは'/m/07zmbvf'となります。 pytrendでトレンドデータをダウンロードするのは簡単です。 連続ダウンロードするときは0.5秒くらいスリープを入れると弾かれにくいです。それでも1500件くらいダウンロードするとステータスコード429を返してきますので、しばらく待つ必要があります。 実際にトレンドをダウンロードしてSignalsに提出するNotebookをGistにアップロードしました。 今のところアメリカと日本の銘柄のみを対象にしています。対象銘柄のトレンド検索クエリはtrend_search_list.csvにあります。他の国のクエリを追加してくださる方募集中です。 直近で注目度が上がった銘柄を"買い"とするために、13週平均からの乖離率を予測値とすることにしました。 こちらが提出しているモデルです。 記事執筆時点でR261〜R265までがGoogle Trendの予測になっています。 別に良くはないですね。残念🥺 今回はNumerai SignalsにGoogle Trendの結果をそのまま予測として提出してみました。結果はあまり芳しくはなかったですが、これを特徴量として機械学習にかけてみるのも面白いかもしれません。 皆さん思い思いの方法でNumerai Signalsにチャレンジしてみてはいかがでしょうか。 こんにちは
KagglerへのNumeraiのススメ

KagglerへのNumeraiのススメ

ZennZenn23 May 2021 | 02:48 am
Numerai has created a tool to let users submit data to the Numeraier-ja slack channel. Numerai's training data can be used to predict and predict the outcome of a user’s data. The data can also be sent to the bot Bot.
Longer Signals Target - A Proposal For Higher Payouts

Longer Signals Target - A Proposal For Higher Payouts

Numerai ForumNumerai Forum20 May 2021 | 06:39 am
Numerai is looking to increase payouts on Numerai Signals by increasing the horizon of the target from its current 6 days minus the first 2 days to 22 days. The current 6-day target is neutral to the same features as the new longer horizon target. The mean correlation with the target would go up 481% but the variance would only increase by only 20%.
ARC: Add support for NMR

ARC: Add support for NMR

AaveAave13 May 2021 | 18:01 pm
Numerai has submitted a proposal to add NMR as an asset to borrow and lend on Aave. NMR is a token used in the Numerai Tournament for staking and payouts. Data scientists stake NMR on their models and earn/burn based on performance in the live stock market. Borrowing NMR will allow users to manage their currency risk when staking.
#3 Numerai AMA

#3 Numerai AMA

quantmachine.substack.comquantmachine.substack.com26 Apr 2021 | 20:39 pm
As part of the Numerai tournament, we ask you to share your thoughts on how to get the most out of the tournament. I’ve been always trying to keep my approach as easy as possible. Model returns combined are around 3% weekly and NMR oscillating between 60-70 USD. We have 15 slots, it’s easy to save some to combine your best models and generate your own meta-model
Prediction Stake Experiment: Subscribing to predictions

Prediction Stake Experiment: Subscribing to predictions

Numerai ForumNumerai Forum24 Apr 2021 | 17:48 pm
I have automated the process to save the predictions for my model ps99 and upload it to Gumroad. This is my highest staked model. The reason for subscription is higher NFT gas fees. The minimum subscription period is 1 month. I'll be posting my predictions with diagnostics dashboard for transparency.
Numerai : Can it Really Become the World’s Last Hedge Fund?

Numerai : Can it Really Become the World’s Last Hedge Fund?

MediumMedium22 Apr 2021 | 21:29 pm
Numerai is a crowdsourced hedge fund where data scientists build machine learning models on abstract financial data to try and predict the stock market. The models can be staked with the NMR cryptocurrency to earn rewards based on performance. Users are scored on the correlation between their predictions and the targets where the highest correlation is best.
Liz Experiment Review Q1 2021 : Generating Features and Misapplying Feature Neutralization

Liz Experiment Review Q1 2021 : Generating Features and Misapplying Feature Neutralization

Numerai ForumNumerai Forum22 Apr 2021 | 04:58 am
After starting competing on numerai about 8 months ago, I felt not much attention was being paid to feature engineering by modelers in the classic tournament. I felt there is ample room to find signal here, so I tapped into my generative art roots and designed a generative approach. The resulting process is summarized below (I implemented this in R, fwiw).
Liz Experiment Review Q1 2021 : Generating Features and Applying Feature Neutralization

Liz Experiment Review Q1 2021 : Generating Features and Applying Feature Neutralization

Numerai ForumNumerai Forum22 Apr 2021 | 04:58 am
After starting competing on numerai about 8 months ago, I felt not much attention was being paid to feature engineering by modelers in the classic tournament. I felt there is ample room to find signal here, so I tapped into my generative art roots and designed a generative approach. I tested random forest, gbm, different kinds of transformations, including or excluding the original variables.
Numerai 2021Q2炉端会議メモ

Numerai 2021Q2炉端会議メモ

ZennZenn18 Apr 2021 | 06:37 am
Numerai's CEO has said that the company will be able to continue using its current models until they decide to retrain. "So we will continue using our current models," he added. "The new feature set will contain the current columns and new columns," he said.
A potential problem with MMC and payout_factor

A potential problem with MMC and payout_factor

Numerai ForumNumerai Forum05 Apr 2021 | 20:37 pm
Numerai has identified a potential flaw of MMC that is worth avoiding, to maximize unique signal for the fund, and minimize metastrategy elements to the tournament that incentivize individuals to behave in a way that benefits themselves, but hurts other modelers. The mechanism of the attack I believe I identified is a throttle that modelers have some access to: payout_factor.
Building the Numerai Network

Building the Numerai Network

MediumMedium01 Apr 2021 | 15:18 pm
Numerai’s Numerai-CLI has been re-architected around the principle of plug-and-play modules. The example Python code has been streamlined from 3 examples totaling over 500 lines of code, to 1 example under 100 lines. Cloud Provisioning code has also been modularized to a plug-in design so we can add new cloud providers like GCP.
Our Network: Issue #60

Our Network: Issue #60

ournetwork.substack.comournetwork.substack.com26 Feb 2021 | 18:43 pm
Coverage on Handshake, Numerai, Chainlink, The Graph, and Arweave.
Our Network: Issue #60 (Part 2)

Our Network: Issue #60 (Part 2)

ournetwork.substack.comournetwork.substack.com26 Feb 2021 | 18:35 pm
Coverage on Handshake, Numerai, Chainlink, The Graph, and Arweave.
Numerai & Numeraire (NMR): Decentralized Stock Market Modeling | Gemini

Numerai & Numeraire (NMR): Decentralized Stock Market Modeling | Gemini

GeminiGemini19 Feb 2021 | 05:23 am
Numerai is an AI-enabled hedge fund focused on improving stock market inefficiencies by aggregating high-quality crowdsourced stock market prediction models. The company transforms financial data into machine learning problems that can be tackled by a global community of data scientists. Numerai’s industry-leading prediction tournament provides encrypted data sets, which anyone can download for free and model.
A comprehensive guide to competing at Numerai

A comprehensive guide to competing at Numerai

MediumMedium11 Feb 2021 | 14:01 pm
Numerai runs a weekly data science tournament for data scientists to predict the stock market. Participants have a stake in the game — a stake applied to their predictions. Good predictions are rewarded with more crypto (Numeraire) and bad predictions are burned. Participants can earn or burn up to 25% of their stake each week (each round is four weeks).
From r/WSB to Signals

From r/WSB to Signals

MediumMedium28 Jan 2021 | 10:04 am
Using r/WallStreetBets data for Numerai Signal’s tournament, we can see that the sentiment analysis in r/WSB seems to be holding predictive power. This notebook is built upon the work of Arjun Rohlfing-Das's notebook. It predicts for entire market. "Daily Discussion" data is scrapped with all comments.
AWS EC2 で Numerai Compute

AWS EC2 で Numerai Compute

ZennZenn20 Dec 2020 | 07:50 am
Numerai Compute's Advent Calendar 2020 has been updated to include predictions for the upcoming year. The calendar is based on Numerai’s API Gateway + Lambda API Gateway, which is a combination of API Gateway and Lambda. It predicts the future of AI and machine learning using Python.
Our Network: Issue #51 (Part 2)

Our Network: Issue #51 (Part 2)

18 Dec 2020 | 17:50 pm
Numerai has continued its march toward its goal of "managing all the money in the world" through a steady growth in the number of staked submissions, an increase in the total amount of Numeraire ($NMR) locked and the release of Signals, a platform that incentivizes the submission of machine learning-based predictions. The most active data scientists are earning a 49.4% average return on their stakes.
DeFi Recap: Derivatives

DeFi Recap: Derivatives

MediumMedium18 Dec 2020 | 13:38 pm
Nexus Mutual’s TVL has grown from $4 million to $100 million in the past 5 months. Hegic is the first DeFi platform to launch a non-custodial-proof-of-stake (NST) platform. Numerai is a crowdsourced hedge fund that hosts tournaments, which attract thousands of data scientists to compete for Numeraire cryptocurrency.
Let’s talk about Signals

Let’s talk about Signals

MediumMedium22 Nov 2020 | 15:54 pm
Numerai’s Signals provides a platform to evaluate your financial models and earn some NMR cryptocurrency too! The main difference between Signals and Numerai's main tournament is the data. Signals gives only a list of symbols or tickers in the Bloomberg universe and historical targets. The data can be downloaded using the yfinance library but it uses yahoo tickers.
Top Things You Should Know About Numerai (NMR)

Top Things You Should Know About Numerai (NMR)

18 Nov 2020 | 19:44 pm
Numerai (NMR) is a machine learning stock market prediction platform seeking to build the world’s largest hedge fund. The project continuously runs “the hardest data science tournament on the planet” with the goal of crowdsourcing an excellent financial model for predicting the stock market. Numerai is a unique project that crowdsources data scientists who are provided with clean and regularized stock market data.
Building The Last Hedge Fund — Introducing Numerai Signals

Building The Last Hedge Fund — Introducing Numerai Signals

MediumMedium12 Oct 2020 | 14:59 pm
Numerai is now the first hedge fund to source original stock market signals, built from any dataset, from anyone in the world. The fund has allocated $50 million in cryptocurrency rewards for the most original signals. The move is the first step in phase 2 of the master plan: monopolize data, Co-founder and CEO of Citadel Citadel Ken Griffin said.
The ‘Data is the New Oil’ Thematic Investment Basket: Palantir, Tesla, Vectorspace & Snowflake

The ‘Data is the New Oil’ Thematic Investment Basket: Palantir, Tesla, Vectorspace & Snowflake

MediumMedium29 Sep 2020 | 05:59 am
US-based investment firm BMY-CELG's fund positions in IPO sympathy plays as a way to play IPOs indirectly. These kinds of plays are also known as thematic investing or thematic investment baskets. That means trading stocks that are moving 'in sympathy' with another related stock, crypto or global event of some kinds like the 'Coronavirus basket' above.
Numeraire (NMR) Rallies 40% in a Day; Could It Hit A Yearly High?

Numeraire (NMR) Rallies 40% in a Day; Could It Hit A Yearly High?

NewsBTCNewsBTC28 Aug 2020 | 11:03 am
The 75th-largest cryptocurrency token Numeraire's price rose by about 40% in the last 24 hours to reach a yearly high of $62.96 during the early Friday session after finding a reasonable weekly support level at near $41. The upside move came in the absence of any immediate fundamental catalysts. Notably, NMR's price was trading at $69.08 as of August 17.
第11章:ランダムフォレスト - ロングショート戦略 第0節: 本章の方針とデータの準備|カナヲ定量分析|note

第11章:ランダムフォレスト - ロングショート戦略 第0節: 本章の方針とデータの準備|カナヲ定量分析|note

note(ノート)note(ノート)20 Aug 2020 | 10:54 am
この章では、決定木とランダム木を利用した予測モデルについて紹介する。 モデルがどのように説明変数と目的変数の非線形な関係を解釈するのかについて見ていきたいと思います。 また、アンサンブルモデルという複数の個別のモデルを組み合わせたものについても紹介します。 主要なファクターのカテゴリー、その根拠、および有名な指標を概念的に理解するためには、リターンのドリフトによって体現されるリスクをより適切に捉えるかもしれない新しい要因を特定するか、新しいものを見つけることです。 どちらの場合でも、革新的な要因のパフォーマンスを既知の要因のパフォーマンスと比較して、何がプラスαになっているのかを特定することが重要です。 ここでデータセットを作成し、それをデータフォルダーに保存して、後の章での再利用を容易にします。 一応セクター情報も入っており、銘柄数は2369です。 上場10年未満の銘柄を取り除く 1883銘柄残りました。 RSI ボリンジャーバンド ATR MACD ドル出来高 月次リターンへリサンプリング 上位500出来高銘柄を選ぶ 月次リターン系列の作成 主にトレンド系の指標です。 578銘柄残りました。 ローリングファクターベータ モメンタムファクター 時間指標 目的変数:フォワードリターン セクターブレイクダウン データの保存 #投資 #金融 #機械学習 #ファイナンス #確率 43本 stefan jansenのgithubレポジトリ(https://github.com/stefan-jansen/machine-learning-for-trading)を解説していきたいと思います。 解説の労力によっては、もしかしたら後輩にヘルプしてもらうこともありますので、その時は有料になる場合がございます。
Numeraire (NMR) is launching on Coinbase Pro

Numeraire (NMR) is launching on Coinbase Pro

MediumMedium12 Aug 2020 | 19:50 pm
US-based cryptocurrency Numeraire (NMR) will be trading on the cryptocurrency exchange platform Coinbase Pro on Monday, August 17. NMR is a cryptocurrency that powers Numerai, a San Francisco-based hedge fund that crowdsources artificial intelligence to make investments in major stock markets around the world. Users will be able to stake their NMR tokens every week on specific predictions.
Taking A Closer Look Into The Past: New Ways for Data in the Future

Taking A Closer Look Into The Past: New Ways for Data in the Future

MediumMedium11 Aug 2020 | 18:41 pm
US-based hedge fund Numerai, which uses artificial intelligence to make predictive models, has raised $11 million in a funding round led by Paradigm and the venture capital firm Placeholder last year. Founded in 2015, the fund uses crowd-sourced data science techniques to fuel its investment strategy. It also allows data scientists to stake and compete in its monthly tournaments.
Founders of Web3 — Erasure in Our Network — Keras Tutorial

Founders of Web3 — Erasure in Our Network — Keras Tutorial

MediumMedium11 Aug 2020 | 16:58 pm
The Numerai founder, Richard Wu, joined Jamie Burke on Outlier Ventures’ Founders of Web3 podcast to talk about the company and why he wants to create “the last hedge fund” using the hardest data science tournament in the world. Wu and Burke also discussed the potential of AI and blockchain in open data marketplaces.
A guide to “The hardest data science tournament on the planet”

A guide to “The hardest data science tournament on the planet”

MediumMedium03 Aug 2020 | 19:00 pm
Google Colab is a data science tool that lets users predict stock markets by crowd-sourcing crowd-based crowdsourced predictions. The Numerai data science problem is like a typical supervised machine learning problem, where the data has several input features and corresponding labels (or targets). The data is obfuscated and is already cleaned, making it difficult to understand which row corresponds to which stock.
Epicenter podcast — Staking milestone- Towards Data Science coverage for Numerai

Epicenter podcast — Staking milestone- Towards Data Science coverage for Numerai

MediumMedium22 Jul 2020 | 23:22 pm
Three years after his first appearance on the Epicenter podcast, Numerai founder Richard Craib returns to talk about the Erasure protocol. The total value of NMR staked on Erasure is higher than the value staked with Augur, Melon protocol, and Dharma combined. He also talks about what makes a hedge fund market neutral, and the team’s latest projects.
Practical Keras

Practical Keras

MediumMedium20 Jul 2020 | 17:54 pm
Numerai is a hedge fund that gives users an obfuscated financial dataset which they use to predict unseen market data and if they're correct, they can earn money in the form of NMR*. The company is a fund that crowdsourced most of its quant division. It gives users a dataset to analyse and then train a model to predict the unseen data.
A New Data Science Competition Where Being Different Pays

A New Data Science Competition Where Being Different Pays

MediumMedium06 Jul 2020 | 14:31 pm
Numerai has introduced Meta Model Contribution, a metric that measures the performance of a model of a user's work in a real hedge fund. It estimates how valuable each model is to the model that runs the hedge fund, so that users can be paid based on their real value. The Meta Model is used to control the capital of the NumerAI hedge fund's fund.
Numerai Tournament: Blending Traditional Quantitative Approach & Modern Machine Learning

Numerai Tournament: Blending Traditional Quantitative Approach & Modern Machine Learning

MediumMedium23 Jun 2020 | 04:40 am
Numerai is a crowdsourced hedge fund that operates based on the results of stock price predictions made by an unspecified number of people. Tournament participants will build a predictive model based on an encrypted dataset provided by Numerai. The total prize money paid out to participants to date is in excess of $34 million.
Fundraising — Improved FCAS — Erasure Bay Highlights 📣

Fundraising — Improved FCAS — Erasure Bay Highlights 📣

MediumMedium04 Jun 2020 | 21:34 pm
Numerai has raised $3 million in a recent sale of NMR led by Union Square Ventures and Placeholder with CoinFund and Dragonfly Capital. The sale saw participation from investors including CoinFund's Managing Partner Alex Felix, who said, "Enabling new markets and giving market access to more people are the killer apps of crypto." The funding was led by Dragonfly's Managing Director Tom Schmidt.