How to solve the Numerai Tournament / lecture by Marcos Lopez de Prado

Hi,

Since I started selling my predictions, people ask, what do I do. @ageonsen posted a great lecture from Marcos Lopez de Prado a few months ago on how to solve the Numerai tournament with fairly detailed steps. I follow those steps!
Seeing the current burning rate, I guess it didn’t get the attention neccessary.

Ageonsen is now #1 and I keep winning medals every week since I started following those instructions.
I might have been simply lucky in the recent eras, but this lecture is certainly valuable. For the beginner and for the expert as well.

You can read it here:

Have fun!

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Hi @nyuton - thanks for sharing.

The slides are a great starting point and outline a very sensible approach. But of course they leave implementation completely up to the reader. I’m curious what other references you found useful for getting into the specifics of topics like, say, feature engineering. Is the textbook one of them? Are there others of note?

Thanks again!

Sure the textbook is great!
Eye opening about the value of random forests. My best performing models are random forests. I stopped experimenting with NNs afterwards.

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Each week the era of the numerai_tournament_data.csv “test” column increases by one. How then can an era be a one month period?

great point, thanks!

We start one era every week. There are 4 overlapping open eras.

I agree with that, but his paper repeatedly refers to the eras as monthly, like here “Train set: 120 months (eras)” on page 6. Shouldn’t that be 120 weeks?

Oh, true. In the training set the eras are not overlapping. Yet…
From 8. September we get the full dataset with overlapping eras.