We’ve been working on new ways to increase the payouts on Numerai Signals. We want early Numerai Signals users to be able to earn as much as the early Numerai users have.
Recently @_liamhz spoke with @arbitrage about some early ideas we had on YouTube. But currently our best idea to increase payouts on Signals is to increase the horizon of the target from its current 6 days minus the first 2 days to 22 days minus the first 2 days. Read more about the current 6 day target in docs.
We analyzed how well all current Numerai Signals users would do if their signals were instead scored against the new longer horizon target. It turns out that most users do much better on the new longer horizon target – even though the new target is still neutral to the same features.
|current target||new target|
|Mean user corr||0.000801||0.003860|
|Standard deviation of corr||0.004622||0.005687|
|Average corr Sharpe||0.0495||0.2340|
|# of users who have higher corr mean on target||20||58|
|# of users who have higher corr Sharpe on target||17||61|
If we had scored on this new target, the mean correlation with the target would go up 481% but the variance would only increase by only 20% resulting in a much higher average Sharpe for NMR staked on Numerai Signals (0.0495 to 0.2340). It’s important to note that payouts would likely improve even further once we gave out these targets historically, updated the validation diagnostics to show results based on these targets, users optimized their signals to be good at this target, etc.
In the new few days we will be showing a new correlation on Numerai Signals called CORR20. This will be your signal’s correlation on the new target.
how it looks so far, not yet live or finalized
After it displays on the website, you won’t be able to stake on CORR20 but we want to start showing it so you could get a sense of it.
What do you think of the proposed new target?
see data shared by @degerhan on how different prediction horizons contribute to alpha.
see @v1nc3n7’s well-argued proposal for increasing payouts (not sure if this is as necessary with longer horizon target).
I also think there are good reasons to allow 3-4x MMC payouts on Numerai Signals – some, especially some staking on less the whole universe, are very likely to have low volatility signals anyway and would hence benefit from increased MMC leverage.