Submitting Portfolio Weights rather than Scores

Hello community,

I am Nuo Wen Lei. I spent last summer working at Numerai. I have some ideas about a new approach for submissions, for which I have attached a PDF. Would love to get some feedback on these ideas. Below is the abstract.

We propose that Numerai users be allowed to submit portfolio weights rather than scores. First, portfolio weights make it easier to reward users for creating models that perform well when the Meta Model performs poorly. Second, portfolio weights make it easier to take real world constraints like liquidity and short locates more seriously. Third, portfolio weights make the calculation for user contribution to Numerai’s overall success simpler and more transparent.

Full Document

Please let me know what you think!

Nuo Wen Lei


hi, what architectures would work for this version of the problem?