The CoE Numerai Newsletter - Edition #20
January & February 2024
Meme of the Month
by crnchat
Cadence Update
Before we get to the good stuff, some quick housekeeping: The newsletter will now be released on a bi-monthly basis. So expect it in your mailbox every other month!
Stake Changes
The previously announced scoring changes (moving to a fixed 0.5xCORR20v2 + 2xMMC multipliers for the classic tournament) have now gone into effect. If you still have any staked models, be sure to adjust your stakes as needed (hopefully you didn't burn too much in the meantime)!
In addition to these changes, Signals’ scoring will also be moving to MMC, starting March 30 2024.
All stakes will be changed to 1xFNCv4 + 2xMMC, even if they are currently set to 0x multipliers; So make sure to plan accordingly!
See more details about scoring changes for Signals here.
Midnight Release
There is no better way to start off the new year than with new data for the classic tournament.
The Midnight dataset is introducing 244 features from new data sources, and once again, it has the best performance over all previous datasets.
16 target columns have been removed from the dataset, as the Numerai team has found them to be bad for performance, so adjust your pipelines accordingly when switching over!
This will be the final dataset release for the next little bit. If you're not already using the Midnight dataset (it should be around for a while), don’t wait to give it a shot.
Lastly, all new models uploaded through Model Uploads will need to be trained on the Midnight dataset.
If you want a more in depth breakdown of midnight, you can find the forum post on it here: (Midnight Data Release)
ShatteredX’s Improved & Compact Feature Set
To accompany the new data release, classic tournament grand master ShaterredX has released their compact feature set for the midnight data.
The feature set was generated by selecting the features with the highest lightgbm/xgboost and Shapley Additive Explanations (SHAP) feature importance, when evaluated against the validation set.
It outperforms the standard small/medium/all features sets, when scoring on the validation data.
If you're interested in trying it out for yourself, you can find the feature set here: (ShatteredX’s Improved & Compact Feature Set (225 features) for v4.3 Midnight Data).
Around the world with the Numerati: SF meetup
The CoE kicked off the Around the World With the Numerati meetup series in San Francisco, featuring a talk on Signals "More alpha than there is noise in the market” by CoE elder Suraj Parmar. You can find the content here: (Materials from CoE Sponsored Meetups)
The next planned meetups this year are in Frankfurt (April 27) and Tokyo (July 20)! If you're interested in attending or giving a talk at these events, check out the links above for more info!
Signals V1 Data Release
The V1 data is now available for the Signals tournament, adding 24 new features and updating tickers.
The new features contain factors to which the target is neutral to, as well as some classic starter quant features.
With the launch of the V1 data also comes the deprecation of all legacy Signals data. Anything not in the data API is now discontinued (E.g. S3 URLs). However, legacy submission formats will still be accepted.
A full breakdown of the V1 data, including steps on how to migrate over to it, is available here (Signals V1 Data Release)
CoE Transaction Report
Jan 8th 2024 -14 NMR Numerbay
Jan 8th 2024 -19.6 NMR CoE Newsletter
Jan 10th 2025 -53 NMR Around the World With the Numerati
Feb 5th 2024 -14 NMR Numerbay
Feb 5th 2024 -20.7 NMR CoE Newsletter
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Disclaimer: This is not an official Numerai newsletter. It is sponsored by the Numerai CoE, a decentralized autonomous organization. Every effort is made to provide accurate and complete information but there are no claims, promises or guarantees about the accuracy of the contents.