In a trading competition, the best strategy is the riskiest strategy. This maximizes likelihood of making a lot of money ... and losing a lot of money. But in a competition, the left tail doesn't matter. Second place and last place are identical.
Ideally, a trading competition should penalize risky investments. But this is hard to do retrospectively, especially when evaluating algorithms.
Ideally, a trading competition should penalize risky investments. But this is hard to do retrospectively, especially when evaluating algorithms.