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Numeraire(NMR) Switch V4 to V5
NumeraireV5 "Atlas" Data is here. Don't worry, nothing is changing right now. You cannot submit on v5 yet. Live data will be released in September.
This release expands and improves the universe we use to craft our dataset, thus evolving our features and targets to be more predictive. Because features and targets significantly changed, you will need to retrain your models as any model trained on v4.x data will soon be obsolete. The new data offers more diversification in rows in each era, higher correlation, and lower variance. Our research shows that most models will simply have higher CORR when retrained with this data.
What's different about v5?
The universe (the list of stocks we are willing to trade) has changed. This means features and targets have also changed due to the nature of ranked residual returns. Because of this, we have changed the feature names. In our research, we have found that models trained on v5 data are significantly better at predicting targets than v4 models.
Can I still train and submit on v4 data?
Yes. All v4 data (v4 through v4.3) is still supported for the next 2 months. You can train and predict on all v4.x until September 27. After this date, all v4.x data will no longer be updated and you will no longer be able to use it for live prediction.
What will happen to my models?
Nothing for now. No breaking changes will happen until September 27. On September 27, if your model is still submitting on v4, it will fail to submit.
Where is the live data?
It's coming in September. Live data is not publicly available because you will not be able to submit predictions on v5 until September.
Can I use v4.3 models on v5 data?
No. V5 changes the universe of stocks used to craft the dataset, thus changing IDs, features, and targets. Our research has shown that v4 models are extremely bad at predicting v5 - do not use v4 models to predict v5.
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