This is a replication repository for the article A Note on the M6 Forecasting Competition: Rank Optimization. To replicate the analysis:

1. Install dependencies in requirements.txt
2. Run the analysis via either:
   • If you are a DVC user, simply run dvc exp run in the console or run the run.bat file.
   • If not, you can also run all the files manually in the following order:
     1. src\process_data.R
     2. src\estimate_coefficients.R
     3. src\compute_strategy.R
     4. src\run_competition_simulated.R
     5. src\run_competition_bootstrapped.R
     6. src\auxiliary\leaderboard_comparison.R
     7. src\auxiliary\strategy_diagram.R
     8. src\auxiliary\scaling_effects.R
     9. src\auxiliary\position_effects.R
     10. src\auxiliary\competition_statistics_simulated.R
     11. src\auxiliary\competition_statistics_bootstrapped.R
3. To create the pdf, compile the file latex\article_ssrn\article_ssrn.tex