Introducing Alpha Five – Our First Algorithm Development Competition

We’re excited to announce Alpha Five, our first algorithm development competition. It is a natural extension of Alpha Streams, which we launched with the original vision of creating a marketplace where funds could license community-made Alphas instantly. By creating a marketplace, developers can connect directly with funds who are looking to leverage the breadth of knowledge & creativity that a userbase of 85,000 affords. A competition format takes that vision and focuses it by allowing a sponsor to request a specific algorithm profile and concentrate the community’s attention by offering cash prizes.

Alpha Five has a total prize pool of $27,500, which will be divided amongst the top 15 algorithms. The sponsor has provided five distinct universes as the basis for algorithm development: ETFs in volatility, precious metals, energy, technology, and U.S. Treasury Notes. Your challenge is to turn these baskets into uncorrelated Alpha Streams, ready for inclusion in an institutional portfolio.

These baskets were chosen specifically for their constituents’ lack of correlation with the broader market. When correlation between individual stocks and the stock market is high, building a portfolio that outperforms the benchmark is particularly challenging. Using universes that are influenced by unique factors will help you create Alphas that differentiate themselves:

  • The volatility universe includes high volatility ETFs, low volatility ETFs, and products that directly follow other volatility products. 
  • The precious metals universe includes products related to metal mining and sufficiently liquid commodities like gold, silver, and platinum. 
  • The energy universe contains products related to oil, natural gas, and clean energy. 
  • The technology universe contains funds for the most liquid technology stocks and bearish technology products. 
  • The U.S. Treasury universe contains ETFs related to government bonds and various treasury notes of various expiry periods.

Whether you are well seasoned with QuantConnect’s API or are new to QC’s platform, we invite you to submit a best-in-category strategy that is uncorrelated to the U.S. stock market. Submissions are open until October 31, 2019 11:59 pm EST.

Algorithms submitted to the competition remain your intellectual property. The sponsoring client has a 90-day first option for an exclusive license from the end of the competition. After the 90-day window, algorithms can be licensed through the Alpha Market to any participating institution.

In addition to QuantConnect’s extensive financial data library, we will be making alternative data sources available for use throughout the competition. Stay tuned for updates!

Read the full competition description to learn about the rules, evaluation criteria, and prizes before submitting your algorithms. And as always, happy coding!

Alex Otsu

By: Alex Otsu

01.10.2019
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