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Alpha Streams Competition: $27,500 Prize Pool

Alpha Five: ETF Universe Alpha Competition

Submit your algorithm through Alpha Streams to compete

Competition Leaderboard

  # Sector Algorithm Team Backtest Insights Backtest Sharpe Ratio Live Sharpe Ratio
1EnergyEnergetic Momentum v1.0

Individual

3,8050.79732.726
2EnergyEnergy Alpha Timing v1.0.1

Individual

1,2091.8441.129
3EnergyE1 Akatawara v1.1

Ser_Gra

The University of Life

1,2751.110-1.387
4EnergyEnergy Trend Scalping v1.0

Individual

4,6060.709-5.271
5EnergyEnergy Universe SwingT Reversal v1.1

Individual

8650.765-5.739
1Precious MetalsMiner Alpha v1.2

Individual

2,6481.28417.993
2Precious MetalsMetals v1.1

Individual

7731.0691.419
3Precious MetalsMetals Reversals v1.0

Individual

1,9940.571-1.043
4Precious MetalsPM1 Taumarunui v1.1

Ser_Gra

The University of Life

2,5500.926-3.324
5Precious MetalsPrecious Metals Patterns Long Only v1.0

Individual

9771.692-3.585
1TechnologyTechnologies Bull-Bear ETF v1.1

Individual

1,9650.87221.889
2TechnologyTechno Rev V3 v1.1

Individual

2,3160.78418.785
3TechnologyPowWow Tech MAS v1.1

PowWow

QAM

4,1351.16614.387
4TechnologyTechnology Reversals v1.2

Individual

9780.79213.405
5TechnologyTechnology ETF Trend Scalping v1.0

Individual

1,1351.6088.567
6TechnologyDS OCT-29-19-Technology v1.0.4

Individual

2,3720.7568.086
7TechnologyTechnology Harvesting v1.2

Individual

13,1680.6386.989
8TechnologyTechnology ETF Patterns Long Only v1.0

Individual

8001.4975.301
9TechnologyTechnology Optimistic ETF-Machine v1.0

Quant Ninjas

Software Factories

46,8060.7202.963
10TechnologyTECH1 Takaka v1.1

Ser_Gra

The University of Life

1,2750.8110.921
11TechnologyDropShot Technology Submission #2 v1.0

Individual

3791.1850.000
12TechnologyTech ETF Alpha v1.2

Individual

4,2300.730-0.812
13TechnologyAsymmetric Power Tech ETF v1.0

Individual

4,4460.953-1.860
14TechnologyTech Reversal Flow v1.0

Individual

3,5010.991-2.188
1US TreasuriesBond Seasonalities ETF v1.0

Individual

4,9140.99310.250
2US TreasuriesPowWow Treasury LPSA v1.0

PowWow

QAM

8,4590.9070.469
3US TreasuriesTreasuries v1.2

Individual

2,1020.7580.059
4US TreasuriesTreasuries ORB v2.1

Individual

3470.806-1.144
5US TreasuriesTreasuries Universe v1.0.3

Individual

2,4200.814-1.244
6US TreasuriesTreasury TSA Timing v1.0.1

Individual

13,5291.169-2.270
1VolatilityVolatilities Bull-Bear ETF v1.0

Individual

1,6740.64013.815
2VolatilityUK OCT-29-19 Volatility v1.0.3

Individual

2,4170.9408.354
3VolatilityVRSI Volatility v1.0

Quant's Up

3,5150.2247.091
4VolatilityVolvesting v1.0

Individual

5,4350.7906.744
5VolatilityVolatility v1.2

Individual

1,8930.6252.522
6VolatilitySafely Gamble v1.0

WHAT'S ALPHA

Techsharpe

3,8790.8750.103
7VolatilityVOL1 Kapiti v1.1

Ser_Gra

The University of Life

2,5500.740-1.179
8VolatilityPowWow Vol VolPlay v1.0

PowWow

QAM

3,3460.740-3.595

Welcome!

QuantConnect is holding an Alpha Stream Competition sponsored by an institutional client. We will be awarding a total prize pool of $27,500 to 15 top algorithms. To participate, develop a long only algorithm around one of five provided focus universes: volatility, precious metals, energy, technology, and US Treasuries.


The Challenge

The broader US stock market has periods of strong correlation, making it difficult to implement a portfolio with consistent returns. The five categories of ETF universes chosen for the Alpha Five Competition are almost orthogonal, covering very different underlying assets with their own independent variables. Your challenge is to turn these baskets into uncorrelated Alpha Streams, ready for inclusion in an institutional portfolio.

Whether you are well seasoned with QuantConnect's API or are new to QC's platform, we invite you to participate. Submissions are open until November 1, 2019. In addition to the chance of winning a prize, algorithms submitted to Alpha Streams will be available for licensing by other institutional clients after 90 days.


Requirements

To ensure all Alpha Streams are correctly configured QuantConnect has provided 20 starter templates preconfigured for the different universes. The following is required for each algorithm:

  • Completed five-year backtest, using SPY benchmark
  • Long only, and active daily (1-2 trades per day)
  • Trading on one of the five universe categories (can use other assets as signals)
  • Using Alpha Stream transaction models


Five Universes

Each universe has example algorithms coded in C# and Python to get you started. All the ETF universes have at least 5 years of backtesting history and are comprised of high volume assets.

  • 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 bear technology products.
  • The US Treasury universe contains government bonds and various treasury notes vehicles of various expiry periods.

Each universe has been predefined based on criteria provided by the sponsor. View the full implmenetations, which include constituents and the dates the respective ETFs were launched, for Energy, Volatility, US Treasury Notes, Precious Metals, and Technology baskets on GitHub.

Applications

To apply, simply create an alpha stream using the eligible universe modules and submit it for licensing to Alpha Streams. From the tag-wizard, select the universe of your alpha to enter it into a category.

Evaluation

Algorithms will be displayed on the leaderboard according to the live Sharpe ratio they accrue during the evaluation period from November 1, 2019 through December 30, 2019. The leaderboard will be updated daily according to the live results. The ranking criteria can be expressed as:

Where is portfolio returns, is the risk-free rate, and is the standard deviation of excess returns.

Final judgment of winners is reserved for our sponsors, who will view the performances of all submitted algorithms and compare them with their internal benchmarks. For this reason, an algorithm with a lower Sharpe ratio may ultimately be chosen over one with a higher Sharpe ratio because it has certain characteristics that make it more amenable to the sponsor. High daily turnover, lower return over maximum drawdown (annualized return divided by maximum drawdown), low correlation with common benchmarks like SPY, and low correlation with other submitted algorithms will all contribute to final judgment.

Sharpe ratios will be calculated in real time and update the leaderboard automatically. Algorithms that encounter runtime errors or fail to produce any trades during a trading day will be subject to disqualification.

Competition Prizes

The Competition winners will be decided on Tuesday, December 31, 2019 at 8 pm EST. The authors of the top three (3) algorithms per category will be notified via email. Winners will be required to respond to the notification email no later than January 31, 2020 at 11:59 pm EST. Failure to respond by the deadline, or failure to meet the participant qualifications, may result in the prize being forfeited and awarded to the author of the next highest algorithm.

Out of the algorithms submitted which are accepted into the competition, the top three algorithms per category will receive prizes according to the following distribution:

Place Prize
1st $4,000
2nd $1,000
3rd $500

In the event of a tie, the Competition prize will be split evenly between the winners. For example, in the event of a tie for second place, the prize for second and the prize for third will be combined, halved, and given equally to the tied algorithms.

Odds of winning will depend on the total number of entrants.

Participants may win a maximum of three (3) prizes. In the event a Participant has more than three algorithms that qualify for prizes, they will be entitled to only the three which maximize the total value of their prizes. For example, a Participant with four algorithms total, placing in 1st and 2nd place in one category and 2nd and 3rd place in another, they would receive prizes equivalent to one 1st place finish and two 2nd place finishes. The Paticipant's remaining algorithm(s) would then cede their place(s) to the next highest scoring algorithm in each the respective categories.

COMPETITION RULES

1. Overview

This Themed Algorithm Development Competition (the “Competition”) is hosted by QuantConnect Corporation, a Delaware Corporation (“QuantConnect”).

All algorithms accepted into the Alpha Marketplace that meet the criteria in the "Eligibility" and "Submissions" sections will be automatically entered into the Competition. All eligible algorithms are therefore required to follow the standard guidelines that have been set for listed Alphas which include using a reliable data source, calling the History and WarmUp methods, and being grounded in reality. Learn more about creating and submitting and Alpha in the documentation.

​ ​

2. Eligibility

To be eligible to take part in the Competition, Participants must enter their algorithm on or before 11:59 pm EST on October 31, 2019.

Algorithms must meet the mechanical and performance criteria set forth in the “Judgement” section.

Participants must have a registered QuantConnect account and be registered Alpha Stream developers. Registration is available at register. QuantConnect registration and Alpha Streams registration are both free. Additional identity verification may be required before prize distribution.

Participants must be at least 18 years old or older at time of entry.

Participants must be from a country or region where their entry is not prohibited by law.

There is no fee for entry and no purchase is necessary for this contest of skill.

3. Submissions

Submitted algorithms will be evaluated by their performance with live market data from November 1st, 2019 through December 30th, 2019. They will not be able to be changed or updated during this period.

To be eligible for participation, algorithms must have been submitted through submit and include a project name, description, subscription price, and exclusive subscription price, with a full backtest attached that can be reproduced perfectly by running an unedited version of the submitted algorithm at the time of submission. They must trade within at least one of 5 pre-defined universes, accessible from the "Create New Algorithm" section of terminal:

  • “Energy ETF Basket”
  • “Precious Metals ETF Basket”
  • “Technology ETF Basket”
  • “US Treasuries ETF Basket”
  • “Volatility ETF Basket”

Submissions must also pass a standard manual approval process during which QuantConnect reserves the right to reject it for any reason. These include but are not limited to: not adhering to Competition criteria, making use of information that would not have been knowable at time of trade (lookahead bias), improper use of the API, algorithm lacking resiliency by not using History() or WarmUp() methods, using unreliable data sources, uncertainty about the author’s identity, technical failures during the approval process, or any violations of our Terms and Conditions.

A Participant can decide to remove their algorithm from consideration in the Competition at any time. This will cause them to forgo any potential prize or features associated with winning the Competition. The algorithm itself will remain in the marketplace for one (1) year after removal according to Section 2.4 of the Alpha Stream Author Agreement.

Limit of one algorithm submission per day. QuantConnect reserves the right to limit or refuse the submissions of Participants who we deem, in our sole discretion, to be abusing the submission process by, for example, repeatedly attempting to submit more than one algorithm per day or submitting algorithms from multiple accounts..

Past winners and all currently performing algorithms will be available at quantconnect.com/competition.

Algorithms must use data provided by QuantConnect and cannot make use of external or other non-permitted data. They must not incorporate or include any material, non-public information.

Participant agrees the Alpha Stream Author Agreement governs the Participant’s relationship with the Competition sponsor except as set forth in these Competition rules. Participant agrees that all algorithms submitted for the Competition will be available to license exclusively to the Competition sponsor until January 31, 2020, after which they become publicly available on the Alpha Streams marketplace. Participants retain intellectual property rights over their submissions in accordance with Section 6 of the Alpha Stream Author Agreement.


4. Judgement

Algorithms will be displayed on the leaderboard according to the live Sharpe ratio they accrue during the evaluation period from November 1, 2019 through December 30, 2019. The leaderboard will be updated daily according to the live results. The ranking criteria can be expressed as:


Where is portfolio returns, is the risk-free rate, and is the standard deviation of excess returns.

Final judgment of winners is reserved for our sponsors, who will view the performances of all submitted algorithms and compare them with their internal benchmarks. For this reason, an algorithm with a lower Sharpe ratio may ultimately be chosen over one with a higher Sharpe ratio because it has certain characteristics that make it more amenable to the sponsor. High daily turnover, lower return over maximum drawdown (annualized return divided by maximum drawdown), low correlation with common benchmarks like SPY, and low correlation with other submitted algorithms will all contribute to final judgment.

Sharpe ratios will be calculated in real time and update the leaderboard automatically. Algorithms that encounter runtime errors or fail to produce any trades during a trading day will be subject to disqualification.


5. Other rules

All algorithms will be run with a default of a simulated $1,000,000 starting balance. Slippage models, fee models, settlement models, brokerage models, fill models, and buying power models will all be set to the applicable Alpha Stream Model. Any models that the Participant has applied will be overridden at the approval phase.

Backtests must run over a period of 5 years from the date of submission, without runtime errors, and restart in a stateful way which resets any indicators by using the History API.

Algorithms must be long only.

Algorithms must use data that has been approved by QuantConnect and cannot use the download() function.

Each participant may have only one QuantConnect account. If the Participant submits entries from more than one account, all entries may be disqualified.

Collaboration on algorithms is allowed, but QuantConnect will not be involved with prize division. Submissions are the sole responsibility of the registered account holder of the account submitting the algorithm.

By submitting an algorithm, the participant represents that he/she holds all rights necessary to submit the algorithm, including all copyright and other intellectual property rights.

Any algorithm that takes longer than 6 hours on QuantConnect’s servers to run a backtest will be disqualified.

6. Awards, Payout

The Competition winners will be decided on Tuesday, December 31, 2019 at 8 pm EST. The authors of the top three (3) algorithms per category will be notified via email. Winners will be required to respond to the notification email no later than January 31, 2020 at 11:59 pm EST. Failure to respond by the deadline, or failure to meet the participant qualifications, may result in the prize being forfeited and awarded to the author of the next highest algorithm.

Out of the algorithms submitted which are accepted into the competition, the top three algorithms per category will receive prizes according to the following distribution:

Place Prize
1st $4,000
2nd $1,000
3rd $500

In the event of a tie, the Competition prize will be split evenly between the winners. For example, in the event of a tie for second place, the prize for second and the prize for third will be combined, halved, and given equally to the tied algorithms.

Odds of winning will depend on the total number of entrants.

Participants may win a maximum of three (3) prizes. In the event a Participant has more than three algorithms that qualify for prizes, they will be entitled to only the three which maximize the total value of their prizes. For example, a Participant with four algorithms total, placing in 1st and 2nd place in one category and 2nd and 3rd place in another, they would receive prizes equivalent to one 1st place finish and two 2nd place finishes. The Paticipant's remaining algorithm(s) would then cede their place(s) to the next highest scoring algorithm in each the respective categories.


7. Other Conditions

The Competition begins at 12:00 am EST on October 1, 2019. All algorithms that are approved by QuantConnect before 11:59 pm October 31, 2019, will be eligible for consideration.

Prizes are non-transferrable.

QuantConnect reserves the right to alter, amend, modify, suspend, or terminate this Competition or any aspect of it at any time with no advance notice. These include but are not limited to prize value, prize distribution, and scoring criteria. In the event of a change, QuantConnect will make reasonable efforts to notify all Participants by email.

Algorithms that are not executed or processed successfully, for whatever reason, will be disqualified. These include but are not limited to any malfunction or other problem with the Competition website or any error in the collection, processing, or retention of any submitted algorithm.

QuantConnect may remove algorithms from the Competition for any reason, including underperformance, a Participant misrepresenting their identity, or intellectual property concerns.

The Participant gives his/her express consent for QuantConnect to use or publish, without additional compensation and in any medium, information for publicity purposes including Participant name, written and spoken statements, and algorithm performance for all or part of the Competition.

All current employees, interns, and contractors of QuantConnect; and their immediate family members or household members are prohibited from participating in the Competition.

All federal, state, provincial, and local laws and regulations apply.

Whenever possible, each provision of these rules will be interpreted in such a manner as to be effective and valid under applicable law. In the event that any provision is not enforceable or invalid under applicable law, all remaining provisions will remain in full force and effect.

All taxes imposed on prizes are the sole responsibility of the winners. Payments to potential winners are subject to the express requirement that they submit all documentation requested by QuantConnect for compliance with applicable state, federal, local and foreign (including provincial) tax reporting and withholding requirements. If a potential winner fails to provide any required documentation or comply with applicable laws, the Prize may be forfeited and Competition Sponsor may select an alternative potential winner. Any winners who are U.S. residents will receive an IRS Form-1099 in the amount of their Prize if required.

QuantConnect is not responsible for the actions of Participants in this Competition, and any attempts to circumvent the rules or otherwise interfere with the Competition will result in disqualification. QuantConnect reserves sole discretion in deeming when a Participant is acting in violation of the rules and administering the appropriate consequence.

These rules shall be governed by and subject to the QuantConnect Terms of Use including the jurisdictional and dispute processes specified therein.

8. Liability

To the maximum extent permitted by law, you indemnify and agree to keep indemnified QuantConnect at all times from and against any liability, claims, demands, losses, damages, costs and expenses resulting from any of your acts, defaults or omissions and/or a breach of any warranty set forth herein. To the maximum extent permitted by law, you agree to defend, indemnify and hold harmless QuantConnect from and against any and all claims, actions, suits or proceedings, as well as any and all losses, liabilities, damages, costs and expenses (including reasonable attorneys fees) arising out of or accruing from: (a) your algorithm or other material uploaded or otherwise provided by you that infringes any third party proprietary rights, intellectual property rights, industrial property rights, personal or moral rights or any other rights, including without limitation, copyright, trademark, patent, trade secret, privacy, publicity or confidentiality obligations, or defames any person; (b) any misrepresentation made by you in connection with the Competition; (c) any non-compliance by you with these rules or any applicable U.S. or foreign state or federal law; (d) claims brought by persons or entities other than the parties to these rules arising from or related to your involvement with the Competition; and (e) your acceptance, possession, misuse or use of any Prize, or your participation in the Competition and any Competition-related activity.

Team Name Organization Members Submissions Accepted
Ser_GraThe University of Life1104
PowWowQAM174
QuantGeeksQuantGeeks232
Quant NinjasSoftware Factories1461
Quant's Up131
WHAT'S ALPHATechsharpe321
MeowChickyMeowChicky LLC26-
ILYB-IWNL15-
BlueFish Quant15-
Scallion23-
AlphaBeta13-
My Alpha Team13-
PyInvest32-
Washington huskiesUniversity of Washington61-
Best ForeverUniversity of Connecticut21-
33311-
JHUJHU Quantitative Finance Club11-
CFRM SeaquantsUniversity of Washington Computational Finance Risk Management7--
QuantWoCFRM_UW6--
SEA OTTERUniversity of Washington - Computational Finance and Risk Management5--
LyKen3--
Jade PartnersJade Partners2--
Alpha Jockey2--
Let it riders1--
Pandas1--
Mentos1--
Team Eric1--
DenominatorUniversity of Michigan1--
Quantix1--
E-DRAGONETHAN FUND1--
Martian Money Team1--
Firequant1--
T2297T22971--
Sparkling IronN/A1--
Uretsky1--
Daa BullsBullsharpe1--
Alpha For Hire1--

Please Sign In first.

Competition Timeline

Accept

Oct 1, 2019

Competition Launched

Record

Nov 1, 2019

Entry Deadline
Live Trading Begins

Award

Dec 31, 2019

Winners Selected

   
   
Competition Statistics

70

Teams

102

Competitors

48

Accepted