Alpha Five: ETF Universe Alpha Competition

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.

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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.

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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 rp is portfolio returns, rf is the risk-free rate, and σp 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:

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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.

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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.