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Alpha Streams Competition: $10,000 Prize Pool

Liquid ETF Competition

Submit your algorithm through Alpha Streams to compete

Competition Leaderboard

  # Algorithm Team Backtest Insights Backtest Sharpe Ratio
1Drift Capture v1.0

Individual

2,1281.735
2Alpha Liquid ETF MultiStrategy v100 v1.0

Individual

01.690
3Liquid ETF Morning Reversals v1.0

Individual

2,8091.608

About Alpha Streams

Alpha Streams connects you with a marketplace of quantitative funds, competing to license your insights. This competition is sponsored by an institutional client looking for alpha from a specific basket of ETFs, offering a $10,000 prize pool to direct and incentivize development.


The Challenge

The broader US stock market has periods of strong correlation. This makes it difficult to implement a portfolio that consistently outperforms the S&P 500 benchmark. The ETFs chosen for the Liquid ETF Competition were selected for their independence from the market, covering very different underlying assets with their own independent variables. Your challenge is to turn this basket into Alpha Streams that are optimized for live Sharpe Ratio.

Whether you are well-seasoned with QuantConnect's API or are new to the platform, we invite you to participate. Your edge will come from using your unique background to create algorithms that no one else has the perspective to make. 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.

Clone the template algorithm to get started!


Requirements

To ensure all Alpha Streams are correctly configured, QuantConnect has provided a starter template. Additionally, all algorithms must:

  • Be submitted by December 20, 2019
  • Comply with Alpha Streams submission criteria, including using the appropriate transaction models
  • Must use only Minute resolution data
  • Have a completed five-year backtest attached, using SPY benchmark
  • Be long only. Use of Inverse ETFs is allowed
  • Be profitable in the backtest
  • Have a Probabilistic Sharpe Ratio greater than 80%
  • Average 5 trades per week.
  • Trade only using the ETFs provided

Universe Constituents & Selection Methodology

72 ETFs were chosen for their liquidity and unique underlying assets. Each has over $200 million daily volume, ensuring sufficient order book depth for institutional capital. The universe includes inverse ETFs, which allow you to express short sentiment.

You can view a full implementation, along with a list of the constituents, on GitHub.


Applications

To apply, simply create an Alpha Stream using the eligible universe module and submit it for licensing to Alpha Streams. From the tag-wizard, select the universe of your alpha to enter it into a category. The submission process is demonstrated in this video.


Support

There are two support channels that we encourage you to go through early and often, depending on what you need:

  • QC Support: For API, algorithm mechanics, and data questions.
  • QC Forum: For ideas, finding a team, or trading concepts.

Both the QC team and the QC community remain committed to helping you submit algorithms that best reflect the strength of your ideas. However, in the interest of fairness, we cannot assist with idea generation. Don't be shy about asking questions!

Evaluation

Algorithms will be displayed on the leaderboard according to the live Sharpe ratio they accrue during the evaluation period from December 21, 2019 through February 20, 2020. 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 Sunday, February 19, 2020 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 March 20, 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 will receive prizes according to the following distribution:

Place Prize
1st $8,000
2nd $1,500
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 one (1) prize. In the event a Participant has more than one algorithm that qualifies for a prize, they will be entitled only to the prize for their top placing submission. The Participant’s remaining algorithm(s) would then cede its place(s) to the next highest scoring algorithm.

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 December 20, 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 here. 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 December 21, 2019 through February 20, 2020. They will not be able to be changed or updated during this period.

To be eligible for participation, algorithms must have been submitted as an Alpha Stream 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 the pre-defined universe, accessible from the "Create New Algorithm" section of terminal:

  • “Liquid ETF Competition Universe”

Submissions must possess a Probabilistic Sharpe Ratio of greater than 80%, the formula for which is viewable here.

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, suspected overfitting, 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 December 21, 2019 through February 20, 2020. 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 be profitable and not have a drawdown recovery of greater than 6 months in their backtest

Algorithms must use Minute resolution data 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 Thursday, February 20, 2020 at 8 pm EST. The authors of the top three (3) algorithms will be notified via email. Winners will be required to respond to the notification email no later than March 20, 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 $8,000
2nd $1,500
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 one (1) prize. In the event a Participant has more than one algorithm that qualifies for a prize, they will be entitled only to the prize for their top placing submission. The Participant’s remaining algorithm(s) would then cede its place(s) to the next highest scoring algorithm.


7. Other Conditions

The Competition begins at 12:00 am EST on November 1, 2019. All algorithms that are approved by QuantConnect before 11:59 pm December 20, 2019, will be eligible for consideration.

QuantConnect reserves the right to extend the length of the competition’s submission period if fewer than 100 algorithms are accepted by the submission deadline.

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
Moment Generator22-
Global Edge2--
QBar1--

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Competition Timeline

Accept

Nov 1, 2019

Competition Launched

Record

Dec 20, 2019

Entry Deadline
Live Trading Begins

Award

Feb 20, 2020

Winners Selected

   
   
Competition Statistics

6

Teams

8

Competitors

3

Accepted