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Alpha Streams Competition: $1,000 Prize Pool

Quant League: Week 8

Submit your algorithm through Alpha Streams to compete

About Alpha Streams

Alpha Streams is the world’s first alpha marketplace, connecting you with quantitative hedge funds competing to license your insights. The algorithms you design emit predictions, which funds license on a monthly basis to incorporate into their existing models. This allows you to earn recurring revenue while maintaining your intellectual property rights.


The Challenge

Your challenge is to create algorithms that perform well over a 5 year backtest period, perform well in out-of-sample trading, and reconciles well with its backtest. You can trade any asset classes or strategy types. As there are funds with many different mandates using Alpha Streams, we wanted a competition specially designed to let you unleash your full creativity without worrying about specific themes or universes.

Clone the template algorithm to get started!


Requirements

All algorithms must meet the below mechanical and performance criteria to be under consideration for the weekly prize. To get started, check out our template algorithm that has many of the mechanical factors baked in. To be eligible, your algorithm must:

  • Meet Standard Alpha Submission Criteria
  • Use the Algorithm Framework Foundation
  • Use Insight Weighted or Equal Weighting Portfolio Construction Models
  • Use the Immediate Execution Model
  • Specify Insight Properties: Symbol, Duration, Direction, and Weight
  • Include a 200+ Word Description
  • Have at least 90 calendar days of out of sample track record at launch of competition
  • Emitted at least an average of 10 insights per month
  • Have a Dynamic Time Warping (DTW) distance of < 20%
  • Have at least 90 days of out of sample performance
  • Have less than three runtime errors in the last week

Additionally, your Author profile must be complete with a biography and employment history.

Algorithms that meet the above criteria will be automatically entered into the following week’s competition cohort once they have accrued the necessary live out-of-sample period.

Applications

All algorithms that are submitted through Alpha Streams that meet the above requirements will be automatically entered. Algorithms already on the marketplace that meet the requirements will be automatically entered as well, and can immediately be eligible for a prize based on their existing out-of-sample period. The submission process is demonstrated in this video.


Judgment

Algorithms will be evaluated in part based on their live Sharpe Ratio over the prior 90 calendar days, calculated every Monday at 12am PST. Any algorithms that meet all the requirements at this time will be eligible for a prize. More information on judgement criteria can be found in the "Judgement" section of the rules.


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!

Competition Winners

COMPETITION RULES

1. Overview

This 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 for prizes in the Competition, an algorithm must have been live on the Alpha Streams marketplace for at least 90 days before 2:00 pm PST on Sunday 9th August, 2020.

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 for the trailing 90 calendar days before Monday 24th August, 2020.

To be eligible for participation, algorithms must use Algorithm Framework models, Insight Weighting or Equal Weighting Portfolio Construction models, have been submitted as an Alpha Stream and include a project name, description, subscription price, exclusive subscription price, description containing at least 200 words, 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 have a Distance Time Warp distance of < 10% and have been continuously live for at least 90 calendar days at the time of evaluation and emitted at least 30 Insights during that time (averaging at a minimum of 10 insights per month), with all Insights containing the following properties: Symbol, Duration, Direction, and Weight.

All algorithms that meet the above criteria at the time of evaluation ( Monday 24th August, 2020 ) will be automatically considered for prizes.

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.

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.

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 all aspects of the Competition. 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 in the trailing 90 days preceeding the Monday 24th August, 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.

Sharpe Ratios will be calculated in real time and update the leaderboard automatically. Algorithms that encounter runtime errors or fail to produce any trades at least 5 trades during the 15 day evaluation period are subject to potential 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 profitable and not have a drawdown recovery of greater than 6 months in their backtest

Algorithms must use Minute or Second 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 Monday 24th August, 2020 at 12am PST. 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 Friday 28th August, 2020 at 4pm PST. 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 $750
2nd $200
3rd $50

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

All algorithms that meet the eligibility criteria at that time will be automatically considered for prizes. Eligible algorithms will be evaluated at 12am PST on Monday 24th August, 2020.

QuantConnect reserves the right to suspend the competition if fewer than 20 new algorithms are under consideration for prizes compared to Quant League: Week 7.

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.

Competition Timeline

Accept

August 9, 2020

Competition Launched

Record

August 9, 2020

Entry Deadline
Live Trading Begins

Award

August 23, 2020

Winners Selected

   
   
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