Back

Alpha Five: ETF Universe Alpha Streams Competition

We're excited to announce Alpha Five, our first algorithm development competition! Since we launched Alpha Streams the community have asked what institutions were looking for, and institutions have sought very specific alpha development. Finding the match was a slow, manual process. With the competition, we're aiming to bridge this gap.

Alpha Five is sponsored by an institutional client. They are providing a unifying theme to help guide community Alpha Streams development and incentivising the development with a prize. They have sponsored an award of $27,500 to see what the community can discover in the following universes of liquid ETFs:

677_1569906311.jpg

•    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. 

Alphas submitted should be long-only and operate on one of the universes above. They should be active each day, with a low drawdown and quick recovery time in the event of a drawdown.

Submissions open October 1st and run until the November 1st. You can apply through the normal Alpha Streams submission process by selecting the competition tag in the wizard! 
 

Update Backtest





The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.



0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


I've read everything above and I'm still confused: 

Are we trying to write algorithms that are limited to one sector alone, and only trade any of the selected etf's in that sector? Or can we mix and match any of the etf's in all of the sectors into the best single algo?

I believe you want the first but just want to make sure.

 

Thanks

Serge

0

Serge d'Adesky to be eligible they must only trade within one of the pre-build universes (i.e. any of the assets in a single universe above) we've created and shared on the competition landing page. 

Although you could focus on a single asset, using a universe allows you to diversify a bet to multiple vehicles. E.g. if you can predict that the trade war will cause a flight to safety you can assume all of the bond markets will go up and place predictions on all of the assets. Conversely, it allows you to smooth the equity curve by shifting bets between the differences in the underlying assets.

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


I understand that Alpha Streams submissions require only a universe module and alpha module.  However, the contest is being judged (partially) on the sharpe ratio which is affected by the portfolio module and even the execution module.  Which portfolio module and which execution module are used in Alpha Streams and the contest?  Do we have control over those decisions?

Thanks.

0

You can control them Hugh Todd ! You can use the "classic" template examples provided in the universe-specific threads and manually emit trades as well. Keep in mind though the trade sizes will be "$-Millions" so it takes time to enter and exit the positions. Alphas which are most realistic (i.e. won't cause deep slippage by consuming all available bids) are trading only 1-2x per day. 

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks JaredBroad. I needed to know if there was an implied equal weighting of positions with "long" insights or if we had contol of the portfolio.  As for trade duation, I understand the need for time.

 

0

You can control the portfolio. I'd recommend using the Insight weight property -- this is the final parameter on the insight creation helpers:

Insight.Price(symbol, period, InsightDirection.Down, magnitude, confidence, sourceModel, weight)

Then if you wanted you can use the InsightWeightedPortfolioConstructionModel to execute according to those weights.

 

 

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hello, 

Having an issue with stock data for NUGT for some reason when I use the for each loop with your precious metals universe dictionary. Is it ok that I've just added the same equity manually in its own line? 

Thanks!

0

Hi Timothy Comisky 

Would you not mind sending an email to support@quantconnect.com with an attached backtest so that we can take a look at the issue? 

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed