Hey Everybody,

We're excited to give the community the third demonstration algorithm of how to use one of the 5 ETF universes in the competition: Volatility ETFs.

This algorithm provides a rough template of how this universe can be used in a submission and also implements some of the backtest requirements (5-year minimum, $1m starting cash minimum, and using the Alpha Streams brokerage model).

Some factors that tend to affect market volatility that you can consider when writing an algorithm:

  • Major news announcements: economic changes affecting the broad market indexes, trade-war news, major geopolitical events, etc.
  • US Government data: consumer sentiment, manufacturing index changes, etc.
  • Corporate actions: mergers, earnings reports, etc.
  • Analyst sentiment

P.S. -- Keep an eye out for new data sources regarding macro-economic updates, trade-war news, US Treasury data, and analyst sentiment to inform your trading signals!