Back

Requirements are a bit unclear

Hello! Hope you are having a great day!

I want to participate in the current Alpha comp, tho I wanna elaborate couple of details, some of the rules & requirements are unclear.

- 72 ETFs universe. Where I can check the exact list?
- Average 5 trades per week. Is it per asset/per the whole universe?
- Must use only Minute resolution data. Does it mean only minute "input" data? I can re-sample this 1-minute datastream inside my algo, right?
- I'm switching from Quantopian. There we use to implement dynamic asset selector which is called 'Pipeline'. Is is used to choose assets from the pre-determined universe based on different built-in and custom factors. Is there anything like that in QuantConnect?
- What is maximum leverage & maximum drawdown?

Thank you!!!

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.


Hi Igor! Welcome to QuantConnect!

 - You can see the complete list here -- this is the code underpinning the LiquidETF Universe module. If you use that helper module (from the cloneable example) it will jump-start your algorithm.

 - "[Minimum] 5 Trades Per Week"; the intent is to discourage HFT style (sub-10min hold periods) and also ensure there are no large gaps in trading. The fund specification was "daily trading" which we tried to quantify to a number of trades averaged over a period. The period had to be short enough it would be a meaningful (statistically significant) level of activity so we selected weekly.

- QuantConnect uses universes. However the LiquidUniverse module adds all 72 ETF's; so you can either clone the example universe and make your own filters with it, or do the filtering after the asset selection in OnData. There are examples of how to do universe selection in boot camp including how to make your own custom universe filters - (Liquid Value, 200-50 EMA Universe).

- Alphas need to use the Alpha Brokerage Model which constrains leverage at 2x,

- Drawdown is the alpha stream submission requirement which is no more than 10% for a 6 month period.

Glad to have you with us. These are our first competitions so we've been working out the "bugs" and will get better over the next few months. 

1

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