Rules

Overview

The Quantopian Contest is a daily competition that awards cash prizes to the best quantitative trading algorithms written on Quantopian. The contest is designed to evaluate cross-sectional, long-short US equity strategies. As such, contest entries are required to have certain structural properties. Entries that meet all the structural criteria are scored and ranked after each trading day. Each day, the top 10 participants are awarded a cash prize.

Eligibility

1. To be eligible to take part in the Contest, Participants must have a registered Quantopian account. If a Participant doesn’t have an account yet, the Participant can sign up here. Quantopian accounts are free.

2. Participants must be at least 18 years old or older at the time of entry. Age may be verified prior to prize distribution.

3. Participants may be from any country or region where their entry is not prohibited or restricted by law.

4. There is no fee for entry and no purchase is necessary.

Criteria

In order to be eligible for participation in the Contest, entries are required to meet a particular set of criteria. When an entry is submitted to the Contest, the criteria are checked on a backtest starting 2 years prior to the date of submission, up to the most recent trading day. The criteria are then re-checked after each day that the entry remains active in the contest using a backtest starting from 2 years prior to the date of submission, through the end of the date being checked. If Participant’s entry fails one or more of the criteria on the initial test, or at any point after, it will be disqualified from the Contest. These are the criteria that are required of all Contest algorithms:

Trade liquid stocks: Trade liquid stocks: Contest entries must have 95% or more of their invested capital in stocks in the QTradableStocksUS universe (QTU, for short). This is checked at the end of each trading day by comparing an entry’s end-of-day holdings to the constituent members of the QTradableStocksUS on that day. Contest entries are allowed to have as little as 90% of their invested capital invested in members of the QTU on up to 2% of trading days in the backtest used to check criteria. This is in place to help mitigate the effect of turnover in the QTU definition.

Low position concentration: Contest entries cannot have more than 5% of their capital invested in any one asset. This is checked at the end of each trading day. Algorithms may exceed this limit and have up to 10% of their capital invested in a particular asset on up to 2% of trading days in the backtest used to check criteria.

Long/short: Contest entries must not have more than 10% net dollar exposure. This means that the long and short arms of a Contest entry can not be more than 10% different (measured as 10% of the total capital base). For example, if the entry has 100% of its capital invested, neither the sum value of the long investments nor the sum value of the short investments may exceed 55% of the total capital. This is measured at the end of each trading day. Entries may exceed this limit and have up to a 20% net dollar exposure on up to 2% of trading days in the backtest used to check criteria.

Turnover: Contest entries must have a mean daily turnover between 5%-65% measured over a 63-trading-day rolling window. Turnover is defined as amount of capital traded divided by the total portfolio value. For algorithms that trade once per day, Turnover ranges from 0-200% (200% means the algorithm completely moved its capital from one set of assets to another). Entries are allowed to have as little as 3% rolling mean daily turnover on up to 2% of trading days in the backtest used to check criteria. In addition, entries are allowed to have as much as 80% rolling mean daily turnover on 2% of trading days in the same backtest.

Leverage: Contest entries must maintain a gross leverage between 0.8x-1.1x. In other words entries must have between 80% and 110% of their capital invested in US equities. The leverage of an algorithm is checked at the end of each trading day. Entries are allowed to have as little as 70% of their capital invested (0.7x leverage) on up to 2% of trading days in the backtest used to check criteria. In addition, entries are allowed to have as much as 120% of their capital invested (1.2x leverage) on up to 2% of trading days in the same backtest. These buffers are meant to provide leniency in cases where trades are canceled, fill prices drift, or other events that can cause leverage to change unexpectedly.

Low beta-to-SPY: Contest entries must have an absolute beta-to-SPY below 0.3 (low correlation to the market). Beta-to-SPY is measured over a rolling 6-month regression length and is checked at the end of each trading day. The beta at the end of each day must be between -0.3 and 0.3. Contest entries can exceed this limit and have a beta-to-SPY of up to 0.4 on 2% of trading days in the backtest used to check criteria.

Low exposure to Quantopian risk model: Contest entries must be less than 20% exposed to each of the 11 sectors defined in the Quantopian risk model. Contest entries must also be less than 40% exposed to each of the 5 style factors in the risk model. Exposure to risk factors in the Quantopian risk model is measured as the mean net exposure over a 63-trading-day rolling window at the end of each trading day. Contest entries can exceed these limits on up to 2% of trading days 2 from years before the entry was submitted to today. Entries are allow to have each of sector exposure as high as 25% on 2% of trading days. Additionally, each style exposure can go as high as 50% on 2% of trading days.

Positive returns: Contest entries must have positive total returns. The return used for the Positive Returns constraint is defined as the portfolio value at the end of the backtest used to check criteria divided by the starting capital ($10M). As with all the criteria, the positive returns criterion is re-checked after each day that an entry remains active in the contest.

Submission

1. Every trading day, there is a submission deadline at 9:30am ET. Contest entries submitted before the 9:30am deadline will be entered into the Contest, and will be evaluated and scored after the current trading day. Entries submitted after the deadline will still be entered into the Contest, but will not be evaluated and scored until after the next trading day. For example, if an entry is submitted on Wednesday at 9:00am ET, it will be evaluated and scored at the end of the trading day on Wednesday (the result should be published on Thursday morning). If an entry is submitted on Wednesday at 11am ET, it will be evaluated and scored at the end of the trading day on Thursday (the result should be published on Friday morning).

2. To submit an entry to the contest, the Participant must run a full backtest on their algorithm. Upon successful completion of the full backtest, the Participant must click the "Enter Contest" button, found in the development environment of their algorithm. Each night after the Participant submits his/her entry, Quantopian will run a backtest with the Participant's algorithm starting from 2 years before the entry was submitted up to the end of the most recent trading day (the current Contest date). The backtest will simulate deployment of $US 10 million. The backtest performance will be used to verify that the algorithm meets the required Contest criteria (see “Criteria” section above). Each night, the most recent backtest will also be used to score and rank the entry (see “Scoring & Ranking” section below). The top ranked Participants will be displayed on the leaderboard.

3. If the nightly backtest fails to complete for any reason, the entry is disqualified. If this occurs we will attempt to contact the Participant via email. The Participant will also receive a message on the 'Pending/Withdrawn' section of their contest dashboard. The Participant may adjust the code and re-submit.

4. If the nightly backtest fails to meet any of the required Contest criteria, the entry is disqualified. If this occurs, we will attempt to contact the Participant via email. The Participant will also receive a message on the 'Pending/Withdrawn' section of their contest dashboard.

5. Submitted algorithms do not need to be re-submitted on a daily basis. Any submitted algorithm will run in the contest indefinitely, unless disqualified or manually withdrawn.

6. If the contest backtest takes longer than 5 hours to complete, the entry is disqualified.

7. Each Participant may submit up to 5 algorithms to the contest.

8. Odds of winning depend on the total number of eligible entries.

9. To remove an algorithm from the contest, Participants may navigate to the 'Active Entries' section of their contest dashboard and click the withdraw icon next to the entry that they wish to withdraw.

10. Participant's entry must not violate or infringe on any applicable law or regulation or third-party rights.

11. As always on Quantopian, Participant owns his/her algorithm. Participant's intellectual property will remain Participant's secret; we will not look at Participant's code with rare exceptions described in our Terms of Use and Privacy Statement.

Scoring and Ranking

Contest entries that meet all the structural criteria (see “Criteria” section above) are ranked after every trading day based on a scoring function. The score of an entry is based on its out-of-sample returns and trailing volatility. Entries are rewarded a high score for achieving high returns and low volatility.

Each day after an entry has been submitted, the daily return of the entry is divided by the trailing 63-trading-day volatility to compute a volatility-adjusted daily return (VADR). The score of the entry is the sum of its VADRs since the entry was submitted to the Contest.

The scoring function can be written like this:

Contest scoring function

At the end of each day, participants are ranked based on their highest scoring active entry at the end of that day. The minimum score that an entry or participant can have is 0. The top 10 participants will be displayed on the leaderboard every day.

Other Rules

1. Algorithms submitted to the contest must place all of their orders with the order_optimal_portfolio function from the Optimize API. No other ordering functions are permitted in the Contest.

2. Algorithms submitted to the Contest will be run with the default commission model that charges $0.001/share, with no minimum trade cost.

3. Algorithms submitted to the Contest will be run using the default 5 basis point fixed slippage model. The details of the fixed basis points slippage model are provided in our help documentation

4. The Participant's algorithm must not trade in leveraged ETFs, such as the Ultra S&P500 or Ultra Dow30. To avoid trading these assets, define your universe using the QTradableStocksUS, which doesn't contain any ETFs, as your base universe.

5. The Participant's algorithm must not use the fetch_csv() feature. To use a custom data source in your contest algorithm, you must use Self-Serve Data to upload it and use it in your algorithm.

6. Each Participant may have only one Quantopian account. If the Participant submits entries from more than one account, all entries may be disqualified.

7. Collaboration on an algorithm is permitted, but Quantopian will not manage the collaboration or prize division. The contest submission is made by, and is the responsibility of, the registered account holder of the account submitting the algorithm. You must have all necessary rights to submit your algorithm to the contest.

8. Contest scores and rankings will change as we make improvements and changes to our backtester. While we will do our best to minimize impact, you should expect platform adjustments to cause contest leaderboard changes.

Reward

After each trading day, the top 10 ranked participants will receive a cash prize. The prize structure is as follows:

Place Reward
1st Place $50
2nd Place $45
3rd Place $40
4th Place $35
5th Place $30
6th Place $25
7th Place $20
8th Place $15
9th Place $10
10th Place $5

An individual may only win one prize per day. Participants will be ranked by the score of their best actively participating contest algorithm each day. The top algorithm score can come from any of a participant’s (up to) 3 active contest algorithms, regardless of the status of the algorithm the previous day. In the event that multiple participants tie for a rank in the top 10, that prize, as well as the next n prizes will be split evenly among the tied participants, where n is the number of participants that tied for that rank. For example, if 2 people tie for 5th place, the 5th and 6th place prizes will be added together, and then split evenly by the tied participants. In the event that there are fewer than <b>n</b> prizes available , then the remaining prizes will be split evenly among the remaining winners. For example, if 2 people tie for 10th place, they will split the 10th place price evenly. Note that there is no advantage to submitting the same algorithm more than once; Participants are ranked based on their top entry each day.

The overall score of each winner will be public during the prize period. No one, including Quantopian, will see the winners’ algorithms.

Quantopian will email winners on a at the end of each week in order to pay out prizes. Total winnings can be found on the leaderboard under ‘All Time'.

General Conditions

1. Prizes are non-transferable to other Quantopian members or to other accounts.

2. Quantopian reserves the right at its sole discretion to alter, amend, modify, suspend or terminate this Contest, or any aspect of it, including but not limited to changing the prize frequency, prize amount, criteria, scoring rules, or backtesting parameters, at any time and without prior notice. In such event Quantopian will make reasonable efforts to notify all Participants by email.

3. Quantopian will make all reasonable efforts to support the acceptance of entries and the execution of backtests. Entries may not be successfully processed or executed because of errors or failures. Those errors or failures may be caused by Quantopian, the Participant, third parties, or a combination of parties. Quantopian will not be liable or otherwise responsible for any entry that cannot be processed or executed, regardless of the cause of the problem.

4. Quantopian will have complete discretion over interpretation of the Contest Rules, administration of the Contest and selection of the Winners. Decisions of Quantopian as to the administration of the Contest, interpretation of the Contest Rules and the selection of the Winners will be binding and final.

5. Participant agrees and gives his/her express consent for Quantopian to use or publish without additional compensation in any medium (including, without limitation, in print, via television, via the internet, via email and or/other electronic form) and/or share with its agents, business partners and successors during and after the Contest, information for publicity purposes including photographs, videotape or digital recordings that Quantopian takes of Participant, Participant's Quantopian username, public written statements, and algorithm performance for all or part of the Contest, without compensation. Participant hereby waives any rights, claims or interests that Participant may have to control the use of any or all of the publicity material in whatever medium used.

6. All current employees, interns, and contractors of Quantopian; and their immediate family members; and their household members are prohibited from participating in the Contest.

7. This Contest is void where prohibited by law.

8. If any provision(s) of these Contest Rules is held to be invalid or unenforceable, all remaining provisions hereof will remain in full force and effect.

9. Contest Winners are solely responsible for the payment of any and all taxes, including but not limited to federal, state and local taxes that may apply on their prize. Quantopian shall have the right, but not the obligation, to make any deductions and withholdings that Quantopian deems necessary or desirable under applicable federal, and local tax laws, rules, regulations, codes or ordinances.

10. Quantopian is not responsible for the actions of Participants in connection with the Contest, including Participants’ attempts to circumvent the Contest Rules or otherwise interfere with the administration, security, fairness, integrity or proper conduct of the Contest. Persons found tampering with or abusing any aspect of this Contest, or who Quantopian believes to be causing or attempting to cause malfunction, error, disruption or damage will be disqualified. Additionally, any attempt to cheat the Contest, as determined at the sole discretion of Quantopian, may result in immediate disqualification of the Participant, as well as other possible consequences, including temporary or permanent disqualification from the Contest. Quantopian reserves the right, at its sole and absolute discretion, to disqualify any individual who is found to be, or suspected of, acting in violation of these Contest Rules, or to be acting in an un-sportsmanlike, obscene, immoral or disruptive manner, or with the intent to annoy, abuse, threaten or harass any other person.

11. These Contest Rules shall be governed by and subject to the Quantopian Terms of Use including the jurisdictional and dispute processes specified therein.

Binding Agreement

Participant agrees that by participating in the Contest that Participant will be bound by these Contest Rules (which may be amended or varied at any time by Quantopian with or without notice) as well as the terms and conditions that apply to Participant's use of the Quantopian website.

Liability

1. To the maximum extent permitted by law, Participant agrees to release, discharge and hold harmless Quantopian and each of its parents, subsidiaries, affiliates, prize providers/suppliers, agents, representatives, retailers, and advertising and promotion agencies, and each of their respective directors, officers, employees, agents, successors and assigns (collectively, the "Released Parties"), from any and all liability, claims, losses, injuries, demands, damages, actions, and/or causes of actions whether direct or indirect, which may be due to or arise out of or in connection with the participation in the Contest or any portion thereof, or the awarding, acceptance, receipt, use or misuse or possession of the prizes or while preparing for or participating in any Contest-related activity (including, without limitation, liability for any property loss, damage, personal injury or death, violation of rights of publicity or privacy, or claims of defamation or portrayal in a false light; or based on any claim of infringement of intellectual property). Participants agree that the Released Parties shall have no responsibility or liability for discontinued prizes; human error; incorrect or inaccurate transcription of information; any technical malfunctions of the telephone network, computer equipment or systems, software, or Internet service provider utilized by Quantopian; interruption or inability to access the Contest website or any online service via the Internet due to hardware or software compatibility problems; any damage to participant’s (or any third person’s) computer and/or its contents related to or resulting from any part of the Contest; any lost/delayed data transmissions, omissions, interruptions, defects; and/or any other errors or malfunctions, even if caused by the negligence of the Released Parties. Each participant further agrees to indemnify and hold harmless Released Parties from and against any and all liability resulting or arising from the Contest and to release all rights to bring any claim, action or proceeding against Released Parties and hereby acknowledges that Released Parties have neither made nor are in any manner responsible or liable for any warranty, representation or guarantee, express or implied, in fact or in law, relative to a prize, including express warranties provided exclusively by a prize supplier that may be sent along with a prize. The releases hereunder are intended to apply to all claims not known or suspected to exist with the intent of waiving the effect of laws requiring the intent to release future unknown claims.

2. PARTICIPANT AGREES THAT: (1) ANY AND ALL DISPUTES, CLAIMS AND CAUSES OF ACTION ARISING OUT OF OR CONNECTED WITH THE CONTEST, OR ANY PRIZE AWARDED, WILL BE RESOLVED INDIVIDUALLY, WITHOUT RESORT TO ANY FORM OF CLASS ACTION; (2) ANY AND ALL CLAIMS, JUDGMENTS AND AWARDS WILL BE LIMITED TO ACTUAL THIRD-PARTY, OUT-OF-POCKET COSTS INCURRED, (IF ANY), NOT TO EXCEED TWO HUNDRED FIFTY DOLLARS ($250.00), BUT IN NO EVENT WILL ATTORNEYS’ FEES BE AWARDED OR RECOVERABLE; (3) UNDER NO CIRCUMSTANCES WILL ANY PARTICIPANT BE PERMITTED TO OBTAIN ANY AWARD FOR, AND PARTICIPANT HEREBY KNOWINGLY AND EXPRESSLY WAIVES ALL RIGHTS TO SEEK, PUNITIVE, INCIDENTAL, CONSEQUENTIAL OR SPECIAL DAMAGES, LOST PROFITS AND/OR ANY OTHER DAMAGES, OTHER THAN ACTUAL OUT-OF-POCKET EXPENSES NOT TO EXCEED TWO HUNDRED FIFTY DOLLARS ($250.00), AND/OR ANY RIGHTS TO HAVE DAMAGES MULTIPLIED OR OTHERWISE INCREASED; AND (4) PARTICIPANT’S REMEDIES ARE LIMITED TO A CLAIM FOR MONEY DAMAGES (IF ANY) AND PARTICIPANT IRREVOCABLY WAIVES ANY RIGHT TO SEEK INJUNCTIVE OR EQUITABLE RELIEF. SOME JURISDICTIONS DO NOT ALLOW THE LIMITATIONS OR EXCLUSION OF LIABILITY FOR INCIDENTAL OR CONSEQUENTIAL DAMAGES, SO THE ABOVE MAY NOT APPLY TO THE PARTICIPANT.

Last revised: 15 February 2018