A new contest is started at the beginning of each month. Contest entries are paper traded for 6 months. At the end of the 6 months, the winner is announced.
While the Quantopian Open is limited to one winner per month, our allocations are not. We want dozens of algorithms, and anyone meeting the low beta and consistent-returns filters is well-positioned for those rewards.
It is a rolling competition. All entries are automatically entered in every subsequent contest, unless withdrawn.
If you win, the overall performance of your algorithm during the prize period will be public - other people will want to see how you are doing!
Your algorithm's performance must have low correlation to the general market's performance. This correlation is calculated as the beta-to-SPY, and it must be between 0.3 and -0.3. The algorithms that meet this requirement are placed at the top of the leaderboard and are marked with a badge.
Your algorithm must be hedged. It should hold both long and short positions simultaneously, or be entirely in cash. Hedged strategies reduce their market risk and correlation risk to individual positions. These algorithms are placed at the top of the leaderboard and are marked with a badge.
Your algorithm must have positive returns. It must make trades in both paper trading and backtesting. Algorithms meeting this criterion also are placed at the top of the leaderboard and are marked with a badge.
To generate your algorithm's score, its live trading performance is ranked against all of the other entries on the 7 criteria listed below. The ranks are averaged and scored on a scale of 0 to 100. Your score is quite volatile in the days immediately after you make your entry, and your score smooths out as your entry runs for a longer time period.
The best way to evaluate your algorithm is to use our backtest analysis tool to generate a 'tearsheet.' The tearsheet is chock-full of staticstics and comparisons to help you evaluate your algorithm's performance. It's the same tool that we use at Quantopian to evaluate algorithms for allocation.
These criteria were picked to encourage algorithm creation that matches our allocation interests.
Your algorithm must keep its leverage under three. If your leverage exceeds three, in backtest or paper trading, your entry will be disqualified. You can track your leverage using context.account.leverage.
Your algorithm must use the default slippage and commission models.
Your algorithm can't use fetcher.
Your algorithm can't trade leveraged ETFs or ETNs.
If your algorithm crashes, your entry will be disqualified.
Each person is limited to three entries. If you want to enter a fourth time, you will need to stop one of your existing entries to make room.
There is no fee for entry. You can read the full set of contest rules here.