Warren, I think you're asking the wrong question. I'd suggest that a better question is, "How can I improve this algo such that I can get an allocation from Quantopian?" Here's why: If you win the contest, you get $5000. If you get an allocation, and your algorithm continues to perform well, you can earn much, much more (see below).
The contest is a way for us at Quantopian to signal to the community what we're looking for in an algorithm. If you're trying to "game" the contest, you're taking yourself out of the running for an allocation. We are looking for algorithms that are beta- and dollar-neutral. If your strategy is explicitly trying to be long, it can't get an allocation.
Also, the contest was created before we were making allocations. In 2015, all we could offer was $5000. It's 2017, and now the payouts can be much larger. How much larger? I'm going to update an answer I gave in the past:
An author's royalty payments essentially depend on three factors: 1) the size of their allocation 2) the performance of their algorithm and 3) the fraction of the net profit that the author receives. Our allocations in April maxed out at $3 million. Our goal is to significantly increase the size of the allocations that we make in 2017. Our goal is to make allocations as large as $50 million by the end of the year.
I'll give you a completely hypothetical, back-of-the-envelope example answer. Please understand that this is for illustration purposes only and the actual details of any future allocation will vary. The details of the calculation of net profit and the payment schedule, which are included in our author licensing agreement, are not covered in this simple example.
- allocation: $50 million trading allocation on January 1 (that's gross market value, which includes leverage)
- algorithm net profit: $1.5 million as of December 31 (reflects a 3% annual return)
- author's share of net profit: 10%
- author's annualized royalty income: $150,000
With that kind of potential, I'd suggest that you refocus your efforts. If you're gaming the contest, you're playing the wrong game.
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