Today, you can enter the new Quantopian Contest. The new competition will award daily cash prizes to the top quantitative trading algorithms written on Quantopian. Contest entries will first be scored on Friday, February 16th, with prizes being awarded the next morning.
The new contest moves at a very fast pace. Instead of waiting months to see your performance, the new contest is going to give results - and 10 prizes - every day.
In the new contest, many more community members are going to get paid. The old contest had only 31 different winners over three years. We're expecting to eclipse that number in just the first week of the daily contest.
How Does It Work?
The contest is designed to evaluate cross-sectional, long-short equity strategies. As such, contest algorithms are required to have certain structural properties that are aligned with our allocation process. The following criteria must be met by all contest algorithms:
- Positive returns.
- Leverage between 0.8x-1.1x.
- Low position concentration.
- Low beta-to-SPY.
- Mean daily turnover between 5%-65%.
- Low net dollar exposure (holds equally weighted long and short books).
- Trades stocks in the QTradableStocksUS.
- Low exposure to sector risk.
- Low exposure to style risk.
- Place orders with Optimize API.
The official rules have all the details.
Contest algorithms that meet all the criteria are ranked after every trading day based on a score. The score of an algorithm is based on its out-of-sample returns and volatility. Algorithms are rewarded a high score for achieving high returns and low volatility. The exact scoring function can be found here.
The score of an algorithm is strictly cumulative over its first 63 trading days (~3 months), starting from when it was submitted. Each day after it has been submitted, the daily return of the algorithm is divided by the trailing 63-trading-day volatility to compute a volatility adjusted daily return (VADR). The score of the algorithm over the first 63 trading days, is the sum of the algorithm’s VADRs since submission. After an algorithm has been running in the contest for more than 63 trading days, its score each day will be the sum of its most recent 63 VADRs.
The Quantopian Contest is a continuously running competition. Entries to the contest can be submitted at any time from the IDE or the new contest dashboard (more on this below). When an algorithm is submitted to the contest, Quantopian runs a backtest on the algorithm over the last two years with $10M starting capital, and default slippage and commissions. This backtest is used to verify that the required criteria have been met. If all criteria are satisfied, the entry will receive a score after the next trading day. After each subsequent trading day, a new backtest is run starting from 2 years before the submission date, through the most recent trading day (the backtest grows in length by one day each night). The criteria are re-checked on the new backtest each night.
Entries that meet all of the criteria are considered ‘active’ entries. Participants are allowed to have a total of up to 3 active and/or pending entries (submission that haven’t yet been evaluated). All active entries are scored after each trading day using the out-of-sample returns in their nightly backtest.
Each day, contest participants assume the score of their active entry with the highest current score. Participants are then ranked by their score. This means that all contest participants receive a single rank, even if they have multiple active entries. Every day, the top 10 participants are awarded a cash prize and displayed on the leaderboard. Here are the daily prizes:
Dashing New Look
Along with the new contest, we’ve added a new contest dashboard. The dashboard allows you to track the status and score of your own contest entries. The dashboard is also where you can find the leaderboard for past days of the contest, cash out your winnings, and more.
Get It While It's Hot
The new scoring function is designed to reward algorithms that perform well consistently over a long period of time. Entries that make it to the top of the leaderboard will likely stay on the leaderboard for a while since they can accumulate score over a ~3 month window. However, at the start of the new contest, the leaderboard will be empty, and everyone will be starting with a score of 0, so the leaderboard will have more turnover. Be sure to test your algorithm to see that it meets the criteria, and then submit it by Feb. 16 @ 9:30am ET so that you start accumulating score on the first day!
To learn more about writing an algorithm that meets the contest criteria, check out the Contest Tutorial. The tutorial provides more detail on each of the contest criteria and offers tips and references to help you write or tweak an algorithm that is eligible for the contest.
For more details on the contest rules, read the official rules here.
We will be running a webinar on Monday, February 5th to go over the new contest including a walkthrough of the new dashboard, the contest tutorial, and the rules.
The Quantopian Closed
The Quantopian Open is no longer accepting new submissions. Contests 33-38 will run to completion under the rules with which they began, including the old prize structure. They will run in parallel to the daily contest until their respective end dates. The limit of 3 entries in the daily contest and 3 entries in the old Quantopian Open are unrelated. If you had 3 entries in the Quantopian Open, you can submit 3 more to the daily contest.