Today we added a new tutorial: Writing a Contest Algorithm. This tutorial is designed to help you write an algorithm for the upcoming new contest. The new contest will require participating algorithms to satisfy a number of criteria. The tutorial is divided into lessons which cover each of the contest criteria, providing tools, tips, and examples to help you write an algorithm for the contest.
Many of the criteria can be met in a fairly straightforward manner by supplying constraints to order_optimal_portfolio. These are covered in the tutorial lessons. Others, like beta-to-SPY or exposure to short term reversal (from the Quantopian risk model) can be a little more tricky, and frequently need to be considered much earlier on in your workflow when you are researching and designing your alpha factor(s). We are currently working on adding more content to help you meet these criteria. In the meantime, you can try providing constraints to
order_optimal_portfolio as demonstrated in lessons 8 & 9. This doesn’t work well for all algorithms, but it might help in some cases. When we publish more content on these subjects, we will add them to the tutorial.
We expect the new contest to open up for submission in early February. At that time, we will make an announcement with the official versions of the new rules and the new prize structure. We recommend that you start working on an algorithm for the new contest today so that you have something ready to submit in a few weeks!
As always, we’re looking for feedback on the tutorial. As much as possible, we ask that you keep questions about the rules in the new contest rules thread, and try to keep the focus of this thread on the tutorial.