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Algo Trading Challenge 2020

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Alpaca Markets and QuantInsti bring you the Algo Trading Challenge 2020. In this competition, you will try to come up with a winning systematic trading strategy for US stocks markets and carry out paper trading using Alpaca on Blueshift.

For complete details visit:
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Useful links:
Blueshift: https://blueshift.quantinsti.com/
Alpaca Markets: https://alpaca.markets/
QuantInsti: https://www.quantinsti.com/
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Algo Trading Challenge 2020

  1. 1. www.quantinsti.com CONFIDENTIAL. NOT TO BE SHARED OUTSIDE WITHOUT WRITTEN CONSENT. Algo Trading Challenge 2020 Intro and Rules “Successful investing is anticipating the anticipations of others.” John Maynard Keynes (Economist)
  2. 2. www.quantinsti.com CONFIDENTIAL. NOT TO BE SHARED OUTSIDE WITHOUT WRITTEN CONSENT. What is Blueshift Heading Font: Calibri (Headings) Size: 36 Color: White Systematic Trading Strategies – For Everyone! IP protection Financial datasets On the cloud Back-testing Strategy research Learning and community Live trading
  3. 3. www.quantinsti.com CONFIDENTIAL. NOT TO BE SHARED OUTSIDE WITHOUT WRITTEN CONSENT. Timelines 15th March onwards: Get familiar with the platform, build + test your strategy(s) 23rd March till 26th March: Submission of strategy 27th March: All strategy executions terminate 28th March: Announcement of ATC finalists 29th March: Strategy presentation and conclusion Earliest you can start building: NOW Earliest you can submit: After midnight 23rd March Latest you can submit: Till midnight 26th March
  4. 4. www.quantinsti.com CONFIDENTIAL. NOT TO BE SHARED OUTSIDE WITHOUT WRITTEN CONSENT. Rules #1: You can submit a strategy earliest 23rd after midnight #2: You can replace the strategy as many times as you want between 23rd and 26th #3: Only the final strategy (the running or the last run on 27th ) will be considered #4. All must be run with Alpaca paper trading broker to be considered #5: All strategies must have initial capital set to $10,000 #6: All strategies must be run with the default set of risk control parameters
  5. 5. www.quantinsti.com CONFIDENTIAL. NOT TO BE SHARED OUTSIDE WITHOUT WRITTEN CONSENT. Evaluation Criteria #1: Based on net account value (after 27th market close), top N strategies will be picked (N will be decided later) #2: For these top strategies, merit list will be decided based on following formula 10000 × 𝐴𝑐𝑐𝑜𝑢𝑛𝑡𝑓𝑖𝑛𝑎𝑙 𝐴𝑐𝑐𝑜𝑢𝑛𝑡𝑖𝑛𝑖𝑡𝑖𝑎𝑙 − 1 × 𝑀𝑎𝑥(0.2, 𝑆𝑡𝑎𝑏𝑖𝑙𝑖𝑡𝑦) Stability is the regression R-squared of historical account values vs. time.
  6. 6. www.quantinsti.com CONFIDENTIAL. NOT TO BE SHARED OUTSIDE WITHOUT WRITTEN CONSENT. What you will need #1: Python programming knowledge – including Pandas and Numpy #2: Knowledge of Blueshift API functions – go through the help and tutorials #3: Familiarity with quant development – ability state a trading hypothesis, generate signals to test it, and optimize it based on research #4. All whitelisted Python packages you can use are in the help sections #5: A number of demo strategies are in our repo
  7. 7. www.quantinsti.com CONFIDENTIAL. NOT TO BE SHARED OUTSIDE WITHOUT WRITTEN CONSENT. Algo Trading Challenge 2020 Intro and Rules “Successful investing is anticipating the anticipations of others.” John Maynard Keynes (Economist)

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