Notebook

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Boston VS Chicago Algorithmic Trading Competition¶

Agenda¶

  1. Schedule
  2. Submission Guidelines
  3. Judging Criteria
  4. Prizes
  5. Before You Get Started

Schedule¶

  • 11AM – 12PM: Introduction to Quantopian, dataset showcases, and explanation of competition rules
  • 12:00PM – 12:30PM: Lunch
  • 12:30PM – 3:30PM: Hackathon Afternoon Session. Competitors will be free to ask Quantopian panelists questions
  • 3:45PM: Final announcement of 4:30PM deadline
  • 4:00PM – 4:30PM: Submission deadline, wrap up

Additionally, we reserve the right to disqualify any entry at our sole discretion. For instance, if we believe that an entry is made in bad faith with the intent to "game" the contest, or if we conclude that the algorithm is not following the rules presented in our contest rules and judging criteria.

Rules & Submission Guidelines¶

Participants can submit an algorithm of their choosing by the end of the day at 4:30 PM ET. It must be an algorithm that trades futures.

  1. Your algorithm MUST be trading FUTURES
  2. Contestants will be required to run a full backtest from January 1, 2011 up till April 26, 2017. Grab your backtest id, it will be something like www.quantopian.com/algorithms/id/backtest_id
  3. Use the submission template found in this notebook to create your backtest tearsheet
  4. Download this notebook as an html file (by clicking Notebook at the top right -> Download as)
  5. Please send your name, occupation, a short description of your strategy, and the HTML download of this notebook to HACKATHON@quantopian.com
  6. If you are a team, please only send one submission. Include the name and emails of each of your team members.

Any backtest not trading futures will be disqualified.¶

Judging Criteria¶

Each algorithm will receive a score based on two risk metrics. These scoring rules are simplified for the sake of the competition, but for those interested in the allocation process, there will be a larger set of criteria coming soon:

- Sharpe: Higher sharpe the better
- Drawdown: Lower drawdown the better

Prizes will be announced the day of.

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Before You Get Started:¶

This tutorial is highly recommended before starting with futures. As a bonus, you'll be able to take away a TEMPLATE ALGORITHM to use for today's competition:

If you have any feedback on the tutorial (literally anything), someone from the product team will be listening (futures@quantopian.com), please include in your email that you were at the Hackathon:

Other Helpful Links:¶

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Pyfolio¶

Please take your final backtest_id, plug into this tearsheet.

In [2]:
get_backtest('backtest_id_here').create_returns_tear_sheet()
In [ ]: