Notebook

QuantCon Singapore 2017 Hackathon

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
  • 3:30 - 4:00PM: Last wrap-up
  • 4:00PM: End of on-site hackathon, midnight submission deadline

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 midnight. It must be an algorithm that trades US Equities only.

  1. Your algorithm MUST be trading Equities
  2. Contestants will be required to run a full backtest from January 1, 2011 up till September 28th, 2017 (if you are using data that isn't available in this time period, please run a backtest over the time that is available).
  3. After running your backtest, click "Analyze Backtest" which will open up a notebook with your tearsheets.
  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 US Equities 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 please see quantopian.com/allocations for a better idea of what we look for in the allocation process.

- Sharpe: Higher sharpe the better
- Drawdown: Lower drawdown the better
- Position concentration capped at 10%
- Sector exposure capped at 5%

Prizes will be announced the day of.

Before You Get Started:

Given that we've run our fair share of these, we recommend this workflow for you today:

  1. Start with this tutorial if you're new to Pipeline: https://www.quantopian.com/tutorials/pipeline
  2. Focus your time on developing alpha factors, a short guide here: https://www.quantopian.com/lectures/factor-analysis
  3. Use this template algorithm for your alpha factors: https://www.quantopian.com/lectures/example-long-short-equity-algorithm
  4. Create great algo and submit

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

Other Helpful Links: