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We are now accepting submissions for the Quantopian Open
Dan Dunn
edited Jan 16, 2015

The Quantopian Open, our paper trading competition, is now accepting submissions! If you win, your algorithm will manage $100,000 of our money and you keep 100% of the profits from your algorithm.

Submit your algorithm directly from the IDE by pressing the "Enter Contest" button.

Pressing this button will (1) run a two-year backtest in the background and (2) start paper trading the algorithm using live data. Your algorithm will be judged on a combination of the backtest and live trading results.

Submit your algorithm before 9:30AM EST on February 2, 2015 to be considered. The first winner will be selected on February 28th!

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

11 responses
Pierre Warnier
Jan 16, 2015

Hi Dan,

it would be very helpful to see the value of the different criteria you use in computing the Q ratio in the backtest interface. It would save us a lot of time I think.
This would also be helpful for the Manager program. What do you think ?

Does the Open have the same drawdown restrictions as the Manager program?

Alisa Deychman
Jan 16, 2015

Hi Pierre,

Algorithms will be scored on the criteria listed in the judging section of the Quantopian Open. The score is calculated from a combination of backtest and paper trading results.

We also shared the outline for algorithm selection and manager compensation for the hedge fund, the thread is here.

The Quantopian Open is a gateway for other algorithms to get considered for the Managers Program. To provide an avenue for people who don't have access to capital. We want to give everyone a chance - you're only limited by your ideas! Algos for the fund will be chosen from strategies trading with real money, which will include the winner of the Quantopian Open.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Florent
Jan 23, 2015

Hi Alisa, Dan,

  • Could you please give more detail on what is a "gamed" algorythm ?

  • It is said that criteria will be calculated for both backtest and live trading but another rule says that leverage shall not exced three in backtest or paper trading. Could you clarify when the algo will be in paper trading and when it will works in live trading ?

  • If the algo is going to work in paper trading then in live trading, will the algo be stopped (i.e. to enter 'live' mode) ?

  • how fast the algo will collect historical data in paper trading and in live trading and is it a disadvantage of having 200-days SMA in the order decision ?

We will calculate an overall rank by averaging your rank in each
criteria. This will be done separately for both your backtest and live
trading performance. Your overall contest score will be a combination
of the two, with greater weight given to the live trading score as
time goes on.

[...]

Your algorithm must keep its leverage under three. If your leverage
exceeds three, in backtest or paper trading, your entry will be
disqualified.

[...]

The winning algorithm will be started with $100,000 of Quantopian's
money.

Thank's.

https://www.quantopian.com/open

Laur Läänemets
Mar 5, 2015

Hey,

What exactly is the formula used to calculate the score for the competition?

Thanks!

LL

Alisa Deychman
Mar 5, 2015

Laur, the score is an equal weight of 6 criteria. The score is computed on both the backtest and live trading session. The longer your algorithm is live trading, the more weight is put on the that track record. You can see more in our judging section and contest FAQ.

Market Tech
Mar 5, 2015

@Laur L., there is no way for you to replicate the score used in the competition. They are based rank and would change when the number of algorithms change. The %'s are of course individual metrics and you can get some if them out of the Full Backtest measurements.

Laur Läänemets
Mar 5, 2015

Hey! Cheers for that. I just wanted to use that as a fitness function when training my AI, but I have already figured out an approximation.

Thanks
LL

Simon Thornington
Mar 6, 2015

Haha excellent!

Florent
Mar 6, 2015

Why Quantopian do not answer the question I ask, neither say a word ? this is not polite.

Jessica Stauth
Mar 6, 2015

Hi Florent, sorry that we missed your questions. I've tried to answer them below - please let us know if any remain unclear:

Could you please give more detail on what is a "gamed" algorythm ?

  • For the purposes of the Open contest we would consider any algorithm that triggers different logic in backtest versus in paper trading to be an attempt to "game" our selection criteria. We are scoring contest algorithms based on a combined score that looks at returns derived both from backtest and from live data - this relies on the assumption that the algorithm's logic is consistent and deterministic.

It is said that criteria will be calculated for both backtest and live trading but another rule says that leverage shall not exceed three in backtest or paper trading. Could you clarify when the algo will be in paper trading and when it will works in live trading ?

  • Apologies if there is somewhere in the docs where we were sloppy with the terminology. Internally we sometimes use "paper" and "live" interchangeably when we should actually say "live paper trading" versus "live real money trading" to distinguish between algorithms running in simulation vs. doing real trading. For the contest there is just "backtest" data and then "live paper trading" data. Once an algorithm wins the contest (like Grant's algo won for January) then we will deploy it against a funded real money account with $100,000 in initial capital. Regardless of those distinctions, we are applying the 3x leverage limit in all cases in the same manner. Under our current rules, if we detect greater than 3x leverage is used in backtest, or during the paper trading portion of the contest we will disqualify your algorithm. If your algorithm wins and is trading real $, we will stop the algorithm if it crosses above 3x leverage.

If the algo is going to work in paper trading then in live trading, will the algo be stopped (i.e. to enter 'live' mode) ?

  • Once an algorithm wins, we take care of deploying the algorithm against our funded trading account. I don't believe the author needs to take any action, but I'll double check that and update this if necessary. In terms of paying out returns on the funded account that track record starts only when the algo is deployed against the funded account, not from the start of the paper trading competition.

how fast the algo will collect historical data in paper trading and in live trading and is it a disadvantage of having 200-days SMA in the order decision ?

  • If you want use a trailing window of data (like for a 200 day SMA) then you'll want to use the history() function to grab that data and have it available from day 1 and not need any time to collect data.
Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Grant Kiehne
Mar 6, 2015

My winning algo went straight from live paper trading to live real money trading (queued up this past weekend), with everything taken care of by Quantopian. There was no opportunity to modify it (although I did mention a potential risk associated with the de-listing of securities, which will be addressed if it occurs). I have a standard Quantopian dashboard (same as for live paper trading), but there is no way to stop the algo. I do not have access to the IB side of the account. Overall, a smooth transition, with good support from Quantopian via e-mail. --Grant

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.