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: ----------------------------------------- Useful links: Blueshift: https://blueshift.quantinsti.com/ Alpaca Markets: https://alpaca.markets/ QuantInsti: https://www.quantinsti.com/ ----------------------------------------- Like and Follow us on: Facebook: https://www.facebook.com/quantinsti/ Twitter: https://twitter.com/QuantInsti LinkedIn: https://www.linkedin.com/school/1229089/admin/ Instagram: https://www.instagram.com/quantinstian/ -----------------------------------------

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Algo Trading Challenge 2020
Intro and Rules
“Successful investing is anticipating the anticipations
of others.”
John Maynard Keynes (Economist)

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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

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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

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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

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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.

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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. 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)