Quantiacs Futures Contest – Terms and Conditions
A. NO PURCHASE OR PAYMENT OF ANY KIND IS NECESSARY TO ENTER OR WIN THIS CONTEST OF SKILL.
B. BY ENTERING THIS CONTEST, EACH ENTRANT CERTIFIES THAT HE/SHE MEETS ALL ELIGIBILITY REQUIREMENTS AND AGREES TO ACCEPT AND BE BOUND BY ALL OF THESE TERMS AND CONDITIONS (the “Official Rules”).
This Quantiacs Futures Contest (the “Contest”), is sponsored by Quantnet, LLC (the “Sponsor”), a Delaware limited liability company located at 445 Cambridge Avenue, Suite B, Palo Alto, California 94306. The Contest is governed by the laws of the state of California.
Participation in this Contest is open only to natural persons who meet all of the following conditions (“Participants”): (i) they are residents of the United States of America at the time of entry in the Contest; (ii) they are eighteen (18) years of age or older at the time of entry in the Contest; (iii) they are students or faculty of a college or university domiciled in the United States of America (a “U.S. University”); (iv) they hold an active email address from a U.S. University (e.g. firstname.lastname@example.org) at the time of entry in the Contest; (v) they agree to the terms and conditions of the Sponsor’s User Agreement available at www.Quantiacs.com. The Sponsor reserves the right to extend the range of Participants during the course of the Contest if less than one hundred (100) Participants have entered the Contest by November 30, 2014 as described below. The Sponsor reserves the right, in its sole discretion, to extend the range of Participants to otherwise qualified persons without an active email address from a U.S. University upon request.
3. Contest Summary:
Participants are invited to submit algorithmic Trading Systems (as further defined below) over the Sponsor’s website at www.Quantiacs.com. Using the performance criteria set forth herein, these Trading Systems will be evaluated using historical and live trade data from January 1, 2001 through November 30, 2014 (the “Evaluation Period”) as may be modified as provided herein. Each of the first one hundred (100) Participants submitting a unique Trading System with a Sharpe Ratio of 1.00 or higher during the Entry Period (defined below) will receive a participation award of One Hundred U.S. Dollars ($100.00). The three Participants submitting Trading Systems that achieve the three highest Scores (as defined below) will be awarded allocations to their strategies (a “Grand Prize”), as set forth below.
4. Entry Period:
Entries will be accepted from 12:00:01 a.m. on September 18, 2014 until midnight on November 30, 2014 (the “Entry Period”) provided, however, that if less than one hundred (100) Participants have entered Trading Systems in the Contest by November 30, 2014, then the Entry Period and the Evaluation Period will each be extended until midnight on December 31, 2014. If as of December 31, 2014, less than one hundred (100) Participants have submitted entries, then the Sponsor may, in its sole discretion, cancel the Contest, in which event no awards or prizes will be granted or distributed in connection with the Contest.
5. How to Enter:
To enter, Participants must upload a Trading System (as defined below) during the Entry Period to www.Quantiacs.com by following the instructions posted there. Participants must include with their submission the following information: his/her name; residential mailing address; U.S. University email address; and phone number. A Participant may submit up to ten (10) Trading Systems per day during the Entry Period; provided however that each Participant’s single qualifying entry will be the Trading System that produces the highest Score as of the last day of the Live Period as defined below by these Official Rules. No single Participant may receive more than one participation award and one of the three Grand Prizes defined herein.
6. Live Contest Period:
The Contest starts on December 1, 2014 at 12:00.01 a.m. and ends on January 31, 2015 at Midnight (the “Live Contest Period”). During the Live Contest Period, no changes may be made to Trading Systems entered in the Contest. All participating Trading Systems will be updated daily during the Live Contest Period, as new market data arrives. The results will be published on www.Quantiacs.com. If the Entry Period is extended to December 31, 2014 as provided herein, then the Live Contest Period will start on January 1, 2014 at 12:00.01 a.m. and end on February 28, 2015 at midnight.
7. Trading System Technical Requirements and Trading Rules:
Participating algorithmic trading systems (“Trading Systems”) must be developed in accordance with and meet the following requirements:
a. Trading Systems must be developed solely with the market data that is provided by the Sponsor. The market data consists of end of day data of a selection of futures contracts. The composition of the portfolio may change during the contest if additional market data is provided by the Sponsor. It is within each Participant’s discretion to select his or her portfolio from the available futures market data provided by the Sponsor.
b. Only the function inputs date, open, high, low, close, volume, open interest, exposure, equity and settings from the Evaluation Period may be used to compute the output of a Trading System prior to the Live Contest Period. The reference market data provider is expected to be Quandl.com. If the Sponsor determines, in its sole discretion, that market data from Quandl is erroneous or otherwise unsatisfactory, then Bloomberg market data will be substituted for the Quandl data.
c. The code of a Trading System must be compatible to Matlab® 2014a and be compatible with the Sponsor’s evaluation routines. A sample evaluation routine is provided in Sponsor’s development toolbox on www.Quantiacs.com. The evaluation routine on the servers may differ from the sample evaluation. The following Matlab®-Toolboxes (R2014a) are supported: Statistics, Optimization, Signal Processing, Neural Network, Global Optimization, Financial, Econometrics and Curve Fitting.
d. At their own risk Participants may also choose to use the beta version of the Sponsor’s Python toolbox as an alternative to Matlab. The Sponsor reserves the right to disqualify entries written in Python if the evaluation is erroneous as determined by the Sponsor in its sole discretion.
e. The evaluation routine simulates the interaction with a broker and computes the portfolio equity curve. The Sponsor reserves the right to correct bugs in the evaluation routine during the course of the Contest. In such a scenario, all Participants will be notified about the correction, Trading Systems will be computed again and the corrected portfolio equity curves will be displayed at www.Quantiacs.com.
f. A Trading System only qualifies for a Grand Prize if it would have produced the same returns, Sharpe Ratio and Score were it traded live during the Live Contest Period with an arbitrary broker account. In other words, simulated performance, Sharpe Ratio and Score cannot result from exploitation of a bug in the back-testing Toolbox or a loophole in the Official Rules.
g. Each Trading System must use the same rules for the entire Evaluation Period and may not vary in relation to changes in timescale for arbitrary periods of years (e.g. “don’t trade in 2008” is an invalid rule).
h. Each Trading System must use quantitative rules only, and generate the same result if run twice on the same portfolio.
i. It is possible to trade long and short.
j. The margin requirement is always 100%. If there is not sufficient capital to cover all current open positions, then the Trading System’s assets will decrease proportionally across all holdings until the margin requirements are met.
k. A transaction fee of 5% * HIGH-LOW is deducted for every change in position size. This simulates the impact of slippage and commissions.
l. Each Trading System must have a runtime of less than three minutes on the Sponsor’s servers.
m. If a Trading System causes a runtime error, all positions will be closed. It will be called again with the next available set of market data, and so forth. As soon as the Trading System resumes functioning, positions will be built up accordingly.
n. The use of the following Matlab items and their Python equivalents are prohibited
ii. Java commands or object creation
iii. eval, feval, inline, and function handles
iv. Shell escapes such as !, dos, unix, and system
v. Handle Graphics commands
vi. ActiveX commands
vii. File I/O commands
viii. Debugging commands
ix. Printing commands
x. Simulink commands
xi. Benchmark commands such as tic, toc, flops, clock, and pause
xii. error, clear, and persistent functions
o. Entries compromising contest machinery are prohibited and will result in disqualification.
8. Evaluation and Scoring:
p. Manipulating the Score, runtime, or error conditions is prohibited and will result in disqualification.
At the end of the Evaluation Term, the final “Score” of all participating Trading Systems will be computed as follows:
a. The first one hundred (100) Participants who submit a “unique“ Trading System during the Entry Period with a Sharpe Ratio of 1.00 or higher during the Evaluation Period shall receive a fixed participation award of One Hundred U.S. Dollars ($100.00). The uniqueness of a Trading System is determined by the linear correlation of the returns of a submission to the returns of all previously submitted entries. An entry shall be deemed unique if the maximum of the linear correlations to all previously submitted entries is less than 0.85. It is within the Sponsor’s sole discretion to (i) grant entries a participatioin award regardless of whether they violate the correlation criterion, and/or (ii) disqualify entries that have the same or a similar source code or use the same or similar methods as a previously submitted entry, regardless of whether they violate the correlation criterion.
b. Each Participant’s single qualifying entry for the Grand Prize shall be the Trading System that produces the single highest Score for the Evaluation Period regardless of the number of Trading System the Participant has submitted. The three Participants having the three highest overall Scores at the end of the Live Contest Period will be awarded an allocation to their strategy, as set forth below, commencing no later than within thirty (30) days of the conclusion of the Live Contest Period. The winners shall receive performance fees of ten percent (10%) of Net New Profits based on the performance of their Trading Systems as set forth in the Sponsor’s User Agreement. The allocations shall continue for a minimum of one (1) year provided that the Trading System’s Score does not drop below its Score as of the conclusion of the Live Contest Period. If the live Sharpe Ratio of a Trading System (i.e. the Sharpe Ratio of all trading days subsequent to the commencement of the Live Contest Period) drops below the Score of the Trading System as of the conclusion of the Live Contest Period, then the Sponsor, in its sole discretion, may reduce or eliminate the allocation to a winning Trading System. The amounts allocated to the winning Trading Systems are:
Highest Score: $1,000,000
Second highest Score: $500,000
Third highest Score: $250,000
c. The awards will be made to the winning Participants within thirty (30) days of the termination of the Contest. No payment or purchase is necessary to win.
a. All times used in these Official Rules are Pacific Standard Time.
b. The Sponsor reserves the right, in its sole discretion, to exclude, bar or otherwise penalize any Participant if such Participant’s Contest entry contains malicious or harmful code or if such Participant otherwise poses any threat of damage to the Sponsor or the integrity of this Contest.
c. By submitting a Trading System to the Sponsor, each Participant grants to the Sponsor the License to use the Trading System as set forth in the Sponsor’s User Agreement.
d. The Sponsor reserves the right, in its sole discretion, to modify the Official Rules if necessary to preserve the integrity of the Contest.
e. The Sponsor reserves the right to disqualify and prohibit from participating any person who the Sponsor determines in its sole discretion is or is attempting to (i) tamper with Sponsor’s website; (ii) undermine the legitimate operation of the Contest by cheating, deception or other unfair tactic; and/or (iii) otherwise violate these Official Rules or Sponsor’s User Agreement.
f. All taxes, fees and surcharges on awards and prizes are the sole responsibility of the winner. In the event that a winner is ineligible or refuses an award or prize, the award or prize will be forfeited and Sponsor, in its sole discretion, may choose whether to grant the award or prize to another Participant.