More color on contest rules
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@magenta-grimer As the rule say, Quantiacs, in its discretion, can reduce or eliminate the allocation to a winning Trading System. We cannot trade a system which had for example a Sharpe ratio of 1 in the live phase but in reality it becomes a losing system for example after some trading months.
If a strategy has a live Sharpe ratio of 1.6 but a Sharpe of 1 after some time, probably we would still trade it at full capacity and the winner would e eligible of prizes.
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@magenta-grimer The limit is 90%. If correlation is too high, you will get a warning at submission time. A correlation larger than 90% in our experience means that strategies are basically the same.
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@support ok, thanks.
And a bit more color on how long you will keep running the algo and award prizes to the author, in the case, obviously, that it keeps generating positive returns.
For instance now I've a strategy on futures that could receive a 250k allocation.
Let's suppose I actually win that allocation.
Let's suppose the strategy actually generates returns when live traded.Will you keep awarding me the 10% of the returns even in 2027?
Who can assure me that, if you say me you are no longer running it and so not paying "royalties" to me anymore, you are actually doing so? -
@magenta-grimer Hello, in case your algorithm is eligible for guaranteed allocations, it will receive allocations for 1 year and you will receive 10% of Net New Profits, calculated at the conclusion of each calendar's month and paid quarterly. All the rules can be found at:
https://quantiacs.com/contest/15
General rules however apply to any system which is traded, as written in the Terms of Use at:
https://quantiacs.com/termsofuse
At point 3), Remuneration:
- Remuneration. Unless otherwise agreed in writing, a User who submits a System to trade over Quantiacs’ platform that receives investment capital or is included in an investible product shall be compensated in one of the following two ways at the discretion of Quantiacs.
Net New Profits. The user is entitled to receive an incentive fee of ten percent (10%) of Net New Profits the System earns for an investor, calculated at the conclusion of a calendar month and paid quarterly. “Net New Profits” is defined to mean: (i) the net realized trading profits and losses, including interest income earned or credited to the investor’s account, plus (ii) the unrealized trading profits and losses in the investor’s account, less (iii) any Carry Forward Losses (as defined below) from previous months that have not been recouped, less (iv) brokerage, exchange and other fees charged or accrued to the investor’s account, if applicable. Net New Profits shall not be reduced by extraordinary expenses, if any, or by the incentive fee itself, and the System shall not be required to earn back any incentive fees previously paid in order to generate Net New Profits for the investor’s account. However, if Net New Profits for any period are negative, then the negative balance shall constitute a "Carry Forward Loss" for the beginning of the next period. No incentive fees shall be payable until future Net New Profits exceed Carry Forward Losses. In this manner, any trading losses in the investor’s account from prior periods must be recouped and an all-time new high profit level must be achieved before further incentive fees will be payable.
Monthly Management Fee. A monthly fee will be paid to the user for each of their strategies that is included in one or more of Quantiacs investible products. The monthly fee will vary from product to product and will be paid quarterly. A single strategy that is included in more than one of Quantiacs product will receive monthly payments from each of the products. If a strategy is included in a product, but for a fraction of a month, the user will receive a pro-rated share of the monthly management fee.
We do not trade systems without remunerating users, this would be in contrast with the binding terms of use.
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@support okay, but I still can't fully understand.
You say 1 year. Does it mean that after one year you won't invest more in a strategy and the author won't receive any "royalty" anymore?
Could you please explain this ? I can't understand it by reading your legal bindings
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@magenta-grimer Let's suppose my strategy has stable, positive returns, like 15% yearly and sharpe over 1.5. Will you pay me for one year only based on its performance ?
After one year you will stop using it and won't pay me anymore, based on the algo performance as always, or will you still use it and don't pay anymore since more than 1 year has passed
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@magenta-grimer No, it does not mean we stop investing, according to the real performance we could take 3 decisions:
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stop;
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continue with same allocation;
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continue with larger or reduced allocation.
If we continue, we would pay to the quant fees.
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@magenta-grimer If we trade it more than 1 year, you will be paid of course.
There are 3 phases in each contest:
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the backtesting, when the strategy is simulated on past data;
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the live evaluation phase, for deciding winners; this phase is still paper trading, trades are simulated, slippage model is used in a simplified way;
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the real trading for the winners: in this phase we will see that the assumptions made during paper trading are fine for reality. One year is a good period for assessing the strength and the capacity of the strategy.
At the end of the year we can take 3 decisions:
a) stop trading, because (for example) the real performance is not good enough;
b) continue with the same allocation;
c) reduce allocation or increase them;
In case b) and c), the quant (you for example) would get fees also after 1 year.
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@support ok, now things are more clean
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@magenta-grimer It means that if I really write a good strategy, I can receive fees for many years, too
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@magenta-grimer yes, correct, and it does not have to win a contest, we monitor all submitted systems and will contact the quants who wrote interesting systems.
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@support what you say is really interesting..it means that one can expect to receive an allocation even outside the contest, if the performance is interesting...
How much capital do you have to allocate?
So far you seem to be running like 34 M USD in strategies since Quantiacs started....is that correct?
will you be able to allocate 5M USD if you find the "correct" strategy? -
@magenta-grimer Hello, the 34 M USD have been allocated to the winning strategies according to the contest rules.
Other strategies have been funded, and agreements are in place between quantiacs, investors and quants. We cannot disclose more details now, sorry.
5M USD is a reasonable capacity a strategy could handle, yes.
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