BACKGROUND
Introduction
Global stock markets seem to have reacted in a coordinated way to the systemic risk triggered by the Covid-19 pandemic. In the midst of the crisis though, the S&P 500 index has recovered 75% of its losses while the Eurostoxx 50 only bounced back a mere 55% from its trough. Be it due to different domestic policy responses, or to the simplified view that regional blocks specialise in different segments along the global supply chain, the underlying idea is that recovery expectations diverge across stocks markets. For equity investors, such discrepancies present an opportunity to efficiently allocate their capital. The aim of this challenge is to put yourself in an equity portfolio manager's shoes and make the most of each individual stock market behaviour.
Construct a portfolio that invests in global equity indices. You can buy or sell equity index futures across Europe, Asia and America to build a portfolio with the highest returns. Use leverage to cash in on regional or country trends.
OBJECTIVES
Objective
Build a global equity index portfolio which maximises returns. The portfolio can be long or short. Use machine learning techniques in your payout in order to learn from data.
Investment universe
You can invest in building blocks of the most prominent equity indices in the world across all continents. Consider they can be mixed up directly within a portfolio in their local currencies. You can be long and short. You cannot use leverage on individual assets (your position spans between -100% and +100%) but you can have some leverage in the portfolio: net leverage (sum of all weights) in the portfolio cannot exceed 200%. The same rule applies on the short side. Overall, portfolio net leverage has to be between -200% and +200% at all times.
Backtest period
January 2010 - June 2020
Constraints
NULL
DATA
ETF & INDICES
Here is the list of building blocks in which you can invest:
| Symbol | Description |
| ES | S&P 500 Equity index e-mini future |
| NQ | NASDAQ Equity index future |
| DM | Dow Jones Industrial Average Equity index future |
| VG | Eurostoxx 50 Equity index future |
| DAX | DAX (Germany) Equity index future |
| CAC | CAC 40 (France) Equity index future |
| Z | FTSE 100 (UK) Equity index future |
| SMix | Swiss market Equity index future |
| NX | Nikkei (Japan) Equity index future |
| XP | ASX 200 (Australia) Equity index future |
| IS | Mexico exchange Equity index future |
| BZ | Bovespa (Brazil) Equity index future |
| AI | Johannesburg exchange Equity index future |
| HI | Hang Seng (Hong Kong) Equity index future |
| QZ | Singapore Equity index future |
| KM | KOSPI (South Korea) Equity index future |
| TW | Taiwan Equity index future |
MACRO INDICATORS
Here is the list of other series you can use to generate allocations:
| Symbol | Description |
| XAU Curncy | Gold spot prices |
| VIX Index | S&P 500 futures 1M implied volatility |
| V2X Index | Eurostoxx 50 futures 1M implied volatility |
| USGG10YR Index | 10-year US treasury yield |
| DXY Curncy | US Dollar index |
| USGGBE10 Index | US 10 Year inflation breakeven |
TIMELINE
ALPHATHON STARTS
16-Sep-2019
RESEARCH ENDS
16-Dec-2019
PAPER TRADING ENDS
16-Feb-2019
JURY & WINNER
Mar-2019
GET STARTED
Support tools
- Consult the [tutorial wiki page] to find help
- There is a section in the forum related to tutorials.
- Get in touch with our quant team on AlphaChat if you want to discuss about the challenge.
Tips and advice
- You should use AlphienStudio to conduct your research.
- Once you have fine-tuned your model, use the stressTest() function to submit it.
RULES
Awards
Licensing fees*
- Licensing implies that an asset manager replicates a strategy in live markets. To do this, they subscribe to a license in order to receive the strategy signals and implement them with their capital. Licensing fees are proportional to the amount of capital committed to the strategy and shared between Alphien and the researcher that developed the strategy.
Terms and Conditions
Terms and Conditions
[1] Prizes are non-transferable to other users or accounts.
[2] Alphien reserves the right at its sole discretion to alter, amend, modify, suspend or terminate this Competition, or any aspect of it, including but not limited to changing the contest duration or backtesting parameters, at any time and without prior notice. In such event Alphien will make reasonable efforts to notify all Participants by email.
[3] Alphien will make all reasonable efforts to support the acceptance of entries and the execution of backtests and paper trading. Entries may not be successfully processed or executed because of errors or failures. Those errors or failures may be caused by Alphien, the Participant, third parties, or a combination of parties. Alphien will not be liable or otherwise responsible for any entry that cannot be processed or executed, regardless of the cause of the problem.
[4] Alphien will make all reasonable efforts to execute the Winner's algorithm. The algorithm may not be successfully processed or executed because of errors or failures. Those errors or failures may be caused by Alphien, the Winner, third parties, or a combination of parties. Alphien will not be liable or otherwise responsible for any failure of the algorithm to be processed or executed, regardless of the cause of the problem. Furthermore, Alphien is explicitly not liable for any delays in the acceptance or transmission of orders due to a breakdown, failure of transmission, communication facilities or for any other technical error or cause. If the Winner's algorithm cannot be executed as planned as a result of errors, Alphien shall incur no liability and the prize will not be awarded.
[5] Alphien will have complete discretion over interpretation of the Competition Rules, administration of the Competition and selection of the Winners. Decisions of Alphien as to the administration of the Competition, interpretation of the Competition Rules and the selection of the Winners will be binding and final.
[6] Participant agrees and give his/her express consent for Alphien to use or publish without additional compensation in any medium (including, without limitation, in print, via television, via the internet, via email and or/other electronic form) and/or share with its agents, business partners and successors during and after the Competition period, information for publicity purposes including photographs, videotape or digital recordings that Alphien takes of Participant, Participant's Alphien username, public written statements, and algorithm performance for all or part of the Competition, without compensation. Participant hereby waives any rights, claims or interests that Participant may have to control the use of any or all of the publicity material in whatever medium used.
[7] The Winner is solely responsible for the payment of any and all taxes that may apply on their Generated Profits. Alphien shall have the right, but not the obligation, to make any deductions and withholdings that Alphien deems necessary or desirable under tax laws, rules, regulations, codes or ordinances.
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LEGAL
Legal
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TEAM
ALPHIENUSER, [...]
SCOPE
Public or private