Precious Metals, particularly gold, have always carried value and has been a sound investment for thousand of years (it has even beaten the equity market over the last 20 years). Gold has been used in the middle age as a currency (still some coins are made of gold), after used as a peg for all major currencies but now just seen as a currency of last resort. Central banks still hold massive reserve of gold. Gold is in limited supply and only can become more available through mining, currencies can be printed by central banks. Silver, Platinum and Palladium are also precious metals but are also used for industrial purpose. They are in particular key components for solar panel or for reducing carbon emissions in the automotive industry.
In this competition, the objective is to allocate between the 4 precious metals. Find the right timing to be long gold versus industrial precious metals (which are usually more volatile), take advantage of relative value opportunities in order to build a sound portfolio investment strategy that outperform gold in the long term.
This quant competition is open to any participant as an individual or as a team. The objective is to find the best performing allocation strategy within :
Global Precious Metals provides a competitive and easy way to purchase precious metals and store them in fully insured and segregated vaults. It sources precious metals (Gold, Silver, Platinum, Palladium) exclusively from refiners accredited by the London Bullion Market Association (LBMA) and the London Platinum and Palladium Market Association (LPPM).
Act as if you were a precious metals portfolio manager willing to build a fully invested diversified precious metals strategy. The strategy will aim at taking advantage of the asynchronous performances between the four most important precious metals in the world.
Use the tutorial notebook to get started:
The Investment Universe is composed of 4 investable indices (long and cash free) tracking each precious metal below by rolling systemically futures contracts. The universe, along with other data, can be called using the function GetTickersPreciousMetalAllocation.
Gold Fixing Price at 3:00 P.M. (London time) in London Bullion Market, based in U.S. Dollars.
A Strategy is a portfolio of investable precious metal Indices. The weights are managed dynamically on the basis of an algorithm which generates transaction signals.
Each time the weights are set, the following constraints must be satisfied (i.e. the constraints are not checked between 2 set dates):
Transaction frequency: The maximum transaction frequency is daily (no intraday trades). All trades are executed at market close prices.
Transaction signals: Transaction signals must be based on data available at close-of-business on the day prior to the execution.
The initial in-sample period runs from 1st Jan 2003 to 31st Dec 2014, the complete in-sample period is from 1st Jan 2003 to 31st Dec 2016.
Note: As soon as your first submission is approved, you can revise it as much as you want and you will get access to the complete data set.
You must use Notebooks to submit your solutions. Use a separate notebook for each solution. You can submit a maximum of two notebooks (equivalent to 2 solutions) per competition. However, there is no limitation in the number of revisions you can make on a submitted notebook.
Please visit our Submissions page for all details on how to submit.
The strategies will be ranked based on the weighted arithmetic mean of their various rankings as follow:
|Performance Metrics||Metric ranking||Weight|
|Minimum Rolling Sharpe Ratio||MRSR||20%|
Note: The Minimum rolling Sharpe ratio is calculated over a period of 3 years.
Example:The strategy is ranked according to the different metrics as follow
Its average ranking will be (40% x IR) + (40% x SR) + (20% x MRSR) = (0.4 x 2) + (0.4 x 10) + (0.2 x 4) = 5.6 to be compared with other strategies.
The prizes are:
Winner: 100g ABC Bullion Cast Bar Gold
Runner up: Canadian Maple Leaf ½ oz Gold Coin
The only available input data for this competition are
The data can be called using the function GetTickersPreciousMetalAllocation.
|GC1 Comdty||OHLCV||Gold 1st generic futures contract|
|PA1 Comdty||OHLCV||Palladium 1st generic futures contract|
|PL1 Comdty||OHLCV||Platinum 1st generic futures contract|
|SI1 Comdty||OHLCV||Silver 1st generic futures contract|
|SPX Index||OHLCV||S&P 500 Index|
|USGG10YR Index||OHLC||US 10-year T-Note yield|
|GTII10 Govt||Close Price||US 10-year TIPS yield|
|DXY Curncy||OHLC||US Dollar Index|
|VIX Index||OHLC||1m Implied Volatity on S&P 500|
You can also visualize the data using our data search feature.
Submit early to earn points that will help you win the competition !
Weekly point rewards
The Alphathon will be open to any Participants (academic or nonacademic) in the world, but Alphien reserves the right to reject some applicants if terms of the platform are violated. In particular you must not copy code or intellectual property which is not your own or is not open sourced. You can not participate as a professional if your employer can claim ownership in any part of your work on the Alphien platform, in case of conflict please contact and discuss with the Alphien team. Alphien is open to free scientists who owns their intellectual property.