Trading bots are rising in popularity. The purpose of this competition is to create a crypto quantitative trading bot integrated on the most popular crypto exchanges (Binance, Bitstamp, Kraken, etc). The strategy is to recognize price patterns to optimize return and to take advantage of the diversification to reduce the risk associated with a specific crypto currency. The winning strategies can be licensed to become trading bots for cryptos.
NapBots is a trademark of Napoleon Crypto Group. NapBots is a trading bot platform that designs profitable trading strategies and makes them available in a unique marketplace. It also provides automated execution for users on major crypto platforms through API connection. Alongside NapBots, Napoleon Crypto fully owns and operates, Napoleon AM, one of the first regulated asset managers in France that is dedicated to crypto solutions
You must build a dynamic long only allocation between Bitcoin, Ether, Litecoin, XRP and Tether with the objective to outperform a buy and hold bitcoin strategy.
Your objective is to maximize the Sharpe ratio of your portfolio but also to minimize the drawdown. These 2 metrics will be taken into consideration to select the winner(s) along with the robustness of the code (overfitting measure, clarity of the algo, quality of the comments in the notebook).
Use the tutorial notebook to get started:
The Investment Universe is composed of the following tickers:
The only available input data for this competition are:
The data can be called using the getTickersCryptoSelector function.
|BTCUSD||BB Live, OHLC||Bitcoin|
|ETHUSD||BB Live, OHLC||Ethereum|
|LTCUSD||BB Live, OHLC||Litecoin|
|XRPUSD||BB Live, OHLC||XRP|
|USDTUSD||BB Live, OHLC||USD Tether|
The in-sample period runs from 1st Jan 2017 to 31st Dec 2020, this is what is given to create your model and given publicly in the Public Leaderboard.
The out-sample period runs at least from 1st Jan 2021 to now but can also have additional data added and created by Alphien. This 'synthetic' data is used to test your model further for its ability to predict future data. This is used in the Private Leaderboard.
The composite period includes all real data available, this is used in the community Leaderboard.
Note: Once your first submission is approved, you can revise it as much as you want.
No benchmark (your implicit benchmark is a cash position in US dollars).
|(1) Sum of all weights = 100%|
|(2) Max weight per crypto <= 50%|
|(3) First Signal generated before 2017-04-01|
|(4) Sharpe Ratio > 1.5|
|(5) No Lookahead bias|
|(6) Models to be run under 30 seconds|
|(7) Notebook and payout documentation*|
Please also have a look at the payout pitfalls page for common issues faced by users.
Transaction costs: 10 basis point (bp) of the amount being transacted.
Transaction frequency: The maximum transaction frequency is daily (no intraday trades). All trades are executed at market defined close price set at UTC Universal Time Coordinated.
Transaction signals: Transaction signals must be based on data available at the close-of-business day. Signals are 'executed' the same day following the Lag 0 model convention.
You must use Notebook to submit your solution. You can only submit one notebook.
However, there is no limitation in the number of revisions you can make on a submitted notebook, one you have submitted a revision it may take up to 7 days to get it approved or get a feedback on it, if you want to have quick feedback mention as a comment in your submission that you want to use your points for 'Fast Track', check Alphien Points for more details.
If the solution follows a theoretical or academic paper, the participants are encouraged to attach the document with the submission, any relevant document (own paper or other document) to explain the approach used will increase the robustness scoring.
Please visit our Submissions page for all details on how to submit.
The strategies will be ranked based on the weighted arithmetic mean of the following three rankings:
|Normalized Sharpe Ratio||SR||30%|
|Normalized Maximum Drawdown||DR||30%|
The strategy is ranked according to the different normalized metrics as follow
Its weighted arithmetic mean will be (30% x SR) + (30% x MD) + (40% x R) = (0.3 x 2) + (0.3 x 1.5) + (0.4 x 4.45) = 2.8 to be compared with other strategies.
The total prizes in euros for the winner are:
Note: If there is more than one person per team, the payment will be split to each individual team participant equally.
You will also have the opportunity to get your strategy licensed by the Sponsor looking for such crypto strategies.
Monday 03, May 2021.
Wednesday 17, June 2021 midnight NY Time*.
All strategies that have been approved will be open for licensing and paper traded for at least 6 months
*24-Hour extension was granted due to a system issue on the 16th June
The competition will be open to any participant (academic or non-academic). You can register as:
You are not allowed to participate simultaneously as Individual and Team.
Weekly point rewards
|5 - 15||1|
The Competition will be open to any Participants (academic or non-academic) 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 own their intellectual property.