BACKGROUND

Introduction

In this challenge, your task is to create a long-short strategy on the S&P 500 futures that times the market correctly: use down-turns to your advantage and catch rebounds at the right time to outperform the market. You will have to demonstrate your data science skills by using one of the popular machine learning models in your payout. Will you be able to correctly predict the next market crash? We will run your strategy under stress scenarios to confirm your model does not just overfit.

OBJECTIVES

Objective

Build a market timing long-short strategy on S&P 500 futures using only the S&P 500 futures building block series (ESa), S&P 500 index levels (Open / High / Low / Close) and the VIX index. Your strategy has to use at least one data science model amongst gradient boosting trees, random forests, genetic algorithms or any regularised regressions. You can add features to price series by using technical indicators such as EMA, RSI, Stochastics, Bollinger Bands, etc. Your strategy can rebalance on a daily basis at most and should not use any leverage (signals between -1 and 1).

Benchmark

The quality of the strategy will be assessed primarily on the out-of-sample performance. Only strategies that outperform the buy and hold strategy on the S&P 500 futures over the period will be eligible to receive the award. We will also simulate a market crash to test for strategy behaviours under stress phases.

Investment universe

Invest in S&P 500 futures building block ("ES"). Your payout can use S&P 500 index levels (Open / High / Low / Close) and the VIX index, as well as all derived features from technical indicators such as RSI, EMA, Stochastics, Boolinger Bands, etc.

Backtest period

January 2010 - December 2018

Constraints

This is a test. Does not work.

DATA

ETF & INDICES

Symbol Description
ES S&P 500 futures building block
SPX Index S&P 500 index levels (Open / High / Low / Close)
VIX Index Implied 1M volatility on S&P 500 futures options


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

  • After you have joined the competition, click the "get started" button. You will be redirected to your dashboard. In "Public Notebooks", filter notebooks by competition tag using the "Beat next market crash" tag.
  • Read about how to avoid look ahead bias to maximise your chances to win.
  • Use the forum to find help from the community or from Alphien support team.

Tips and advice

  • Use AlphienStudio or AlphienLab to conduct your research.
  • Once you have fine-tuned your model, document it in a notebook and submit the notebook for our review.
  • We highly recommend you use the forum as much as you can to find help.

RULES

Awards

  • The winner collects an Xbox.
  • Opportunity to have your strategy licensed by Asset Managers.

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.

End