Build a market timing long-short strategy on S&P 500 futures using only the S&P 500 futures building block series (ES), 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, neural networks, clustering or any regularised regressions. You can add features to price series by using technical indicators (such as EMA, RSI, Stochastics, Bollinger Bands, etc), statistical models or any series you can derive from available inputs. Your strategy can rebalance on a daily basis at most and should not use any leverage (signals between -1 and 1). There are no transaction costs for this challenge.
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 features that can be computed from these series: technical indicators (such as RSI, EMA, Stochastics, Boolinger Bands, etc), statistics, time series models to name a few.
All series are available from 1998. Start your backtest from 1 Jan 1998. You are allowed to use up to two years of data for the initial calibration of your model. Consequently, your first allocation should be on 3 Jan 2000 at the latest. In different words, your payout function has to output allocations that starts on 3 Jan 2020 at the latest.
Strategies will be ranked on its Sharpe ratio assuming a risk-free return of zero. We'll also test strategies are robustness by computing the minimum of the 3Y-rolling Sharpe Ratio over the backtest. Final rankings are an average of these two metrics.
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Rules regarding points:
Points distribution schedule
|End of Month
You can only invest in the S&P 500 index future building block (ES).
On top of this, you can use the VIX level at close and the S&P index levels to help you spot market turns:
|S&P 500 futures building block
|S&P 500 index levels (Open / High / Low / Close - fields are respectively called "open_price", "high_price", "low_price", "close_price")
|Implied 1M volatility on S&P 500 futures options (close_price)
Use the tutorial notebook to see how to retrieve the data set for this challenge.
 Prizes are non-transferable to other users or accounts.
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