QUANTIACS Q6 CONTEST – TERMS AND CONDITIONS
A. NO PURCHASE OR PAYMENT OF ANY KIND IS NECESSARY TO ENTER OR WIN THIS CONTEST OF SKILL.
B. BY ENTERING THIS CONTEST, EACH ENTRANT CERTIFIES THAT HE/SHE MEETS ALL ELIGIBILITY REQUIREMENTS AND AGREES TO ACCEPT AND BE BOUND BY ALL OF THESE TERMS AND CONDITIONS (the “Official Rules”).
1. Sponsor: This Quantiacs Q6 Contest (the “Contest”), is sponsored by Quantiacs, LLC (the “Sponsor”), a Delaware limited liability company located at 2483 Old Middlefield Way, Suite 202, Mountain View, CA 94043, USA. The Contest is governed by the laws of the state of California.
2. Eligibility: Participation in this Contest is open only to natural persons who meet all of the following conditions (“Participants”): (i) they are eighteen (18) years of age or older at the time of entry in the Contest; and (ii) they agree to the terms and conditions of the Sponsor’s User Agreement available at www.Quantiacs.com. Eligibility to compete for any prizes awarded by this Contest is further limited to “unique” Trading Systems as set forth herein. You are not eligible to receive the Grand Prize if you are a Specially Designated National or reside in a country designated by the United States Treasury’s Office of Foreign Assets Control (
http://www.treasury.gov/resource-center/sanctions/Programs/Pages/Programs.aspx). The Sponsor reserves the right to modify the eligibility requirements for entry during the course of the Contest if less than thirty (30) Participants have entered the Contest by July 15, 2016 as described below. Upon request, the Sponsor reserves the right, in its sole discretion, to waive certain eligibility requirements for otherwise qualified persons. VOID WHERE PROHIBITED.
3. Contest Summary: Participants are invited to submit algorithmic Trading Systems (as further defined below) over the Sponsor’s website at www.Quantiacs.com. Using the performance criteria set forth herein, these Trading Systems will be evaluated using historical and live futures trade data from January 1, 1990 through October 30, 2016. The three Participants submitting Trading Systems that achieve the three highest Scores (as defined below) will be awarded allocations to their strategies (a “Grand Prize”), as set forth below.
4. Entry Period: Entries will be accepted from 12:00:01 a.m. on June 8, 2016 until midnight on July 31, 2016 (the “Entry Period”). If as of July 15, 2016, less than thirty (30) Participants have submitted entries, the Sponsor may, in its sole discretion, cancel the Contest, in which event no awards or prizes will be granted or distributed in connection with the Contest.
5. How to Enter: To enter, Participants must upload a Trading System (as defined below) during the Entry Period to www.Quantiacs.com by following the instructions posted there. Participants must include with their submission the following information: his/her name; his/her email address; and his/her residential mailing address. A Participant may not submit entries using multiple or different email addresses or residential mailing addresses. A Participant may submit up to ten (10) Trading Systems per day during the Entry Period; provided however that each Participant’s single qualifying entry will be the Trading System that produces the highest Score as of the last day of the Live Period as defined below by these Official Rules. No single Participant may receive more than one of the three Grand Prizes defined herein.
6. Live Contest Period: The Contest starts on August 1, 2016 at 12:00.01 a.m. and ends on October 31, 2016 at midnight (the “Live Contest Period”). During the Live Contest Period, no changes may be made to Trading Systems entered in the Contest. The results of all participating Trading Systems will be updated daily during the Live Contest Period, as new market data arrives. The results will be published on www.Quantiacs.com.
7. Trading System Technical Requirements and Trading Rules: Participating algorithmic trading systems (“Trading Systems”) must be developed in accordance with and meet the following requirements:
a. Trading Systems must be developed solely with the market data that is provided by the Sponsor. The market data consists of end of day data of a selection of futures contracts. The composition of the portfolio may change during the contest if additional market data is provided by the Sponsor. It is within each Participant’s discretion to select his or her portfolio from the available futures market data provided by the Sponsor.
b. If the Sponsor determines, in its sole discretion, that market data is erroneous, the Sponsor reserves the right to correct the market data in any phase of the competition.
c. The code of a Trading System must be compatible to Matlab® 2014a and be compatible with the Sponsor’s evaluation routines. A sample evaluation routine is provided in Sponsor’s development toolbox on www.Quantiacs.com. The evaluation routine on the servers may differ from the sample evaluation. The following Matlab®-Toolboxes (R2014a) are supported: Statistics, Optimization, Signal Processing, Neural Network, Global Optimization, Financial, Econometrics and Curve Fitting.
d. Alternatively participants may choose to use Python compatible with version 2.7.10 and the Sponsor’s evaluation routines. A sample evaluation routine is provided in the Sponsor’s development toolbox on www.Quantiacs.com. The evaluation routine on the servers may differ from the sample evaluation. The following Python toolboxes are supported: keras, pandas, numpy, scikit-learn, scikits.statsmodels, TA-lib, tensorflow, theano, and xgboost.
e. The evaluation routine simulates the interaction with a broker and computes the portfolio equity curve. The Sponsor reserves the right to correct bugs in the evaluation routine during the course of the Contest. In such a scenario, all Participants will be notified about the correction, Trading Systems will be computed again and the corrected portfolio equity curves will be displayed at
www.Quantiacs.com.
f. A Trading System only qualifies for a Grand Prize if it would have produced the same returns, Sharpe Ratio and Score were it traded live during the Live Contest Period with an arbitrary broker account. In other words, simulated performance, Sharpe Ratio and Score cannot result from exploitation of a bug in the back-testing Toolbox or a loophole in the Official Rules.
g. Each Trading System must use the same rules for the entire Evaluation Period and may not vary in relation to changes in timescale for arbitrary periods of years (e.g. “don’t trade in 2008” is an invalid rule).
h. Each Trading System must use quantitative rules only, and generate the same result if run twice on the same portfolio.
i. It is possible to trade long and short.
j. A transaction fee of 5% * HIGH-LOW is deducted for every change in position size. This simulates the impact of slippage and commissions. HIGH and LOW denote the highest and lowest prices of each specific contract on the trading day on which the change in position size takes effect.
k. The longest permitted lookback period is 2520 trading days.
l. Each Trading System must have a runtime of less than ten minutes on the Sponsor’s servers.
m. If a Trading System causes a runtime error, all positions will be closed. It will be called again with the next available set of market data, and so forth. As soon as the Trading System resumes functioning, positions will be built up accordingly.
n. The use of the following Matlab items and their Python equivalents are prohibited:
i. MEX-files
ii. Java commands or object creation
iii. eval, feval, inline, and function handles
iv. Shell escapes such as !, dos, unix, and system
v. Handle Graphics commands
vi. ActiveX commands
vii. File I/O commands
viii. Debugging commands
ix. Printing commands
x. Simulink commands
xi. Benchmark commands such as tic, toc, flops, clock, and pause
xii. error, clear, and persistent functions
xiii. web, urlread, ftp, mget, urlwrite, web, webread and webwrite
o. Entries compromising contest machinery are prohibited and will result in disqualification.
p. Manipulating the Score, runtime, or error conditions is prohibited and will result in disqualification.
q. If a Trading System depends on auxiliary files that cannot be embedded in the function template (e.g. neural network settings) these files may be emailed to info@quantiacs.com and can be used in the competition after passing a manual security and rule compliance inspection. It is in the Sponsor’s sole discretion to accept or reject auxiliary files.
r. If the annualized volatility of an entry in the Entry Period or in the Live Contest Period exceeds twenty-five percent (25%), the sponsor in its sole discretion may normalize the annualized volatility of the entry to twenty-five percent (25%) by allocating a portion of the portfolio to cash during any phase of the competition.
8. Evaluation and Scoring: At the end of the Evaluation Term, the final “Score” of all participating Trading Systems will be computed as follows: