Algo Trading Challenge 2023/24

About the Challenge

Welcome to Algo Trading Challenge 2023/24.

Code your trading algorithms, compete in live financial market, and pitch to make a name for yourself! Gain professional industry knowledge and practical skills to prepare yourself as the next-gen algo-trading professional.

This Challenge is open to public. Create teams of 1~4 members with diverse skills (maths, statistics, finance, coding, presentation) and register by 31 Oct 2023.

1st Round: Code

Teams will code their trading algorithm and test on our back-testing engine, then submit the code

Judges will backtest trading algorithms for return, volatility, robustness and practicality to select advancing teams

Submission deadline: 31 Dec 2023

2nd Round: Compete

Each team needs to compete in out-sample forward test and live paper trading

Live paper trading will last for 2 months from 2-Jan-2024 to 29-Feb-2024

Completion: 29 Feb 2024

Final Round: Pitch

Teams will present trading plan to judges in a 5-minute pitch session in Finale

The trading plan is a ppt less than 15 slides consisting of:

Executive summary
Trading idea description
Implementation detail
Risk Management
Team biography

Judges will select winners in each of these categories:

Best Sharpe
Best Market Return
Best Strategy Design

Finale: 10 Mar 2024

Judging Criteria

Schedule

Date	Event
31 Oct 2023	Deadline of Registration
1 Nov 2023	Online Briefing Session & Backtest Engine Introduction
31 Dec 2023	1st Round: Back-testing Completed and Code Submission
29 Feb 2024	2nd Round: 2-month Live Paper Trading Completed
10 Mar 2024	3rd Round: Finale and Award Ceremony

Juding Criteria

Judging panel criteria comprises team performance (30%), trading strategy (30%), and presentation (10%), plus the risk-adjusted return (30%) as computed by the our back-test system.

(A) Best Return

A good return is the primary goal of every algo trading strategy. Our state-of-the-art trading system will back-test the trading strategies of Finale teams to ascertain outcomes. The team with the highest out-sample 1-year forward test and 2-month live paper trading return will win this award.

(B) Best Sharpe

A good strategy does not only need to be profitable, but it is also important to take care of the risk taking. The team with the highest Sharpe will win this award.

(C) Best Strategy Design

Recognises Finale participants' knowledge and skills in developing the best algo trading strategy that demonstrated the following:

Trading Strategy Logic: reasonable return, manageable risk, stability and predictability;
Creativity: innovative use of statistical models, parameters, forecasting methodology or interpretation of data and novel ideas based on existing theory and models; and
Execution Potential: a realistic strategy and full consideration of factors including capital, trading time, market impact and risk management.

Awards

There are 3 award categories: (A) Best Sharpe (B) Best Market Return (C) Best Strategy Design.

The winning team from each category will be entitled to:

Cash prize

1st place: US$300
2nd place: US$200
3rd place: US$100

Certificate

All prize winners will receive a participation certificate

Free Subscription of Back-testing Engine

All prize winners will get 1-year free subscription of ALGOGENE's back-testing platform

Algo NFT

All prize winners will have a chance to get their algo minted as NFTs in Opensea

Employment Opportunities

All prize winners may have a chance to have internship / full-time employment from the Organisers

Join Algo Challenge Association (ACA)

All prize winners will connect with algo fund managers and industrial professionals in Algo Challenge Association (ACA)

Messi's merchandise

Winning team will get 1 set of Messi merchandise

Rules & Regulations

The Challenge is open to public.
Each individual contestant is only allowed to be in one team.
Each team must elect one representative to liaise with the organizers.
All entries must be the original work of the contestant team. Any form of plagiarism is prohibited and the contestant team will be disqualified from the Challenge.
Each individual contestant is required to sign a Non-Disclosure Agreement with the organizers.
Finalists must present valid Student ID cards and provide a copy for verification.
The judging panel’s decision of the Challenge results is final. The organizers reserve the right to the final decision in all other areas.
An online briefing session will be arranged during registration period to answer any inquiries about the Challenge.

FAQ

Q: If a person is in overseas, can he still join the competition via zoom?

A: Overseas participants are still able to join the Finale via Zoom, though the Finale will be held in hybrid. The Finale and award presentation is on 10 Mar 2024.

Resources

The dataset provided includes the historical trading records of Korean equity market in past years. Kindly note that the data provided is strictly for trading strategy prototyping purposes only. Final round evaluations will be carried out using a new data set with the same structure but from a different time period. Thus, over-fitting of the data set is discouraged.

Trading Products

Korean Large Cap
ETF

Datasets

Provide access to required historical data for model development and testing

Market data
News
Economic Statistics

System

Access to our back-testing engine, cloud simulation environment and relevant technical documents

OpenAI GPT4 embeded in engine to copilot and assist your coding

Results

The final result of the Algo Trading Challenge 2023/24 (Global) comes out! Congratulation to all winning teams!

Korea Equity Stream

Best Return: live trading period 01/01/2024-29/02/2024

Best Sharpe: 1-year out-sample forward test 01/01/2023 - 31/12/2023

Rank	Team	Best Return
1	AlphaOmega Capital	26.11%
2	newbies	11.19%
3	Traders Tarts	0.71%

Rank	Team	Best Sharpe
1	Traders Tarts	1.1593
2	SigmaGo	0.8908
3	newbies	0.8905

Rank	Team	Best Strategy Design
1	Traders Tarts	Cross-sectional momentum strategy to buy the past winners using a generalized risk-adjusted ratio ranking approach
2	AlphaOmega Capital	Leveraging KOSPI High-Frequency data, we look for the best cointegration pairs among the 100 largest stocks in KOSPI. By utilizing the mean-reverting tendency of the stock pair’s spread, we employ a long/short strategy with z-values indicator
3	SigmaGo	Trade directional bet when momentum outweigh mean reversion statistically.

Crypto Stream