CASH Algo Trading Contest 2016

Registration

Application & Eligibility

Application:

Application is now closed. See you next year.
Click here for the application form. Applicants are required to provide team members’ information and a high level description of the trading strategy.You can also access application form through the links below:
Hong Kong
Mainland China
Please submit applications according to individual university registration instructions or algocontest@cashalgo.com.
CASH Algo will arrange platform account opening with all registered teams.

Eligibility:

The Competition is open to all undergraduate and postgraduate full time students from all faculties.

Information

Submission & Judging Criteria:

First Round
Final Round
Schedule

Participants shall form a team of 1-4 students
Skills required including Math, Stats, Quantitative Finance, Modeling, Programing, Data Analytics, Reporting/Presentation etc.
TIPS! Participants are encouraged to form a team with different required skills

Submission Deadline: 21 Nov 2016
Deliverables: A strategy proposal report covering the following:

Executive Summary of the proposed strategy
Description of the trading idea
Methodologies and trading logics
Implementation details
Team background

Sample report
Poster
Factsheet

Evaluation based solely on submitted reports - the report should include anything to convince the judges that the strategy is viable and implementable
While strategy coding is not required to come with the report, the team is encouraged to use the platform for developing the strategy
The best team of each school will be selected to enter the Final Round to implement the proposed strategy in our platform
All students completed the First Round will receive a certificate from CASH Algo

Judging Criteria:

Logic of trading strategy (50%)

Reasonable return – well explained return with justifiable risk exposure

Manageable risk – excessive risk-taking to achieve higher returns may be penalized

Stability – consistency is encouraged

Predictability – the golden standard of quant models is the capability to deal with various market changes

Creativity (30%)

Are there any inspiring new threats regarding statistical models, parameters, forecasting methodology or interpretation of data?

Are there any inspiring new efforts based on existing theory and models?

Is there persuasive interpretation of the empirical data by exclusive point of view from crossed-domains like economic, politic or psychological theory?

Implementation Plan (20%)

Does the strategy fully take into consideration about factors including capital amount, trading time, market impact and risk management?

Is any projection in the report realistic?

Is the team composed of members with required skill sets to complete the implementation?

Each finalist team is required to program/code for the proposed trading idea between 1 Dec 2016 and 16 Jan 2017. Instructions and guidelines will be provided by CASH Algo. The strategies will then be backtested by CASH Algo for performance evaluation.

Final Round Event Day
Date: 19 Feb 2017 Sunday
Venue: Grand Hall at Hong Kong Science Park

Finalists will pitch their trading strategies for the Judging Panel to invest capital in. The final evaluation will be balanced between capital raised and performance.

Awards

Recipients of the following awards will be selected by the Judging Panel:

Merit

Presented to outstanding First Round teams who submitted convincing, well-presented reports, including high-quality, viable and implementable strategies, to encourage participants to pursue in the FinTech industry.

Finalist

Awarded to each of the 13 university teams selected for the Finale.

Best Trading Strategy

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.

Recipients of the following awards will be determined by the Judging Panel and/or computer system, or by the Judging Panel and audience members:

Best Performance

A good return is the primary goal of every algo trading strategy. CASH Algo’s state-of-the-art trading system will back-test the trading strategies of Finale teams to ascertain outcomes. The team with the highest return in one year will win the award.

Best Presentation

Excellent presentation skills are essential for a FinTech professional. The winner will be the Finale team that delivers the most effective presentation in attracting people to invest in their fund as rated by the judging panel (70%) and audience (30%).

Overall Champion Awards – Gold, Silver, Bronze

Presented to Finale teams that successfully demonstrated their FinTech potentials and all-round capabilities in algo trading, coding and presentation, creativity, and risk management. Judging panel criteria comprises team performance (30%), trading strategy (30%), and presentation (10%), plus the risk-adjusted return (30%) as computed by the CASH Algo system back-test.

Smart Investor Awards – Gold, Silver, Bronze

Algo trading funds rely on algorithmic or systematic strategies to implement trading decisions rather than discretionary ones. To broaden understanding of this new concept, members of the audience can try their hand at algo trading in a virtual investment session utilising the Finale teams’ funds.

Following the teams’ presentations, those interested in taking part can simply scan the QR code below with their mobile phone to enter the relevant website and invest their virtual HK$1 million into the funds.

The three investors earning the highest risk-adjusted returns will receive one of the Smart Investors Awards at the end of the Finale. Careful consideration of how to allocate the virtual investment to achieve the best return is highly recommended

17 Oct 2016	Deadline of Application
21 Nov 2016	Deadline of First Round Strategy Proposal Submission
By end of Nov 2016	Announcement of First Round Winners
1 Dec 2016 - 16 Jan 2017	Strategy Coding
19 Feb 2017	Final Round Event Day and Award Ceremony

Resources & Support

Platform & System – provide access to CASH Algo’s backtesting engine, simulation environment and relevant technical supports [opremote.cashalgo.com:8000].

Market data – provide access to required historical data for model building and testing

Trading Products

Securities eligible for trading strategies are limited to HKEX-listed:

Hang Seng Index Futures

Hang Seng Index Options

Hang Seng H-shares Index Futures

Hang Seng H-shares Index Options

The market data of HSI Futures and Options, HHI Futures and Options, MHI Futures and Options, MCH Futures will be provided. The data set includes last-traded records and bid-ask updates at second level. The data covers the normal trading hours in the morning session and afternoon session of every trading day from January to June, 2016. After-hours futures trading are excluded. Please note that this period of data is for prototyping the trading strategies only. The evaluation in the final round will be based on a data set with the same configuration but with a time period unknown to all candidates. Therefore, over-fitting on the data set is not encouraged.

Rules and Regulations

All entries must be the original work of contestants. Plagiarism will lead to disqualification and all prizes will be deprived of.
Each contestant should sign a Non-Disclosure Agreement with CASH Algo.
Each contestant can only be the member of one team.
A team leader should be appointed for each team to be the liaison officer with the Competition Organiser.
Finalists must present Student ID and leave a copy to CASH Algo.
Decisions of the Judging Panel regarding competition results are final. The CASH Algo Board of Directors’ decision will prevail for all other areas.