ORICHAL — GLOBAL CRYPTO ALGORITHMIC TRADING COMPETITION 2019
Hosted by Orichal Partners — Global Digital-Asset Private Capital
In Collaboration with Altcoin Fantasy — Crypto Trading Simulation
EXECUTIVE SUMMARY
Orichal Partners is hosting the 1st annual Digital-Asset (Cryptocurrency) Algorithmic Trading Competition. This innovative and exciting event aims to make the competition realistic, providing contestants with an experience that truly replicates how the cryptocurrency markets operate. Also offers a unique opportunity to engage and network with senior professionals in the traditional financial and cryptocurrency industry on the judging panel.
QUALIFICATIONS
Anyone interested in quantitative finance and cryptocurrencies is welcome to participate. Team members can be students (Undergraduate/Graduate) from different universities as well as people who are currently employed.
Please complete registration indicating which challenge you are competing in(challenge 1/2/or both) and your CV(s) or simply provide the following information to: Quant@orichal.io
• Team Name
• Contestant name(s)
• Education Background: Highest education degree received or currently enrolled, Major
• Employment Status: Student/Employed/Self-Employed/Not Applicable
• Previous or current cryptocurrency or financial work experiences? Previous/Current, Yes/No
COMPETITION
Design an algorithmic trading strategy specifically for digital-asset (cryptocurrency). Contestants are allowed to form teams of up to three, and can submit one algorithmic trading system to one of the two challenges. Contestants are allow to enter both challenges with one submission each.
While you are allowed to trade one or multiple token-pairs, strategy performance will be calculated based on USDT(Binance) and USD(BitMEX) as the denominated currency.
Orichal will provide standard sets of price data (source: Binance and Bitmex) to help with your algorithm strategy back-test and development, which can be written in either Python or C++. Your code will remain confidential and remains your intellectual property (see terms and condition*).
SUBMISSION — REQUIRED ITEMS
- Algorithmic-Trading Strategy: provide the algorithmic trading strategy in Python or C++. The strategy code must be able to read the price data file and produce a trade file.
- Trade File: an output of all the trade executions generated from the strategy, and must follow the output file format. The judging panel does not tolerate look-ahead bias (i.e. cheating) and any attempts to do so will result in immediate disqualification.
- Trading Strategy Description: 1 page (max length) with high level description of strategy and the logic.
SCORING
Review will be conducted by the Orichal’s judge panel consist of the quantitative team members and advisors**.
A standardized set of “training” price data is made available to you once registration is completed (source: Binance and Bitmex, dated back to December 1st 2017). This is to help with strategy development. Submission of new updates/versions are not allowed after the deadline. The judge panel will run the algorithms using the “complete” price data, which consists of the “training” + “out-of-sample” (i.e. future) price data against the same simulator. Algorithm returns must be deterministic (more details below).
Submission to Quant@orichal.io:
- Jan 25th 2019 (11:59:59 PM HKT) Deadline
Live simulation period:
- Jan 26th — Feb 16th 2019 (11:59:59 PM HKT)
*** Applicants will be immediately informed on any date adjustments if any***
Standardized Simulator
To help you test and evaluate your own algorithm, you are encouraged to use the standardized simulator to generate backtest results. The standardized simulator reads the output file and produces the benchmark figure which is the risk-adjusted return, ie. Sharpe Ratio. The risk-free rate utilized will be the annualized 3 Month US Treasury Note rate over the rolling window period. Numbers of trades are not taken into account. Standardize simulator is made available to you once registration is completed.
Trade File Format
In order to process the work of every team effectively, it is expected that the output trade history file is a 8 column CSV file, with the column headers being ‘Trade #’, ‘Date’, ’Time’, ‘Side’, ‘Token Pair’, ‘Quantity’, ‘Price’, ‘Fees Paid’, ‘Fees Currency’. The fees paid for a trade should reflect whether the transaction provides or reduces liquidity (Maker and taker fee adjusted). Please refer to trade file format sample)
Training Period Simulation
Judge panel will run the algorithm using the “training” price data using the standardized simulator. Trades from the output trade file over the training period will be evaluated.
Live Simulation
Judge panel will run the algorithm using the “complete” price data using the same standardized simulator. Trades from the output trade file over the live simulation period will be evaluated.
Final Evaluation
Challenge 1: Delta-Neutral Strategy =
[45% x Back-Test Sharpe Ratio] + [45% x Live Simulation Sharpe Ratio] + [10% score of the “Trading Strategy Description]
Challenge 2 Directional Strategy =
[55% x Back-Test Sharpe Ratio] + [35% x Live Simulation Sharpe Ratio] + [10% score of the “Trading Strategy Description]
We will be using two different windows for determining the Sharpe Ratio; absolute Sharpe Ratio over the testing period, and the other window will be a 90 day rolling window to adjust for market trends. The market return will be determined by the return of total cryptocurrency market cap over the specified period. These windows will share equal weighting. Algorithms which employ a method of simulating slippage will be more beneficial (can be done by order matching or a fixed weighting of the traded block)
We will announce the winners at the end of January 2019.
Each top placed algorithmic-trading system of the two challenges will get: $1,500 USD reward per winning team
$700 USD reward per runner-up team
Invitation to Networking Dinner hosted by Orichal Partners Hong Kong & Seoul (with senior wall-street and crypto professionals)
Paid Internship Opportunity with Orichal Partners — a top-tier private multi-strategy cryptocurrency investment firm.
100,000 ACF Reward Points from Altcoin Fantasy (redeemable rewards)
ORICHAL PARTNERS
Orichal Partners, a private crypto-asset investment and advisory firm based in Hong Kong and Korea. With over one year of establishment, the team has grown to 13 people in office across the two cities. The partners at Orichal came from key roles at prestigious and reputable tier 1 financial institutions. In addition to bringing a wealth of financial experience, the team will continue to uphold the professional standard, governance and discipline which are key values we abide to in this new asset class (crypto-asset). Orichal Partners strives to deliver the best-in-class investment exposure vehicle through our private all-weather (multi-strategy) hedge fund, following financial disciplines divesting into Quantitative, Research driven, and pre-ICO markets.
