Alphavantage - Quantitative Hackathon - Untrade x Quant Club

Untrade Hackathon in collaboration with Quant Club, BITS Pilani

Untrade, in collaboration with Quant Club, BITS Pilani, is excited to host a hackathon designed to foster the growth of the next generation of quantitative traders and algorithmic trading experts.

Hackathon Overview:

Participants will be tasked with developing high-performing algorithmic trading strategies for the BTC/USDT and ETH/USDT markets, using historical data and advanced statistical and machine learning models.
Teams are requested to build as many logic-based strategies as possible on either or both assets: BTC/USDT or ETH/USDT.

How to Participate:

• The hackathon will be hosted on Jupyter Notebooks. Participants will be provided with an SDK to develop and backtest their trading algorithms.
• Upon registration, participants will receive an invitation to join a Discord server. The guidelines for the strategy development kit and testing will be shared here. All communications will be managed via this Discord server, and participants can ask questions, get feedback, and collaborate with the Untrade team.
• Untrade will provide periodic check-ins and support to participants. Mentors will be available to guide strategy design, risk management, and backtesting procedures.
• After completing the development and testing phase, participants must submit their algorithm code, backtesting results, risk management plan, and final report.

Evaluation Criteria:
The judging will be based on the following key aspects:

• Sharpe Ratio above 6:
  • The strategy should exhibit strong risk-adjusted returns, maintaining a Sharpe ratio above 6 on both historical and unseen data.
• Double Digits Time to Recovery:
  • The strategy should recover from drawdowns quickly, demonstrating the ability to regain losses in a reasonable time frame.
• Max Drawdown below 15% (1x Leverage):
  • The strategy must ensure that the maximum drawdown during the historical period and unseen testing period remains below 15% with 1x leverage.
• Maximum Adverse Excursion below 15%:
  • The strategy must minimize adverse price movements against the open position, ensuring that the Maximum Adverse Excursion (MAE) stays below 15%.
• Quarterly Profitability:
  • The strategy must be profitable in at least 12 out of 16 quarters (historical period), demonstrating consistent performance across different market conditions (both bullish and bearish).
• Yearly Profitability:
  • The strategy should be profitable across all four years (2020–2023) and should outperform Buy and Hold returns for both BTC and ETH. The strategy should be capable of performing well in both bullish and bearish market conditions.
• Minimum Trade Frequency:
  • The strategy must execute at least four trades per month during both the backtesting period and the unseen testing period. This ensures that the strategy maintains a consistent level of activity and does not rely solely on infrequent, high-impact trades to meet performance criteria.