# Alphabase.io

### Welcome to Alphabase Open!

Strategies can be Long Only Portfolio or Long Short Portfolio.

Stock weightings for each security should be provided. (e.g. 0.02 for holding 2% , -0.02 for shorting 2%)

Strategies cannot have more than 3% of their capital invested in any one asset.

$$\left\{ \begin{array}{c} 0\% \geqslant \sum w_{short} \geqslant -100\% \\ 0\% \leqslant \sum w_{long} \leqslant 100\% \\ -20\% \leqslant {\sum (w_{short} + w_{long})} \leqslant 20\% \end{array} \right.$$ Strategies should not have more than 20% net dollar exposure. This means that the long and short arms of a strategy cannot be more than 20% different.

GICS sectors will be used as one constraints in the portfolio. $$\left\{ \begin{array}{c} -30\% \leqslant \sum (w_{short,sector} + w_{long,sector}) \leqslant 30\% \\ \sum |w_{short,sector}| + \sum |w_{long,sector}| \leqslant 60\% \end{array} \right.$$ Exposure to net GICS sector should be less than 30%. Exposure to gross GICS sector should be less than 60%.

Date column in the submission can be provided to specify a future rebalance date. Otherwise, it will be treated as next trading day.

There is no decimal place requirement. But the minimum weighting should be ±0.0001 (±0.01%).

For each portfolios submission, 0.1 APB are required to deposit, which means you can only submit 10 portfolios if you have 1 APB in your balance. In other words, portfolio submission requires at least 0.1 APB in your balance.

The “probability” can be a probability of any event your want to predict (like: a probability of the stock price going up/down, a probability of the stock beating the market and so on). Please also provide a short description of your probabilities in the remark box when submitting your predictions.

The “date” would indicate the starting date of the event you want to predict.
You can choose to provide a period indicating the duration (in days) of the event you want to predict. For example, the period should be 7 days if you want to predict if AAPL US will beat S&P 500 Index next week.

For each portfolios submission, 0.1 APB are required to deposit, which means you can only submit 10 portfolios if you have 1 APB in your balance. In other words, portfolio submission requires at least 0.1 APB in your balance.

How to get started:

To participate, you will just need to submit a portfolio generated by machine learning. You should follow the rules listed on https://alphabase.io.

You could use your own data and tools to generate a portfolio. If you do not have enough experience, you might want to get started with open-source quant platforms (e.g. Quantopian, Quantconnect, Quantiacs etc.) Different platforms would have different tools and data for your usage.

The following links would guide you through the process of generating a portfolio on Quantopian, you could understand how to build a portfolio using machine learning better in case you have no idea:

After a portfolio is generated, you could upload your portfolio on our website and update from time to time according to your algorithm.

As we would only accept the long-short portfolio generated by machine learning, the following links would provide useful examples for your reference:

For any inquiries, please feel free to email info@alphabase.ai

We will evaluate your prediction if you submitted but it is not a must.

For each portfolios submission, 0.1 APB are required to deposit, which means you can only submit 10 portfolios if you have 1 APB in your balance. In other words, portfolio submission requires at least 0.1 APB in your balance.

Sharpe ratio of strategies should bigger than 0.5. $$Sharpe \ Ratio \geqslant 0.5$$ Maximum drawdown(DD) of strategies should less than 10%. Once a drawdown is bigger than 10%, your portfolio will be invalid. $$DD \leqslant 10\%$$

High frequent trading is not preferred due to the high transaction costs, therefore $$Average \ Holding \ period \ of \ stocks \geqslant 1 \ month$$ Low correlation to SPY is preferred, which mean strategies should have an absolute beta-to-SPY below 0.3. $$\beta_p \lt 0.3$$

Each category can hold only one strategy. If there is a significant change in strategy, you should use a separate category.

First come first serve basis.

We are looking for algorithms with a clear intent in the idea, which runs and simply works.

Also, you need to be able to explain your original idea and intent of the strategy.

# The Constraints

## Portfolio

Strategies can be Long Only Portfolio or Long Short Portfolio.

Stock weightings for each security should be provided. (e.g. 0.02 for holding 2% , -0.02 for shorting 2%)

Strategies cannot have more than 3% of their capital invested in any one asset.

$$\left\{ \begin{array}{c} 0\% \geqslant \sum w_{short} \geqslant -100\% \\ 0\% \leqslant \sum w_{long} \leqslant 100\% \\ -20\% \leqslant {\sum (w_{short} + w_{long})} \leqslant 20\% \end{array} \right.$$ Strategies should not have more than 20% net dollar exposure. This means that the long and short arms of a strategy cannot be more than 20% different.

GICS sectors will be used as one constraints in the portfolio. $$\left\{ \begin{array}{c} -30\% \leqslant \sum (w_{short,sector} + w_{long,sector}) \leqslant 30\% \\ \sum |w_{short,sector}| + \sum |w_{long,sector}| \leqslant 60\% \end{array} \right.$$ Exposure to net GICS sector should be less than 30%. Exposure to gross GICS sector should be less than 60%.

Date column in the submission can be provided to specify a future rebalance date. Otherwise, it will be treated as next trading day.

There is no decimal place requirement. But the minimum weighting should be ±0.0001 (±0.01%).

For each portfolios submission, 0.1 APB are required to deposit, which means you can only submit 10 portfolios if you have 1 APB in your balance. In other words, portfolio submission requires at least 0.1 APB in your balance.

## Prediction (Optional)

The “probability” can be a probability of any event your want to predict (like: a probability of the stock price going up/down, a probability of the stock beating the market and so on). Please also provide a short description of your probabilities in the remark box when submitting your predictions.

The “date” would indicate the starting date of the event you want to predict.
You can choose to provide a period indicating the duration (in days) of the event you want to predict. For example, the period should be 7 days if you want to predict if AAPL US will beat S&P 500 Index next week.

For each portfolios submission, 0.1 APB are required to deposit, which means you can only submit 10 portfolios if you have 1 APB in your balance. In other words, portfolio submission requires at least 0.1 APB in your balance.

# Evaluation Process

We will evaluate your prediction if you submitted but it is not a must.

For each portfolios submission, 0.1 APB are required to deposit, which means you can only submit 10 portfolios if you have 1 APB in your balance. In other words, portfolio submission requires at least 0.1 APB in your balance.

Sharpe ratio of strategies should bigger than 0.5. $$Sharpe \ Ratio \geqslant 0.5$$ Maximum drawdown(DD) of strategies should less than 10%. Once a drawdown is bigger than 10%, your portfolio will be invalid. $$DD \leqslant 10\%$$

High frequent trading is not preferred due to the high transaction costs, therefore $$Average \ Holding \ period \ of \ stocks \geqslant 1 \ month$$ Low correlation to SPY is preferred, which mean strategies should have an absolute beta-to-SPY below 0.3. $$\beta_p \lt 0.3$$

Each category can hold only one strategy. If there is a significant change in strategy, you should use a separate category.

First come first serve basis.

# Get started

### 1. Mac OS X

Use spotlight search/ Launchpad to open "Terminal" app. Type shasum -a 256 [Type in Your File Path Or drag the file to Terminal]

### 2. Linux

Open a terminal and type sha256sum [Type in Your File Path]

### 3. Windows

Open cmd.exe from windows menu. Type certUtil -hashfile [Type in You r File Path Or drag the file to Terminal] SHA256

## Submission History

Status Submission Time Blockchain Time Category File Hash BTR Type Target Remark Void Transaction

# Created Category:

# Category Modify Delete

Invitation Code:

## Portfolio Rules

1. You are limited to submit a portfolio based on US market.
2. In current stage, you can rebalance anytime, the rebalance will be effective in the next trading day. However, the portfolio has to been held for at least one week before the next rebalance.
3. You can submit Long Only Portfolio or Long Short Portfolio.
4. You have to provide the weightings for each securities. (e.g. 0.02 for holding 2% , -0.02 for shorting 2%)
5. The sum of the weightings should be less than or equal to 100% for Long Only Portfolio.
6. For Long Short Portfolio, the net sum of the weightings shall range from -20% to +20%. The sum of long side or short side alone shall be equal to 100% or less.
7. The cap for single stock holding would be ±0.03 (±3%).
8. The cap for net sector exposure would be ±0.30 (±30%).
9. The cap for gross sector exposure would be 0.60 (60%).
10. The sector exposure in your submitted portfolio would be checked. If limit is breached, your portfolio would be invalid.
11. You can provide date column in the submission to specify a future rebalance date. Otherwise, it will be treated as next trading day.
12. There is no decimal place requirement. But the minimum weighting should be ±0.0001 (±0.01%).
13. Each category can hold only one strategy. If there is a significant change in strategy, you should use separate category.
14. You are required to deposit 0.1 APB for each portfolios submission, which means you can only submit 10 portfolio if you have 1 APB in your balance. In other words, portfolio submission requires at least 0.1 APB in your balance.

You can upload your portfolio now and start the track record immediately.

#### OR

If you have concerns that others may take advantage of your positions, you can opt to not disclose your portfolio at the time of submission but later.

By submitting the hash of the portfolio csv file, you certify and secure your portfolio in our system and on a public blockchain. You can upload the portfolio at later point of time when you feel comfortable.
Enter Your portfolio file sha256sum (how to get sha256sum?)

## Prediction Rules

1. Please upload a submission with four columns named “ticker”, “probability”, “date”, and “period”(optional). You can refer to the “sample_submission.csv” for the format.
2. You are required to submit a prediction based on US market, which means the tickers in your submission must be in our universe. Click here to download the ticker list.
3. The “probability” can be a probability of any event your want to predict (like: a probability of the stock price going up/down, a probability of the stock beating the market and so on). Please also provide a short description of your probabilities in the remark box when submitting your predictions.
4. The “date” would indicate the starting date of the event you want to predict.
5. You can choose to provide a period indicating the duration (in days) of the event you want to predict. For example, the period should be 7 days if you want to predict if AAPL US will beat S&P 500 Index next week.
6. You are required to deposit 0.1 APB for each prediction submission, which means you can only submit 10 predictions if you have 1 APB in your balance. In other words, prediction submission requires at least 0.1 APB in your balance.