RULES



Rules in general

  • Participants must be enrolled in undergraduate or master’s programs at UCSB.
  • At most 4 students per team are allowed.
  • At most 1 master’s student per team is allowed.
  • Team registration deadline will be January 31st.
  • Each team can participate in either or both categories, Best Prediction and Most Creative.

Rules for the Best Prediction category

  • The problem is to predict S&P500 daily returns and implement a market timing strategy that buys and sells the index automatically based on the prediction model.
  • The target variable to be predicted is “R” which is 1 (trading) day forward ERP of the S&P500 adjusted for dividends.
  • Participants can use any variables in the data file provided by Hull Tactical as predictors as well as are welcome to invent new innovative variables.
  • Participants must pass Qualification Phase to move to Live Competition.
  • Qualification Phase starts on January 10 and ends on March 6th. Official certificates will be awarded for successful completion of the Qualification Phase.
  • To pass Qualification Phase, participants should submit their best prediction model (i.e., data sets and codes) for out-of-sample tests by March 6th. The rules to pass qualification phase is here .
  • Live Competition will begin in early March and end in May. The rules of live contest is here .
  • Each team starts with (virtual) $10,000.
  • Participants should determine their position before each trading day begins. Live scores will be updated on Leaderboard at the end of each trading day.
  • The team with a highest balance at the last trading day will be the winner of Best Prediction category.
  • No short positions (borrowings) are allowed.
  • Prediction models will be made public under a free software license.

Rules for the Most Creative category

  • The problem is to come up with a novel analysis of the market timing problem.
  • Examples could include an explanation of some market phenomena, an insightful analysis of a strategy, an interesting visualization, discovering nonlinear relationships in the variables, etc.
  • A typewritten proposal must be submitted by March 6th.
  • Qualifying teams will be granted directed research course units and should finish their final typewritten reports by May.
  • Submitted reports will be carefully read and judged by a panel of experts consisting of UCSB faculty and Hull Tactical professionals.