Quantitative trading competition Q12, Guaranteed investments of $2,250,000

CLOSED
The biggest algorithmic trading competition
The best 3 algorithms get guaranteed investments of:
$1,000,000  |  $750,000  |  $500,000
You pocket half of the performance fees as long as your algo performs.
Submit your trading algorithm before January 1 2019
HOW IT WORKS
OBJECTIVE
Write a trading algorithm on futures and submit it to the Quantiacs platform before the deadline. Your code remains a black box and you always keep the IP. Use Quantiacs’ free futures data and the free and open source back testing toolbox.
 
TIME LINE
There are two main phases in the competition: The submission period and the live simulation period.
Deadline for trading algorithm submissions:   12/31/2018 (11:59:59PM PST)

Once your trading algorithm is uploaded you cannot change it but you can submit new versions of it (up to 10 submissions per day). All submitted trading algorithms will be simulated for 4 months with live market data.
Live simulation period:   01/01/2019 – 4/30/2019 (11:59:59PM PST)
 
SCORING
Your final score is the lower of your Sharpe Ratio of your backtest and the Sharpe Ratio of the live simulation (Min[Sharpe Ratio backtest, Sharpe Ratio live]). If you submit several trading systems we will take the one with the highest score. We will announce the winners beginning of June 2019. The three best algorithmic trading systems get guaranteed investments of $500,000, $750,000, and $1,000,000.

IMPORTANT
To score in the competition your trading algorithm:
• Trades futures (you can use stocks in your indicators)
• Evaluates in less than 30 minutes on our servers (rule of thumb)
• Returns the same result if it is run twice (deterministic)
• Does not use ex post common knowledge (e.g. ‘don’t trade in 2000 and 2008’)
• Uses a maximum lookback of 2520 trading days
 
For a detailed collection of all rules please see the official rules.
 
RANKING

Backtest

Live Test January 2019 to April 30 2019

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 376
 
KOBAS
 
Q12 contest
0.68
12/12/2018 14:26
181212OR0S0FKJJ9
11.08%
7.86%
1.37
2.34
1.88% 0.00%
0.68
1.11
 Rank: 377
 
KOBAS
 
Q12 contest
0.65
10/20/2018 01:45
1810110QKXX53
6.86%
4.72%
1.48
2.52
0.83% 0.00%
0.65
1.14
 Rank: 378
 
KOBAS
 
Q12 contest
0.65
12/17/2018 01:28
181213OR0S0F50KJJ1
9.52%
9.19%
1.03
1.62
1.43% 0.00%
0.65
1.09
 Rank: 379
 
s_poramet
 
Q12 contest
0.63
12/27/2018 00:51
LvlA
172.49%
10.14%
17.47
49.22
1.24% 0.00%
0.63
1.12
 Rank: 380
 
similo
 
Q12 contest
0.63
12/26/2018 09:09
trendfollowing V3
2.50%
3.71%
0.63
1.09
3.45% 0.00%
5.28
11.63
 Rank: 381
 
mwalimudan
 
Q12 contest
0.63
12/22/2018 10:14
CongenitalLoonie
21.12%
14.16%
1.58
2.54
1.80% 0.00%
0.63
0.99
 Rank: 382
 
dm7
 
Q12 contest
0.61
10/04/2018 04:20
tsq1215cb8920b22c4871aa338ef66f7dec24
22.09%
5.81%
4.15
7.27
1.10% 0.00%
0.61
0.93
 Rank: 383
 
gkouro
 
Q12 contest
0.61
12/07/2018 08:05
trading_with_svm
2.68%
5.27%
0.61
0.75
4.61% 0.00%
3.77
6.39
 Rank: 384
 
KOBAS
 
Q12 contest
0.60
12/21/2018 04:07
181220OR0S0F10KJJ12
3.72%
11.53%
1.02
1.48
3.39% 0.00%
0.60
0.94
 Rank: 385
 
durasm
 
Q12 contest
0.59
07/12/2018 00:23
Q8_MM_Single_Dynamic_v1
117.06%
12.67%
10.24
20.28
1.19% 0.00%
0.59
1.22
 Rank: 386
 
Sun73
 
Q12 contest
0.58
11/16/2018 08:44
sun73_v6e_r0p5s5_rev6
61.71%
11.19%
5.50
15.66
0.67% 0.00%
0.58
0.93
 Rank: 387
 
mwalimudan
 
Q12 contest
0.57
10/24/2018 02:58
TableForFivePlease
26.76%
20.96%
1.35
1.99
4.36% 0.00%
0.57
0.88
 Rank: 388
 
similo
 
Q12 contest
0.57
12/26/2018 08:42
trendfollowing V3
2.86%
4.93%
0.57
0.93
4.37% 0.00%
4.74
9.80
 Rank: 389
 
KOBAS
 
Q12 contest
0.57
10/17/2018 09:31
1810110QKXX26
8.16%
9.86%
1.73
2.38
1.66% 0.00%
0.57
1.04
 Rank: 390
 
KOBAS
 
Q12 contest
0.56
12/19/2018 15:27
1812200O0COMBKJJ2
8.52%
5.48%
1.51
2.51
1.05% 0.00%
0.56
1.01
 Rank: 391
 
KOBAS
 
Q12 contest
0.56
12/18/2018 09:07
1812180O0COMBKJJ9
9.33%
6.00%
1.52
2.50
1.07% 0.00%
0.56
1.00
 Rank: 392
 
mwalimudan
 
Q12 contest
0.54
10/31/2018 07:37
YouWinAgain
22.92%
17.12%
1.37
2.25
3.04% 0.00%
0.54
0.76
 Rank: 393
 
mwalimudan
 
Q12 contest
0.53
12/30/2018 10:47
VolatileBird
16.15%
18.92%
1.01
1.39
2.42% 0.00%
0.53
0.83
 Rank: 394
 
caner132
 
Q12 contest
0.53
11/21/2018 06:55
efso_model
3.20%
5.35%
0.53
1.00
2.46% 0.00%
2.64
5.04
 Rank: 395
 
KOBAS
 
Q12 contest
0.53
10/27/2018 00:19
1810230QKXX40
6.39%
14.51%
1.22
1.67
2.37% 0.00%
0.53
0.76
 Rank: 396
 
KOBAS
 
Q12 contest
0.52
10/19/2018 07:22
1810110QKXX47
9.55%
6.98%
1.44
2.20
0.88% 0.00%
0.52
0.92
 Rank: 397
 
KOBAS
 
Q12 contest
0.51
12/26/2018 13:43
181222OR0S0F3LKJJ17
6.75%
8.77%
1.42
2.17
1.04% 0.00%
0.51
0.87
 Rank: 398
 
KOBAS
 
Q12 contest
0.50
12/24/2018 14:50
181222OR0S0F3LKJJ10
6.24%
15.53%
1.33
1.66
1.87% 0.00%
0.50
0.81
 Rank: 399
 
KOBAS
 
Q12 contest
0.47
12/18/2018 09:05
1812180O0COMBKJJ7
10.82%
7.12%
1.52
2.50
1.01% 0.00%
0.47
0.84
 Rank: 400
 
yapierre
 
Q12 contest
0.47
08/26/2018 13:55
svm
1.95%
5.54%
0.47
0.54
3.51% 0.00%
3.37
6.24