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: 426
 
KOBAS
 
Q12 contest
0.36
12/23/2018 11:28
181222OR0S0F3LKJJ2
7.09%
10.18%
1.38
1.84
1.08% 0.00%
0.36
0.67
 Rank: 427
 
KOBAS
 
Q12 contest
0.35
10/24/2018 06:13
1810230QKXX11
9.99%
5.65%
1.76
3.07
0.79% 0.00%
0.35
0.62
 Rank: 428
 
dc975
 
Q12 contest
0.35
12/19/2018 02:01
BlankTradingStrategy201812191101
2.56%
9.05%
0.35
0.41
10.85% 0.00%
4.90
9.13
 Rank: 429
 
KOBAS
 
Q12 contest
0.34
12/26/2018 13:45
181222OR0S0F3LKJJ18
6.80%
16.09%
1.38
1.75
1.30% 0.00%
0.34
0.56
 Rank: 430
 
yashhsm
 
Q12 contest
0.32
08/18/2018 11:43
BlankTradingStrategy20188190013
1.27%
5.94%
0.32
0.31
4.06% 0.00%
2.96
5.41
 Rank: 431
 
librepy
 
Q12 contest
0.32
08/31/2018 18:10
LinearRegression
6.33%
24.03%
0.32
0.40
4.06% 0.00%
0.45
0.82
 Rank: 432
 
algonell
 
Q12 contest
0.32
09/10/2018 12:31
Algonell Volatility
1.93%
37.09%
0.32
0.13
29.45% 0.00%
4.65
7.69
 Rank: 433
 
KOBAS
 
Q12 contest
0.32
12/18/2018 09:02
1812180O0COMBKJJ6
8.10%
7.46%
1.50
2.42
0.55% 0.00%
0.32
0.55
 Rank: 434
 
Eric Hamer
 
Q12 contest
0.32
08/23/2018 17:56
buy_and_hold
1.27%
5.98%
0.32
0.31
4.06% 0.00%
2.96
5.41
 Rank: 435
 
mwalimudan
 
Q12 contest
0.32
12/28/2018 10:09
BananaSplit
14.23%
12.04%
1.32
1.93
1.17% 0.00%
0.32
0.47
 Rank: 436
 
Eric Hamer
 
Q12 contest
0.31
12/05/2018 14:25
new_test
1.27%
5.87%
0.31
0.31
4.02% 0.00%
2.95
5.39
 Rank: 437
 
emmarfan
 
Q12 contest
0.31
11/03/2018 07:34
TrendFollowing201811032234195
1.23%
5.99%
0.31
0.30
4.04% 0.00%
2.90
5.30
 Rank: 438
 
KOBAS
 
Q12 contest
0.31
12/28/2018 14:38
181228OR0S0F20HLKJJ3
4.94%
3.61%
1.34
2.17
0.25% 0.00%
0.31
0.56
 Rank: 439
 
dm7
 
Q12 contest
0.28
10/04/2018 03:07
tsq12818081643f67450abacc909a022c59f4
91.83%
21.75%
4.97
8.03
2.23% 0.00%
0.28
0.43
 Rank: 440
 
dm7
 
Q12 contest
0.28
10/01/2018 05:51
tsq12818081643f67450abacc909a022c59f4
91.98%
21.80%
4.96
7.99
2.23% 0.00%
0.28
0.43
 Rank: 441
 
dm7
 
Q12 contest
0.28
09/28/2018 10:01
tsq12818081643f67450abacc909a022c59f4
92.24%
22.00%
4.92
8.02
2.23% 0.00%
0.28
0.43
 Rank: 442
 
Sun73
 
Q12 contest
0.28
11/14/2018 11:56
sun73_v6e_r0p5s5_rev2
46.89%
5.50%
8.60
24.56
0.30% 0.00%
0.28
0.45
 Rank: 443
 
GNQuant
 
Q12 contest
0.26
07/09/2018 14:20
test1
1.18%
7.37%
0.26
0.24
3.40% 0.00%
2.01
3.62
 Rank: 444
 
skybird8
 
Q12 contest
0.25
07/13/2018 17:17
newts201807132018
1.16%
7.37%
0.25
0.24
3.40% 0.00%
2.01
3.62
 Rank: 445
 
gustavfjorder
 
Q12 contest
0.25
09/29/2018 16:23
GustavSystem
1.17%
7.37%
0.25
0.24
3.40% 0.00%
2.01
3.61
 Rank: 446
 
KOBAS
 
Q12 contest
0.24
11/07/2018 13:57
1810230QKXX77
3.44%
8.13%
1.30
1.73
0.50% 0.00%
0.24
0.39
 Rank: 447
 
KOBAS
 
Q12 contest
0.24
12/17/2018 05:47
181211OR0S0FKJJ1
7.11%
6.86%
1.04
1.64
0.58% 0.00%
0.24
0.33
 Rank: 448
 
kufashi
 
Q12 contest
0.24
08/16/2018 14:39
trendFollowing
0.81%
5.79%
0.24
0.21
2.42% 0.00%
1.70
3.21
 Rank: 449
 
dc975
 
Q12 contest
0.23
12/16/2018 04:10
simpleTS
1.17%
7.37%
0.23
0.24
3.40% 0.00%
2.01
3.61
 Rank: 450
 
emmarfan
 
Q12 contest
0.22
11/29/2018 01:37
l15s15
1.12%
8.68%
0.22
0.19
5.94% 0.00%
3.00
5.52