Quantitative trading competition Q14
Guaranteed investments of $2,250,000

JOIN
Enter 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. 2021.
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:   12/31/2020 (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). Only the top 20 submissions, ranked according their in-sample Sharpe ratio between January 1, 2005 and December 31, 2020, will take part the the live evaluation phase and be eligible for an award. All submitted trading algorithms will be simulated for 4 months with live market data.

Live simulation period:   01/01/2021 – 04/31/2021 (11:59:59PM PST)

SCORING
Your final score is the lower of your Sharpe Ratio of your backtest, which starts on January 1, 2005, 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 at the beginning of May 2021. 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 all or a subset of liquid futures (you can use stocks in your indicators) as defined in the below list
• Have a live Sharpe Ratio that is no less than the backtest Sharpe ratio divided by two
• Evaluates in less than 30 minutes on our servers (rule of thumb)
• Returns the same result if it is run twice (deterministic)
• Have a backtest Sharpe Ratio greater than 1.0
• Does not use ex post common knowledge (e.g. ‘don’t trade in 2008 and 2009’)
• Uses a maximum lookback of 2520 trading days
 
For a detailed collection of all rules please see the official rules.
 
LIQUID FUTURES
 
For the purpose of the Q14 contest your system will be eligible for an award only if it trades all of a subset of the following 75 futures:
 
F_AD, F_BO, F_BP, F_C, F_CC, F_CD, F_CL, F_CT, F_DX, F_EC, F_ED, F_ES, F_FC, F_FV, F_GC, F_HG, F_HO, F_JY, F_KC, F_LB, F_LC, F_LN, F_MD, F_MP, F_NG, F_NQ, F_NR, F_O, F_OJ, F_PA, F_PL, F_RB, F_RU, F_S, F_SB, F_SF, F_SI, F_SM, F_TU, F_TY, F_US, F_W, F_XX, F_YM, F_AX, F_CA, F_DT, F_UB, F_UZ, F_GS, F_LX, F_SS, F_ZQ, F_VX, F_AE, F_BG, F_BC, F_DM, F_AH, F_CF, F_FB, F_FP, F_FY, F_GX, F_LR, F_ND, F_NY, F_RR, F_RF, F_RP, F_RY, F_SX, F_TR, F_EB, F_F
 
Please see  www.quantiacs.com/For-Quants/Markets.aspx for definitions. Other markets available at  www.quantiacs.com/For-Quants/Markets.aspx can be used (for example) as external indicators. However, a system which trades other markets will not be eligible for an award.

RANKING

Backtest

Live Test January 2021 to April 30 2021

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank:
 
Sun73
 
Q14 contest liquid
-2.87
12/18/2020 20:51
sun73_q14_v13_7
178.73%
14.73%
11.62
25.05
-2.44% 18.82%
-2.87
-3.64
 Rank:
 
Sun73
 
Q14 contest liquid
-2.89
12/18/2020 20:50
sun73_q14_v13_5
121.29%
14.74%
7.91
15.92
-2.53% 19.20%
-2.89
-3.63
 Rank:
 
Bernardus
 
Q14 contest liquid
-2.93
12/05/2020 19:35
rsiExample
0.22%
0.26%
0.83
1.65
-0.01% 0.09%
-2.93
-3.99
 Rank:
 
mhiro@umich.edu
 
Q14 contest liquid
-3.15
12/25/2020 02:58
NASVI_model
4.09%
12.80%
0.32
0.58
-1.26% 8.70%
-3.15
-4.57
 Rank:
 
Sun73
 
Q14 contest liquid
-3.19
12/19/2020 16:00
sun73_q14_v14_6
146.36%
16.38%
8.58
18.81
-3.22% 20.20%
-3.19
-3.96
 Rank:
 
vsujith
 
Q14 contest liquid
-3.22
12/31/2020 16:05
1420Garfield
15.79%
6.63%
2.32
4.31
-0.68% 4.93%
-3.22
-5.06
 Rank:
 
Sun73
 
Q14 contest liquid
-3.23
12/19/2020 16:01
sun73_q14_v14_8
218.34%
16.51%
12.63
29.67
-3.28% 20.15%
-3.23
-4.02
 Rank:
 
Sun73
 
Q14 contest liquid
-3.27
12/19/2020 16:00
sun73_q14_v14_7
177.99%
16.40%
10.39
23.53
-3.42% 20.40%
-3.27
-4.06
 Rank:
 
Sun73
 
Q14 contest liquid
-3.47
12/18/2020 20:51
sun73_q14_v13_8
219.20%
14.85%
14.11
31.73
-3.62% 17.44%
-3.47
-4.32
 Rank:
 
dm7
 
Q14 contest liquid
-3.57
10/24/2020 13:36
tsq14e91e79b2fd37402ab4d5af9dece99455
28.44%
10.61%
2.60
4.76
-0.97% 6.10%
-3.57
-4.47
 Rank:
 
Sun73
 
Q14 contest liquid
-3.60
12/24/2020 12:57
sun73_q14_v16_5
121.67%
13.91%
8.41
17.10
-4.22% 20.65%
-3.60
-4.76
 Rank:
 
Sun73
 
Q14 contest liquid
-3.61
12/24/2020 12:58
sun73_q14_v16_6
147.49%
13.87%
10.21
21.56
-4.04% 20.12%
-3.61
-4.84
 Rank:
 
Sun73
 
Q14 contest liquid
-3.62
12/24/2020 12:58
sun73_q14_v16_7
179.25%
13.88%
12.37
27.27
-4.04% 20.10%
-3.62
-4.84
 Rank:
 
durasm
 
Q14 contest liquid
-3.62
12/31/2020 09:47
Q14_Bounce
21.45%
15.49%
1.36
2.26
-7.51% 23.74%
-3.62
-4.04
 Rank:
 
durasm
 
Q14 contest liquid
-3.65
12/31/2020 16:00
Q14_Bounce_GA
28.38%
15.32%
1.81
3.17
-7.48% 23.52%
-3.65
-3.95
 Rank:
 
Sun73
 
Q14 contest liquid
-3.74
12/18/2020 20:51
sun73_q14_v13_6
147.08%
14.71%
9.60
19.95
-3.27% 18.67%
-3.74
-4.48
 Rank:
 
Sun73
 
Q14 contest liquid
-3.80
12/25/2020 21:33
sun73_q14_v17_5
121.16%
15.47%
7.53
16.04
-5.34% 21.65%
-3.80
-5.08
 Rank:
 
Sun73
 
Q14 contest liquid
-3.80
12/25/2020 21:34
sun73_q14_v17_6
146.93%
15.43%
9.14
20.13
-5.34% 21.65%
-3.80
-5.08
 Rank:
 
Sun73
 
Q14 contest liquid
-3.80
12/25/2020 21:34
sun73_q14_v17_7
178.65%
15.45%
11.08
25.31
-5.27% 21.52%
-3.80
-5.09
 Rank:
 
algonell
 
Q14 contest liquid
-4.07
10/05/2019 09:30
310
2.20%
11.73%
0.18
0.27
-1.33% 7.66%
-4.07
-4.12
 Rank:
 
algonell
 
Q14 contest liquid
-4.07
10/21/2019 02:43
AlgonellQ13
2.20%
11.73%
0.18
0.27
-1.33% 7.66%
-4.07
-4.12
 Rank:
 
Sun73
 
Q14 contest liquid
-4.09
12/23/2020 14:07
sun73_q14_v15_7
180.55%
15.97%
10.83
24.85
-7.28% 20.80%
-4.09
-5.21
 Rank:
 
Sun73
 
Q14 contest liquid
-4.09
12/23/2020 14:06
sun73_q14_v15_6
148.58%
15.96%
8.94
19.81
-7.28% 20.80%
-4.09
-5.21
 Rank:
 
Sun73
 
Q14 contest liquid
-4.09
12/23/2020 14:07
sun73_q14_v15_8
221.34%
16.07%
13.16
31.42
-7.28% 20.80%
-4.09
-5.21
 Rank:
 
durasm
 
Q14 contest liquid
-4.15
12/29/2020 17:18
Q14_Oldie_Strip
11.88%
7.22%
1.61
3.56
-5.93% 18.93%
-4.15
-5.23