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
-4.16
12/24/2020 12:59
sun73_q14_v16_8
219.80%
13.99%
15.01
34.81
-6.19% 19.24%
-4.16
-5.40
 Rank:
 
mwalimudan
 
Q14 contest liquid
-4.22
11/02/2019 06:47
RC81Q141
7.65%
7.92%
0.97
1.54
-0.30% 1.88%
-4.22
-6.61
 Rank:
 
mwalimudan
 
Q14 contest liquid
-4.26
12/31/2020 21:01
RC81Hog
7.78%
7.92%
0.98
1.56
-0.30% 1.87%
-4.26
-6.64
 Rank:
 
vsujith
 
Q14 contest liquid
-4.27
12/27/2020 18:12
1417Johnson
14.55%
6.92%
2.05
3.78
-0.85% 4.52%
-4.27
-6.20
 Rank:
 
Sun73
 
Q14 contest liquid
-4.32
12/25/2020 21:35
sun73_q14_v17_8
219.14%
15.55%
13.47
32.11
-7.74% 20.12%
-4.32
-5.69
 Rank:
 
dm7
 
Q14 contest liquid
-4.38
10/24/2020 13:49
tsq1493803036f8cb44cdbfba6a8f8a8db77f
22.94%
8.33%
2.67
4.81
-0.94% 4.83%
-4.38
-5.63
 Rank:
 
durasm
 
Q14 contest liquid
-4.41
12/30/2020 10:15
Q14_Oldie_Strip
26.80%
11.65%
2.25
4.89
-5.30% 16.93%
-4.41
-5.52
 Rank:
 
vsujith
 
Q14 contest liquid
-4.42
12/24/2020 17:12
1415Buchanan
12.82%
6.16%
2.03
3.57
-0.55% 2.94%
-4.42
-7.40
 Rank:
 
durasm
 
Q14 contest liquid
-4.47
12/30/2020 14:17
Q14_Oldie_GA
23.62%
12.03%
1.92
3.91
-3.91% 14.17%
-4.47
-5.73
 Rank:
 
Timeroot
 
Q14 contest liquid
-4.75
03/24/2020 20:57
solipsistVelleity
24.77%
3.55%
6.83
14.54
-0.91% 3.96%
-4.75
-6.33
 Rank:
 
durasm
 
Q14 contest liquid
-5.00
12/29/2020 16:37
Q14_Oldie
29.07%
12.88%
2.21
4.51
-4.82% 16.63%
-5.00
-5.82
 Rank:
 
Marw001
 
Q14 contest liquid
-5.01
11/10/2020 16:22
Orange123
0.35%
0.22%
1.56
3.19
-0.02% 0.09%
-5.01
-6.56
 Rank:
 
antinomy
 
Q14 contest liquid
-5.23
10/12/2020 19:53
inout2
16.96%
11.03%
1.52
2.54
-2.12% 7.98%
-5.23
-7.16
 Rank:
 
dm7
 
Q14 contest liquid
-5.78
10/24/2020 01:02
tsq1455304314e02c4f718b2b2aaf34038021
79.43%
20.62%
3.72
6.79
-3.64% 10.50%
-5.78
-7.04
 Rank:
 
algonell
 
Q14 contest liquid
-5.78
11/15/2020 13:26
Q14
0.93%
1.27%
0.74
1.25
-0.10% 0.49%
-5.78
-7.97
 Rank:
 
lalopey
 
Q14 contest liquid
-5.80
02/08/2020 08:06
season2_ep
15.80%
7.32%
2.16
3.54
-2.18% 7.95%
-5.80
-6.82
 Rank:
 
lalopey
 
Q14 contest liquid
-5.86
02/15/2020 21:20
season2_ep
17.79%
7.02%
2.53
4.40
-3.67% 11.09%
-5.86
-7.30
 Rank:
 
vsujith
 
Q14 contest liquid
-5.98
12/20/2020 17:48
1413Fillmore
14.46%
6.64%
2.12
3.87
-0.87% 3.32%
-5.98
-7.85
 Rank:
 
lalopey
 
Q14 contest liquid
-6.30
02/15/2020 21:10
se_pr_nb_v1
23.22%
8.79%
2.64
4.79
-3.01% 9.12%
-6.30
-7.50
 Rank:
 
lalopey
 
Q14 contest liquid
-6.30
02/15/2020 21:31
seas_pres_nb_release
23.40%
8.79%
2.66
4.83
-3.01% 9.12%
-6.30
-7.50
 Rank:
 
lalopey
 
Q14 contest liquid
-6.67
02/15/2020 21:11
se_pr_v1
19.59%
7.33%
2.67
4.82
-2.62% 7.86%
-6.67
-8.17
 Rank:
 
dm7
 
Q14 contest liquid
-8.90
10/24/2020 00:31
tsq14e638b170ddd84307ae33c3a149543946
27.49%
10.36%
2.58
4.53
-0.91% 3.15%
-8.90
-11.01
 Rank:
 
haggai
 
Q14 contest liquid
-15.14
11/29/2020 21:48
h-run1
-19.14%
5.63%
-3.32
-4.56
-2.40% 3.02%
-15.14
-15.14