Q3 Competition

Guaranteed investments of $2,250,000.00

Develop a trading algorithm in Matlab or Python.
Submit your trading system before October 1st 2015 and win guaranteed investments of $500,000.00$750,000.00 and $1,000,000.00

PHASES

Write a quantitative trading system using Quantiacs’ toolbox and futures data.

 

Entry Period

Submit your system before 11:59pm on September 30th, 2015 to compete for total investments of $2,250,000.00.

Live Period

All submissions will be simulated with live market data from October 1st , 2015 until December 31st , 2015. The three best Trading Systems get guaranteed investments of $500,000.00, $750,000.00, and $1,000,000.00.

Cash for Early Birds

The first 30 participants who submit their trading system before September 1st, 2015 get $100 times their Sharpe Ratio.

 

For a detailed collection of all rules please see the official rules.

SCORING

Your overall score in the competition is the single trading system with your highest overall score, which computes as

Min(Sharpe Ratio_backtest, Sharpe Ratio_live)

To score your trading system must
  • Evaluate in less than 5 minutes on our servers
  • Return the same result if it is run twice
  • Not use ex post common knowledge, like for example don’t trade in 2008.
  • Not use a larger lookback window than 2000 trading days.

RANKING

Backtest

Since October 1st 2015

Rank
Name
Score
Upload Date
Trading System
Yearly Perf.
TradingDays
Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance
TradingDays
Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 1
 
Jenia
 
Trading Q3 contest
3.20
09/30/2015 16:48
Hovercars
17.44%
6580
3.20%
5.38
11.72
4.46%
415
3.66%
3.20
1.25
 Rank: 2
 
Phidias
 
Q3 contest
0.91
08/30/2015 10:45
pizzahut
3.95%
6506
4.67%
0.85
1.36
-2.91%
414
3.67%
0.93
-0.74
 Rank: 3
 
Timeroot
 
Q3 contest
0.83
08/19/2015 05:35
synechistGenetics
98.18%
6580
37.01%
2.61
4.84
-15.51%
415
26.95%
0.83
-0.61
 Rank: 4
 
sanjeev
 
Q3 contest
0.50
08/30/2015 17:43
SJ003
2.48%
6580
5.83%
0.42
0.67
-7.71%
416
5.53%
0.54
-1.34
 Rank: 5
 
administrator
 
Q3 contest
0.44
07/28/2015 14:50
trendfollowing3
0.10%
6521
0.21%
0.46
0.73
0.27%
414
0.17%
0.55
1.67
 Rank: 6
 
SergeLendich
 
Q3 contest
0.38
08/28/2015 23:14
tf
2.21%
6506
7.09%
0.31
0.51
-8.95%
414
6.02%
0.76
-1.44
 Rank: 7
 
mahantaratan
 
Q3 contest
0.38
09/13/2015 10:32
rmtrendfollowing
2.21%
6506
7.09%
0.31
0.51
-8.95%
414
6.02%
0.76
-1.44
 Rank: 8
 
arshin
 
Q3 contest
0.26
08/30/2015 18:26
HarmonyL
2.88%
6580
5.86%
0.49
0.78
-4.72%
415
5.26%
0.26
-0.87
 Rank: 9
 
Primrose
 
Q3 contest
0.13
08/07/2015 10:10
Prim_Test
1.78%
6506
11.76%
0.15
0.24
8.49%
414
10.79%
1.56
0.76
 Rank: 10
 
mathsam
 
Q3 contest
0.09
08/14/2015 10:09
firstblood
0.82%
6506
11.85%
0.07
0.10
-5.00%
414
4.17%
1.48
-0.80
 Rank: 11
 
ygnuidze
 
Q3 contest
0.00
09/29/2015 12:32
Low variance futures
0.49%
6574
0.73%
0.67
1.08
No data yet!
 Rank: 12
 
kunxue
 
Q3 contest
0.00
09/19/2015 00:08
test
3.70%
5876
5.06%
0.72
1.17
No data yet!
 Rank: 13
 
Modal
 
Q3 contest
-0.26
09/14/2015 05:20
modal1
-4.30%
6506
25.17%
-0.17
-0.28
69.41%
415
21.29%
-0.03
3.33
 Rank: 14
 
petchw
 
Q3 contest
-0.26
08/20/2015 15:53
test
-4.29%
6506
25.17%
-0.17
-0.28
69.75%
414
21.31%
-0.03
3.35
 Rank: 15
 
acontry
 
Q3 contest
-0.50
09/30/2015 23:59
svm_strat02re
-8.39%
6580
16.08%
-0.52
-0.81
-17.34%
415
16.36%
3.10
-1.01
 Rank: 16
 
mezofib
 
Q3 contest
-0.69
09/28/2015 14:52
First_System
1.80%
6506
3.70%
0.48
0.78
1.03%
414
3.60%
-0.69
0.30
 Rank: 17
 
vnredmon
 
Q3 contest
-0.70
08/19/2015 13:21
classic
2.37%
6580
5.97%
0.39
0.64
-4.28%
415
5.29%
-0.70
-0.79
 Rank: 18
 
optcoretech
 
Q3 contest
-0.72
08/20/2015 00:00
trading_system
-2.91%
6506
7.53%
-0.39
-0.59
1.27%
415
6.39%
-0.72
0.21
 Rank: 19
 
Incognition
 
Q3 contest Earlybird
-1.83
08/26/2015 15:45
nnTS_FVretrainEmbedV4
0.94%
6530
3.23%
0.29
0.45
0.19%
416
2.86%
-1.83
0.07
 Rank: 20
 
forseti
 
Q3 contest
-1.83
09/29/2015 16:51
simpleTS
2.16%
6506
8.40%
0.26
0.40
3.31%
414
7.86%
-1.83
0.44
 Rank: 21
 
emile65432
 
Q3 contest
-2.01
09/29/2015 23:00
forerunner_1
3.83%
6580
7.04%
0.54
0.86
-0.94%
415
6.01%
-2.01
-0.16
 Rank: 22
 
405933323
 
Q3 contest
-2.56
09/19/2015 22:01
threelines201509201302
4.19%
6580
8.25%
0.50
0.81
-4.93%
415
7.70%
-2.56
-0.65
 Rank: 23
 
AndreEsteva
 
Q3 contest
-4.01
09/19/2015 16:19
test_submission_momentum
2.32%
6580
7.27%
0.32
0.51
-5.65%
416
6.35%
-4.01
-0.88