Write a quantitative trading system using Quantiacs’ toolbox and futures data.
Submit your system before 11:59pm on September 30th, 2015 to compete for total investments of $2,250,000.00.
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
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.