Quantitative trading competition Q4, Guaranteed investments of $2,250,000

JOIN Q4


Make money with your trading algorithms. The best ones get investments of $500,000.00$750,000.00 and $1,000,000.00 and you pocket half of the performance fees. All trading algorithms that were submitted before January 1st 2016 are now simulated with live data until end of March.




PHASES

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

 

Entry Period

Submit your system before 11:59pm on December 31st, 2015 to compete for total investments of $2,250,000.00.

Live Period

All submissions will be simulated with live market data from January 1st , 2016 until March 31st , 2016. The three best Trading Systems get guaranteed investments of $500,000.00, $750,000.00, and $1,000,000.00.

 

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 10 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.
  • Use a maximum lookback of 2520 trading days.

RANKING

Backtest

Live Test Jan. 2016 to March 31 2016

Rank
Name
Score
Upload Date
Trading System
Yearly Perf.
TradingDays
Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance
TradingDays
Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 26
 
mwhc
 
Q4 contest
0.71
12/31/2015 13:01
TS13201512312102
6.52%
9.25%
0.71
1.13
15.36%
670
9.42%
1.80
0.92
 Rank: 27
 
Jenia
 
Q4 contest
0.69
12/31/2015 18:27
SomeCourage
15.10%
3.15%
5.28
9.66
0.53%
675
3.31%
0.69
0.10
 Rank: 28
 
Jenia
 
Q4 contest
0.67
12/31/2015 20:20
GeneticEnhancement
14.68%
3.11%
5.20
9.50
0.23%
670
3.26%
0.67
0.04
 Rank: 29
 
mwhc
 
Q4 contest
0.66
12/31/2015 13:03
TS13201512312103
7.86%
12.40%
0.66
1.03
9.73%
670
12.38%
0.70
0.46
 Rank: 30
 
s_poramet
 
Q4 contest
0.64
12/27/2015 08:40
PSTS_Q4_2015_CorrBased
9.17%
13.67%
0.64
1.11
31.48%
675
11.98%
1.24
1.55
 Rank: 31
 
s_poramet
 
Q4 contest
0.51
12/27/2015 07:59
PSTS_Q4_2015_CorrBased
8.66%
16.07%
0.51
0.89
32.04%
670
14.11%
2.19
1.30
 Rank: 32
 
QuantumCat
 
Q4 contest
0.40
12/29/2015 23:22
NewB2
11.18%
3.14%
3.84
6.54
0.58%
670
2.76%
0.40
0.13
 Rank: 33
 
QuantumCat
 
Q4 contest
0.35
12/29/2015 11:44
NewB1
18.31%
6.03%
3.32
5.58
2.36%
675
6.19%
0.35
0.24
 Rank: 34
 
Evolution71
 
Q4 contest
0.29
12/30/2015 01:11
VolatilityTiming_C
6.66%
6.19%
1.18
1.80
-3.06%
670
5.17%
0.29
-0.36
 Rank: 35
 
Yelsa
 
Q4 contest
0.27
11/24/2015 21:37
test
7.00%
14.45%
0.49
0.77
10.15%
662
9.85%
0.27
0.57
 Rank: 36
 
Evolution71
 
Q4 contest
0.25
12/15/2015 09:04
SystemM201512151704
8.35%
6.85%
1.33
2.03
-4.13%
670
5.58%
0.25
-0.46
 Rank: 37
 
yukifushimi
 
Q4 contest
0.24
10/23/2015 03:59
simple
2.29%
8.34%
0.24
0.43
13.13%
584
7.21%
0.84
1.32
 Rank: 38
 
yukifushimi
 
Q4 contest
0.24
10/23/2015 08:35
simpleTS
2.17%
8.32%
0.24
0.41
10.36%
669
7.12%
0.84
0.90
 Rank: 39
 
sanyaade
 
Q4 contest
0.23
10/03/2015 14:52
simpleTS
1.83%
7.27%
0.23
0.39
7.93%
670
6.23%
0.23
0.78
 Rank: 40
 
administrator
 
Q4 contest
0.23
12/07/2015 14:02
trendfollowing201512071402
2.76%
11.67%
0.23
0.38
8.60%
662
9.46%
2.80
0.55
 Rank: 41
 
Evolution71
 
Q4 contest
0.20
12/27/2015 15:38
KitchenSink_II201512272338
6.44%
5.94%
1.18
1.79
-2.90%
670
4.46%
0.20
-0.38
 Rank: 42
 
costargc
 
Q4 contest
0.15
12/30/2015 19:50
newts_2201512310150
1.64%
11.64%
0.15
0.22
2.14%
662
9.38%
1.90
0.14
 Rank: 43
 
sfoerster
 
Q4 contest
0.08
12/17/2015 10:42
sfMeans1
0.46%
7.51%
0.08
0.10
-3.15%
670
5.99%
2.99
-0.34
 Rank: 44
 
sfoerster
 
Q4 contest
0.00
12/17/2015 10:53
sfBollinger1
-100.00%
-%
-
-
0.00%
670
-%
0.00
-
 Rank: 45
 
DrKodiak
 
Q4 contest
0.00
12/23/2015 12:32
F_ES_neural201512231432
0.00%
-%
-
-
0.00%
1
0.00%
0.00
-
 Rank: 46
 
DrKodiak
 
Q4 contest
0.00
12/23/2015 12:56
F_ES_neural2201512231455
0.00%
-%
-
-
0.00%
1
0.00%
0.00
-
 Rank: 47
 
DrKodiak
 
Q4 contest
0.00
12/23/2015 13:12
F_ES_neural3201512231511
0.00%
-%
-
-
0.00%
1
0.00%
0.00
-
 Rank: 48
 
kat
 
Q4 contest
0.00
12/28/2015 00:21
storm
0.00%
-%
-
-
0.00%
1
0.00%
0.00
-
 Rank: 49
 
kat
 
Q4 contest
0.00
12/28/2015 16:16
hawkeye
0.00%
-%
-
-
0.00%
1
0.00%
0.00
-
 Rank: 50
 
kat
 
Q4 contest
0.00
12/28/2015 16:59
Magneto
0.00%
-%
-
-
0.00%
1
0.00%
0.00
-