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

CLOSED




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. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 76
 
yishuwei
 
Q4 contest
-0.20
12/30/2015 09:22
Gravestein
-0.04%
0.16%
-0.20
-0.33
-0.12%
0.05%
2.81
-1.16
 Rank: 77
 
yishuwei
 
Q4 contest
-0.20
12/31/2015 04:43
Nellestein
-0.03%
0.14%
-0.20
-0.34
-0.12%
0.05%
2.78
-1.16
 Rank: 78
 
udaykrizna
 
Q4 contest
-0.24
12/31/2015 22:02
Uday
-3.15%
25.12%
-0.24
-0.21
106.78%
21.11%
0.87
3.00
 Rank: 79
 
jaip217
 
Q4 contest
-0.24
12/03/2015 15:24
meanReversion
-3.15%
25.12%
-0.24
-0.21
106.78%
21.11%
0.87
3.00
 Rank: 80
 
Evolution71
 
Q4 contest
-0.25
12/16/2015 15:52
MomentumParityII201512162358
4.27%
2.92%
1.58
2.47
-2.40%
1.92%
-0.25
-0.77
 Rank: 81
 
Evolution71
 
Q4 contest
-0.25
12/18/2015 08:39
KitchenSink201512181639
5.40%
5.54%
1.08
1.60
-5.15%
4.36%
-0.25
-0.72
 Rank: 82
 
WestonMizumoto
 
Q4 contest
-0.41
12/15/2015 15:50
meanReversion
-8.54%
26.67%
-0.41
-0.52
70.51%
23.20%
0.98
2.08
 Rank: 83
 
Dr_Manhattan
 
Q4 contest
-0.41
12/04/2015 08:42
MeanR_Test
-8.28%
26.58%
-0.41
-0.50
79.70%
22.47%
0.98
2.04
 Rank: 84
 
theme
 
Q4 contest
-0.41
12/06/2015 16:21
Quantiacs Mean Reversion Trading System Example
-8.28%
26.58%
-0.41
-0.50
79.70%
22.47%
0.98
2.04
 Rank: 85
 
baludjan
 
Q4 contest
-0.42
11/30/2015 03:03
mrtest
-8.75%
26.58%
-0.42
-0.53
77.65%
22.39%
1.02
1.99
 Rank: 86
 
ginopilotino
 
Q4 contest
-0.42
10/04/2015 05:40
meanreversion201510041440
-8.72%
26.59%
-0.42
-0.53
79.22%
22.47%
1.02
2.03
 Rank: 87
 
Evolution71
 
Q4 contest
-0.43
12/16/2015 03:37
MomentumParity201512161137
4.10%
2.88%
1.54
2.40
-2.67%
1.92%
-0.43
-0.85
 Rank: 88
 
Anthony FJ Garner
 
Q4 contest
-0.44
12/24/2015 02:20
Anthony Garner
2.30%
5.92%
0.44
0.62
-3.77%
4.71%
-0.44
-0.54
 Rank: 89
 
Evolution71
 
Q4 contest
-0.45
12/28/2015 22:12
SystemTF
8.22%
8.07%
1.11
1.68
-1.54%
7.17%
-0.45
-0.13
 Rank: 90
 
QuantumCat
 
Q4 contest
-0.45
10/03/2015 21:53
trendfollowing201510041253
2.26%
5.90%
0.44
0.61
-4.81%
4.57%
-0.45
-0.63
 Rank: 91
 
sheboygan
 
Q4 contest
-0.45
10/03/2015 17:17
trendfollowing201510031917
2.26%
5.90%
0.44
0.61
-4.63%
4.57%
-0.45
-0.60
 Rank: 92
 
baludjan
 
Q4 contest
-0.45
11/30/2015 03:00
testtrend
2.26%
5.90%
0.44
0.61
-4.81%
4.57%
-0.45
-0.63
 Rank: 93
 
iqsoftware
 
Q4 contest
-0.45
12/08/2015 05:10
trendfollowing201512081510
2.26%
5.90%
0.44
0.61
-4.81%
4.57%
-0.45
-0.63
 Rank: 94
 
tradx2
 
Q4 contest
-0.45
12/31/2015 05:30
newtradx201512311331
2.26%
5.90%
0.44
0.61
-4.63%
4.57%
-0.45
-0.60
 Rank: 95
 
QuantumCat
 
Q4 contest
-0.45
12/29/2015 23:06
tredfolw
2.26%
5.90%
0.44
0.61
-4.81%
4.57%
-0.45
-0.63
 Rank: 96
 
DrKodiak
 
Q4 contest
-0.46
12/31/2015 09:38
TurnThoseMachinesBackOn201512311139
73.28%
32.67%
2.48
4.14
81.01%
38.03%
-0.46
1.22
 Rank: 97
 
s_poramet
 
Q4 contest
-0.65
12/31/2015 17:20
PSTS_Q4_2015_MomentumBiased2
-0.22%
0.34%
-0.65
-0.79
-0.46%
0.38%
1.68
-0.65
 Rank: 98
 
kat
 
Q4 contest
-0.67
12/22/2015 17:58
rsisample
2.70%
4.80%
0.71
0.88
-11.95%
5.08%
-0.67
-1.54
 Rank: 99
 
sfoerster
 
Non deterministic
Q4 contest
-0.71
12/17/2015 20:10
sfQlearner1
-1.97%
2.73%
-0.71
-1.02
No data yet!
 Rank: 100
 
Evolution71
 
Q4 contest
-0.85
12/29/2015 05:17
VolatilityTiming_SR
4.02%
3.12%
1.39
2.18
-2.30%
2.15%
-0.85
-0.66