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: 101
 
s_poramet
 
Q4 contest
-0.94
12/31/2015 09:49
PSTS_Q4_2015_Ensemble
-0.37%
0.38%
-0.94
-1.20
-1.27%
0.35%
-0.69
-1.56
 Rank: 102
 
s_poramet
 
Q4 contest
-0.95
12/31/2015 09:12
PSTS_Q4_2015_Ensemble
-0.38%
0.38%
-0.95
-1.22
-1.27%
0.35%
-0.69
-1.57
 Rank: 103
 
Funas
 
Q4 contest
-0.96
12/02/2015 04:45
test1
2.26%
5.81%
0.53
0.61
-15.56%
4.82%
-0.96
-1.91
 Rank: 104
 
s_poramet
 
Q4 contest
-0.96
12/27/2015 07:58
PSTS_Q4_2015_MomentumBiased
-0.59%
0.60%
-0.96
-1.15
-1.60%
0.58%
1.47
-1.35
 Rank: 105
 
QuantumCat
 
Q4 contest
-1.03
12/31/2015 18:21
John
15.13%
2.85%
5.85
11.14
-1.96%
2.79%
-1.03
-0.44
 Rank: 106
 
Jenia
 
Q4 contest
-1.10
12/31/2015 20:37
StarEngineering
15.00%
3.03%
5.58
9.74
-4.83%
3.30%
-1.10
-0.89
 Rank: 107
 
Timeroot
 
Q4 contest
-1.11
12/15/2015 20:45
speedySwag
16.15%
8.92%
2.07
3.13
-22.69%
7.10%
-1.11
-2.04
 Rank: 108
 
QuantumCat
 
Q4 contest
-1.14
12/30/2015 00:38
NewB4
14.11%
3.06%
5.01
10.02
1.04%
2.90%
-1.14
0.21
 Rank: 109
 
QuantumCat
 
Q4 contest
-1.14
12/30/2015 00:41
NewB4
14.11%
3.06%
5.01
10.02
1.04%
2.90%
-1.14
0.21
 Rank: 110
 
QuantumCat
 
Q4 contest
-1.14
12/30/2015 01:00
NewB5
14.11%
3.06%
5.01
10.02
1.04%
2.90%
-1.14
0.21
 Rank: 111
 
QuantumCat
 
Q4 contest
-1.14
12/30/2015 16:42
NewB6
14.11%
3.06%
5.01
10.02
1.04%
2.90%
-1.14
0.21
 Rank: 112
 
QuantumCat
 
Q4 contest
-1.14
12/30/2015 16:52
NewB6
14.11%
3.06%
5.01
10.02
1.04%
2.90%
-1.14
0.21
 Rank: 113
 
QuantumCat
 
Q4 contest
-1.14
12/30/2015 17:11
NewB7
14.11%
3.06%
5.01
10.02
1.04%
2.90%
-1.14
0.21
 Rank: 114
 
yishuwei
 
Q4 contest
-1.22
12/29/2015 14:19
GrandmasPension201512292319
-0.66%
0.64%
-1.04
-1.25
-0.64%
0.14%
-1.22
-1.85
 Rank: 115
 
wolf
 
Q4 contest
-1.25
12/20/2015 01:44
momentum example
0.77%
6.80%
0.15
0.17
-5.22%
5.73%
-1.25
-0.54
 Rank: 116
 
yishuwei
 
Q4 contest
-1.27
12/29/2015 16:35
SantaInsomnia201512300136
-0.66%
0.67%
-1.05
-1.21
0.12%
0.48%
-1.27
0.32
 Rank: 117
 
yishuwei
 
Q4 contest
-1.27
12/29/2015 16:46
VibratingString201512300147
-0.66%
0.68%
-1.05
-1.21
0.14%
0.49%
-1.27
0.38
 Rank: 118
 
yishuwei
 
Q4 contest
-1.27
12/29/2015 17:00
Fishermermaid201512300200
-0.69%
0.66%
-1.05
-1.26
-0.68%
0.15%
-1.27
-1.84
 Rank: 119
 
yishuwei
 
Q4 contest
-1.27
12/29/2015 17:06
EtherCandle201512300206
-0.69%
0.66%
-1.05
-1.26
-0.68%
0.15%
-1.27
-1.84
 Rank: 120
 
yishuwei
 
Q4 contest
-1.28
12/31/2015 06:24
Florijn
-0.69%
0.66%
-1.05
-1.26
-0.68%
0.15%
-1.28
-1.83
 Rank: 121
 
yishuwei
 
Q4 contest
-1.28
12/31/2015 06:33
Bullewijk
-0.69%
0.66%
-1.05
-1.26
-0.68%
0.15%
-1.28
-1.83
 Rank: 122
 
yishuwei
 
Q4 contest
-1.28
12/31/2015 05:49
Daalwijk
-0.69%
0.66%
-1.05
-1.26
-0.56%
0.16%
-1.28
-1.51
 Rank: 123
 
yishuwei
 
Q4 contest
-1.28
12/30/2015 03:44
Dingo
-0.69%
0.66%
-1.05
-1.27
-0.68%
0.15%
-1.28
-1.84
 Rank: 124
 
yishuwei
 
Q4 contest
-1.28
12/29/2015 17:58
SaltyOxygen201512300258
-0.69%
0.66%
-1.05
-1.27
-0.68%
0.15%
-1.28
-1.84
 Rank: 125
 
yishuwei
 
Q4 contest
-1.28
12/29/2015 18:12
MushroomLeaf201512300312
-0.69%
0.66%
-1.05
-1.27
-0.68%
0.15%
-1.28
-1.84