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: 126
 
Jenia
 
Q4 contest
-1.33
12/31/2015 20:08
BikeLanes
14.69%
2.87%
5.76
10.25
-4.00%
3.16%
-1.33
-0.77
 Rank: 127
 
Jenia
 
Q4 contest
-1.33
12/31/2015 19:03
LikeaBoss
25.99%
4.53%
6.33
11.77
-3.33%
4.17%
-1.33
-0.48
 Rank: 128
 
Jenia
 
Q4 contest
-1.39
12/31/2015 20:55
SimulationOfSociety
14.97%
3.12%
5.33
9.58
-3.46%
3.21%
-1.39
-0.66
 Rank: 129
 
s_poramet
 
Q4 contest
-1.52
12/31/2015 09:51
PSTS_Q4_2015_EffWFP
-0.62%
0.38%
-1.50
-1.90
-2.40%
0.33%
-1.52
-2.91
 Rank: 130
 
QuantumCat
 
Q4 contest
-1.66
12/30/2015 17:28
NewB8
16.35%
3.14%
5.66
11.21
3.09%
3.05%
-1.66
0.62
 Rank: 131
 
QuantumCat
 
Q4 contest
-1.66
12/30/2015 17:47
NewB9
15.32%
3.07%
5.42
10.73
3.47%
3.03%
-1.66
0.70
 Rank: 132
 
QuantumCat
 
Q4 contest
-1.66
12/31/2015 15:51
Lucy
16.29%
3.11%
5.70
11.33
3.67%
3.05%
-1.66
0.74
 Rank: 133
 
tradx2
 
Q4 contest
-1.66
12/31/2015 05:17
testRSI201512311318
1.80%
5.21%
0.54
0.53
-18.74%
5.62%
-1.66
-1.99
 Rank: 134
 
QuantumCat
 
Q4 contest
-1.76
12/31/2015 22:16
Ambur
19.81%
3.65%
6.15
11.18
-6.50%
4.08%
-1.76
-0.94
 Rank: 135
 
mojo
 
Q4 contest
-1.76
12/29/2015 15:46
trendfollowing2201512300047
0.52%
5.68%
0.17
0.14
-10.55%
4.38%
-1.76
-1.47
 Rank: 136
 
katas
 
Q4 contest
-1.82
12/26/2015 09:22
test1
1.80%
2.33%
0.84
1.25
-1.62%
1.36%
-1.82
-0.69
 Rank: 137
 
QuantumCat
 
Q4 contest
-1.89
12/30/2015 00:03
NewB3
15.95%
3.08%
5.66
11.04
1.77%
3.07%
-1.89
0.35
 Rank: 138
 
QuantumCat
 
Q4 contest
-2.02
12/31/2015 23:31
Micheal
18.35%
3.77%
5.49
9.90
-5.14%
4.17%
-2.02
-0.72
 Rank: 139
 
s_poramet
 
Q4 contest
-2.24
12/27/2015 07:58
PSTS_Q4_2015_RiskBased
-0.01%
0.19%
-0.05
-0.09
-0.12%
0.06%
-2.24
-0.81
 Rank: 140
 
s_poramet
 
Q4 contest
-2.26
12/31/2015 04:48
PSTS_Q4_2015_RiskBased2
-0.07%
0.21%
-0.29
-0.39
-0.24%
0.09%
-2.26
-1.13
 Rank: 141
 
s_poramet
 
Q4 contest
-2.26
12/31/2015 08:57
PSTS_Q4_2015_RiskBased2
-0.07%
0.21%
-0.29
-0.39
-0.24%
0.09%
-2.26
-1.13
 Rank: 142
 
Timeroot
 
Q4 contest
-3.12
12/16/2015 00:04
logorrheicLabelling
21.60%
6.71%
3.50
6.12
-5.66%
6.12%
-3.12
-0.69
 Rank: 143
 
Evolution71
 
Q4 contest
-3.64
12/16/2015 15:16
MomentumVolatilityII201512162322
7.02%
5.25%
1.50
2.20
-8.48%
4.20%
-3.64
-1.20
 Rank: 144
 
Evolution71
 
Q4 contest
-3.86
12/16/2015 03:31
MomentumVolatility201512161131
6.19%
5.07%
1.39
2.00
-9.46%
4.11%
-3.86
-1.37