Quantitative trading competition Q5, Guaranteed investments of $2,250,000

CLOSED

The biggest algorithmic trading competition with total investments of $2,250,000
Pocket half of the performance fees as long as your algo performs
All eligible trading algorithms that were submitted before April 1st 2016 are now simulated with live data until end of June.
We will announce the winners of the Q5 competition beginning of July 2016.

HOW IT WORKS

Write an algorithmic trading system and submit it to the Quantiacs platform. Your code remains a black box and you always keep the IP for your code. Use Quantiacs’ free futures data and the free and open source backtesting toolbox. There are two main phases you for the competition: The submission period and the live simulation period.

 

SUBMISSION DEADLINE

Submit your trading system before 11:59pm on March 31st, 2016 to compete for total investments of $2,250,000. Once your trading algorithm is uploaded you cannot change it but you can submit a new version of it. The Sharpe Ratio of you backtest makes the first part of your score.

LIVE SIMULATION

All submitted algorithmic trading strategies that were submitted before the deadline will be simulated with live market data from April 1st, 2016 until June 30th, 2016. The Sharpe Ratio of this live simulation makes your second score.

ANNONCING THE WINNERS

The lower of the two scores (Sharpe Ratio backtest & live simulation) makes your final score. We will announce the winners beginning of July. The three best algorithmic trading systems get guaranteed investments of $500,000, $750,000, and $1,000,000.

Good luck!

 

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 April 2016 to June 30 2016

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 101
 
kviggy0
 
Q5 contest
-0.15
03/11/2016 22:22
mahico201603121152
-1.32%
8.99%
-0.15
-0.23
0.00%
0.00%
0.00
-
 Rank: 102
 
internethero
 
Q5 contest
-0.16
03/08/2016 12:53
silly-pig
4.71%
8.97%
0.61
0.84
-11.35%
8.03%
-0.16
-0.94
 Rank: 103
 
kviggy0
 
Q5 contest
-0.16
03/24/2016 00:45
rmlislylml
27.32%
14.26%
2.06
3.48
7.85%
11.77%
-0.16
0.49
 Rank: 104
 
kviggy0
 
Q5 contest
-0.20
03/24/2016 05:29
rmlislylml
29.44%
15.77%
1.99
3.39
15.95%
13.66%
-0.20
0.85
 Rank: 105
 
victoryu0720
 
Q5 contest
-0.21
03/29/2016 12:15
Alpha
6.79%
7.89%
0.93
1.41
-4.55%
5.03%
-0.21
-0.57
 Rank: 106
 
Evolution71
 
Q5 contest
-0.23
03/29/2016 00:05
Autoregressive_III
7.21%
4.80%
1.59
2.58
0.23%
3.94%
-0.23
0.04
 Rank: 107
 
lagodw
 
Q5 contest
-0.23
03/05/2016 21:01
reversiontest
-3.21%
25.22%
-0.23
-0.21
95.13%
21.22%
4.26
3.68
 Rank: 108
 
Blooory
 
Q5 contest
-0.23
01/12/2016 06:13
Sample Mean Reversion
-3.15%
25.12%
-0.23
-0.21
96.41%
20.46%
4.26
3.18
 Rank: 109
 
veleta
 
Q5 contest
-0.30
02/08/2016 13:48
PCA201602081550
-2.43%
11.00%
-0.30
-0.32
19.32%
11.91%
1.16
1.01
 Rank: 110
 
administrator
 
Q5 contest
-0.39
03/31/2016 22:03
calquant
-3.79%
10.42%
-0.33
-0.58
-16.06%
6.98%
-0.39
-1.55
 Rank: 111
 
calquant
 
Q5 contest
-0.39
03/31/2016 22:04
calquant
-3.79%
10.42%
-0.33
-0.58
-16.06%
6.98%
-0.39
-1.55
 Rank: 112
 
resirca52009
 
Q5 contest
-0.41
02/11/2016 18:31
Default Mean Reversion
-8.75%
26.58%
-0.41
-0.53
66.31%
21.48%
2.58
2.03
 Rank: 113
 
zzzzzzls
 
Q5 contest
-0.49
03/04/2016 08:26
trendfollowing201603050027
2.65%
5.87%
0.48
0.72
-0.26%
4.26%
-0.49
-0.04
 Rank: 114
 
kviggy0
 
Q5 contest
-0.49
03/11/2016 20:52
wztamshgbl
32.42%
17.90%
1.98
3.25
-1.10%
14.88%
-0.49
-0.05
 Rank: 115
 
kviggy0
 
Q5 contest
-0.49
03/11/2016 21:48
rmlislylml201603121118
32.42%
17.90%
1.98
3.25
-1.10%
14.88%
-0.49
-0.05
 Rank: 116
 
kviggy0
 
Q5 contest
-0.49
03/12/2016 20:13
wztamshgbl
32.56%
17.90%
1.98
3.27
2.55%
14.87%
-0.49
0.12
 Rank: 117
 
mahantaratan
 
Q5 contest
-0.50
03/15/2016 09:07
RMMR
-17.13%
40.75%
-0.50
-0.65
119.05%
37.32%
0.49
1.97
 Rank: 118
 
irpap
 
Q5 contest
-0.50
02/17/2016 14:27
meanMachine
-17.13%
40.75%
-0.50
-0.65
119.05%
37.32%
0.49
1.97
 Rank: 119
 
kviggy0
 
Q5 contest
-0.59
03/24/2016 06:12
rmlislylml
35.81%
17.62%
2.20
3.67
5.14%
14.66%
-0.59
0.26
 Rank: 120
 
tm1000
 
Q5 contest
-0.67
03/24/2016 14:30
MoneyDream
10.30%
24.17%
0.56
0.72
-41.51%
25.17%
-0.67
-1.28
 Rank: 121
 
kviggy0
 
Q5 contest
-0.73
03/25/2016 05:59
Albatross
45.47%
21.28%
2.32
3.86
12.68%
19.13%
-0.73
0.47
 Rank: 122
 
linlin01
 
Q5 contest
-0.74
03/31/2016 21:34
gp90
6.45%
7.90%
0.90
1.43
-5.30%
6.45%
-0.74
-0.58
 Rank: 123
 
Evolution71
 
Q5 contest
-0.75
03/22/2016 15:31
Autoregressive_II
6.66%
5.07%
1.39
2.24
0.10%
4.05%
-0.75
0.02
 Rank: 124
 
HP
 
Q5 contest
-0.88
03/31/2016 23:59
IceCream
13.74%
3.02%
4.71
9.40
0.32%
3.01%
-0.88
0.13
 Rank: 125
 
zzzzzzls
 
Q5 contest
-0.91
03/07/2016 07:58
trendfollowing201603072359
4.56%
6.49%
0.72
1.11
4.27%
5.24%
-0.91
0.54