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

JOIN Q5

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.
TradingDays
Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance
TradingDays
Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 151
 
Evolution71
 
Q5 contest
-1.60
03/31/2016 04:06
Granular
5.35%
3.40%
1.66
2.73
0.62%
613
2.82%
-1.60
0.15
 Rank: 152
 
carrielu
 
Q5 contest
-1.65
03/31/2016 19:56
leoluo_test3
71.48%
38.87%
1.97
3.16
-13.44%
608
5.19%
-1.65
-1.73
 Rank: 153
 
carrielu
 
Q5 contest
-1.66
03/31/2016 17:50
testv2
72.16%
37.69%
2.05
3.29
-15.29%
608
4.48%
-1.66
-2.25
 Rank: 154
 
HP
 
Q5 contest
-1.70
03/31/2016 23:01
Tea
24.50%
8.21%
3.20
5.47
1.63%
608
7.17%
-1.70
0.15
 Rank: 155
 
tm1000
 
Q5 contest
-1.82
03/30/2016 20:18
FuturesDirection1b
3.25%
6.72%
0.59
0.75
-13.19%
608
5.44%
-1.82
-1.54
 Rank: 156
 
tm1000
 
Q5 contest
-1.82
03/30/2016 20:18
FuturesDirection1a
3.22%
6.46%
0.61
0.78
-12.12%
608
5.19%
-1.82
-1.48
 Rank: 157
 
internethero
 
Q5 contest
-1.96
03/18/2016 06:49
silly-chicken
-3.14%
6.68%
-0.48
-0.76
-3.07%
608
4.43%
-1.96
-0.49
 Rank: 158
 
zzzzzzls
 
Q5 contest
-2.00
03/04/2016 20:02
trendfollowing201603051203
5.06%
12.97%
0.44
0.64
-3.83%
606
10.90%
-2.00
-0.25
 Rank: 159
 
carrielu
 
Q5 contest
-2.08
03/31/2016 17:33
carrie_ts1201603311934
50.82%
36.06%
1.49
2.35
-9.68%
608
4.21%
-2.08
-1.56
 Rank: 160
 
leoluo
 
Q5 contest
-2.08
03/31/2016 17:23
carrie_ts1201603311923
50.82%
36.06%
1.49
2.35
-9.68%
608
4.21%
-2.08
-1.56
 Rank: 161
 
TraderThomas
 
Q5 contest
-2.08
03/29/2016 07:14
GC
2.10%
7.00%
0.36
0.49
-7.87%
607
4.82%
-2.08
-1.12
 Rank: 162
 
TraderThomas
 
Q5 contest
-2.08
03/28/2016 18:03
NQ
2.10%
7.00%
0.36
0.49
-7.87%
607
4.82%
-2.08
-1.12
 Rank: 163
 
Skewness
 
Q5 contest
-2.08
03/29/2016 07:56
basis
5.43%
7.20%
0.79
1.28
5.03%
607
6.57%
-2.08
0.53
 Rank: 164
 
Evolution71
 
Q5 contest
-2.37
02/22/2016 03:04
System49_P_V1
2.96%
1.69%
1.83
3.01
-0.70%
608
0.81%
-2.37
-0.57
 Rank: 165
 
alvinwong
 
Q5 contest
-2.49
03/31/2016 17:52
ts002
5.29%
3.53%
1.62
2.49
-3.04%
608
2.66%
-2.49
-0.73
 Rank: 166
 
alvinwong
 
Q5 contest
-2.53
03/30/2016 13:56
ts001
6.03%
4.10%
1.59
2.45
-3.55%
608
3.07%
-2.53
-0.73
 Rank: 167
 
Evolution71
 
Q5 contest
-2.56
02/22/2016 03:01
System49_V2
8.79%
5.37%
1.77
2.84
-4.90%
608
3.95%
-2.56
-0.86
 Rank: 168
 
tm1000
 
Q5 contest
-2.58
03/30/2016 20:19
FuturesDirection1c
6.06%
7.70%
0.95
1.29
-14.68%
607
8.10%
-2.58
-1.27
 Rank: 169
 
tm1000
 
Q5 contest
-2.66
01/01/2016 12:42
IGOTNOTHING
1.99%
4.34%
0.68
0.69
-17.38%
608
5.13%
-2.66
-2.18
 Rank: 170
 
ygnuidze
 
Q5 contest
-2.72
02/24/2016 12:53
FTR003
0.84%
2.47%
0.43
0.61
-4.06%
612
2.03%
-2.72
-1.08
 Rank: 171
 
ygnuidze
 
Q5 contest
-2.72
02/24/2016 12:53
FTR003
0.84%
2.48%
0.43
0.61
-4.06%
607
2.03%
-2.72
-1.08
 Rank: 172
 
administrator
 
Q5 contest
-2.72
03/15/2016 11:40
rsi
3.03%
13.16%
0.28
0.35
-10.85%
606
9.78%
-2.72
-0.64
 Rank: 173
 
tm1000
 
Q5 contest
-2.87
03/30/2016 20:17
FuturesDream5
4.97%
7.32%
0.85
1.10
-17.78%
607
7.50%
-2.87
-1.59
 Rank: 174
 
administrator
 
Q5 contest
-2.87
01/20/2016 16:49
rsi201601201650
2.00%
5.65%
0.47
0.53
-12.63%
608
5.57%
-2.87
-1.48
 Rank: 175
 
Evolution71
 
Q5 contest
-3.02
03/17/2016 04:53
Autoregressive_I
5.50%
5.04%
1.19
1.85
-5.03%
608
3.80%
-3.02
-0.85