ALGORITHMIC TRADING CONTEST Q6 $2.25M INVESTMENTS

NEW: $1,500 Team Cash Award

The biggest algorithmic trading competition
The best 3 algorithms get guaranteed investments of: $1,000,000  |  $750,000  |  $500,000 You pocket half of the performance fees as long as your algo performs.
Submit your trading algorithm before August 2016
HOW IT WORKS

OBJECTIVE

Write a trading algorithm on futures and submit it to the Quantiacs platform before the deadline. Your code remains a black box and you always keep the IP. Use Quantiacs’ free futures data and the free and open source backtesting toolbox.
 

TIME LINE

There are two main phases in the competition: The submission period and the live simulation period.

                                                                          Deadline for trading algorithm submissions:   7/31/2016  (11:59:59PM PST)

Once your trading algorithm is uploaded you cannot change it but you can submit new versions of it (up to 10 submissions per day). All submitted trading algorithms will be simulated for 3 months with live market data.

                                                                                    Live simulation period:   8/1/2016 – 10/31/2016  (11:59:59PM PST)

SCORING

Your final score is the lower of your Sharpe Ratio of your backtest and the Sharpe Ratio of the live simulation (Min[Sharpe Ratio backtest, Sharpe Ratio live]). If you submit several trading system we will take the one with the highest score. We will announce the winners beginning of November 2016. The three best algorithmic trading systems get guaranteed investments of $500,000, $750,000, and $1,000,000.

NEW: TEAMS

Build a team and invite friends to join. In addition to the guaranteed investments you can win the Team Cash Award of up to $1,500. The minimum team size is 3 quants, maximum size is 5. At the end of the competition we take the best individual submissions of the members within your team and compute the average score for your team. The correlation of the submitted systems within your team must not exceed 0.8. The team with the highest average score wins and all team members get $300 in cash. Again, this is on top of a potential investment in your submitted trading algorithm. 

IMPORTANT

To score in the competition your trading algorithm:
• Trades futures (you can use stocks in your indicators)
• Evaluates in less than 10 minutes on our servers (rule of thumb)
• Returns the same result if it is run twice (deterministic)
• Does Not use ex post common knowledge (e.g. ‘don’t trade in 2000 and 2008’)
• Uses a maximum lookback of 2520 trading days
 
For a detailed collection of all rules please see the official rules.

Good luck to all participants!

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