Quantitative trading competition Q7, Guaranteed investments of $2,250,000

CLOSED

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 January 2017

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:   12/31/2016  (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:   01/01/2017 – 03/31/2017  (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 April 2017. The three best algorithmic trading systems get guaranteed investments of $500,000, $750,000, and $1,000,000.

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!

RANKING

Backtest

Live Test Jan. 2017 to March 31 2017

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 151
 
Jcop3000
 
Q7 contest liquid
-0.43
12/15/2016 09:30
trendFollowing1
1.26%
5.85%
0.26
0.34
-5.30%
3.52%
-0.43
-1.48
 Rank: 152
 
kklocke
 
Q7 contest
-0.43
10/12/2016 20:44
initial_test
1.26%
5.85%
0.26
0.34
-5.30%
3.52%
-0.43
-1.48
 Rank: 153
 
bsin
 
Q7 contest
-0.44
11/08/2016 10:59
meanReversion
-17.94%
40.86%
-0.44
-0.68
-5.13%
26.27%
1.62
-0.24
 Rank: 154
 
Rad
 
Q7 contest
-0.44
08/12/2016 17:40
meanReversion
-17.94%
40.86%
-0.44
-0.68
-5.13%
26.27%
1.62
-0.24
 Rank: 155
 
cjain
 
Q7 contest liquid
-0.44
12/22/2016 09:41
meanReversion
-17.13%
40.75%
-0.44
-0.65
17.95%
27.08%
1.62
0.64
 Rank: 156
 
McNj
 
Q7 contest liquid
-0.44
11/18/2016 09:00
a_test
-17.13%
40.75%
-0.44
-0.65
17.95%
27.08%
1.62
0.64
 Rank: 157
 
Evolution71
 
Q7 contest liquid
-0.46
11/01/2016 04:36
TermStructure_III
2.92%
3.97%
0.81
1.25
-5.67%
2.76%
-0.46
-1.95
 Rank: 158
 
Antonio
 
Q7 contest
-0.50
08/08/2016 12:06
trendFollowing
0.70%
5.88%
0.15
0.19
-4.25%
3.46%
-0.50
-1.21
 Rank: 159
 
durasm
 
Q7 contest
-0.58
12/07/2016 05:19
MI_single
26.38%
13.33%
2.14
3.83
-8.60%
15.39%
-0.58
-0.50
 Rank: 160
 
Morpheus
 
Q7 contest liquid
-0.58
10/15/2016 11:28
trendFollowing
1.25%
4.81%
0.30
0.42
-3.97%
3.63%
-0.58
-1.01
 Rank: 161
 
baltimor
 
Q7 contest
-0.59
08/17/2016 14:56
TS
0.60%
5.72%
0.14
0.16
-3.97%
3.58%
-0.59
-1.09
 Rank: 162
 
baltimor
 
Q7 contest
-0.59
08/17/2016 14:57
TS
0.60%
5.72%
0.14
0.16
-3.97%
3.58%
-0.59
-1.09
 Rank: 163
 
danielkscarmo
 
Q7 contest liquid
-0.59
12/31/2016 19:30
qaqee704b
9.89%
4.88%
2.16
3.85
-5.25%
3.30%
-0.59
-1.76
 Rank: 164
 
ol
 
Q7 contest liquid
-0.60
12/27/2016 16:56
ts529_6ml201612271956
1.60%
5.60%
0.27
0.43
4.77%
7.91%
-0.60
0.55
 Rank: 165
 
manjieva
 
Q7 contest
-0.60
11/26/2016 06:15
TRY
2.14%
5.08%
0.43
0.66
0.11%
3.34%
-0.60
0.04
 Rank: 166
 
durasm
 
Q7 contest
-0.62
12/12/2016 02:25
MI_single_final
32.07%
14.25%
2.40
4.54
-3.01%
16.06%
-0.62
-0.18
 Rank: 167
 
AntVais
 
Q7 contest liquid
-0.63
10/30/2016 14:31
TrendFollowTestSubmit
1.94%
5.80%
0.35
0.54
-1.15%
3.61%
-0.63
-0.31
 Rank: 168
 
ol
 
Q7 contest liquid
-0.64
12/31/2016 15:23
ts736_6K_ml_8m9_31de
1.33%
6.52%
0.24
0.31
-4.84%
8.58%
-0.64
-0.55
 Rank: 169
 
christian.dambon
 
Q7 contest liquid
-0.69
08/02/2016 05:35
trendfollowing201608021435
2.09%
5.88%
0.38
0.57
-2.43%
3.53%
-0.69
-0.67
 Rank: 170
 
Evolution71
 
Q7 contest liquid
-0.72
11/10/2016 05:04
AssetPricer_II
8.73%
4.44%
2.06
3.71
-2.90%
3.64%
-0.72
-0.75
 Rank: 171
 
Timeroot
 
Q7 contest
-0.73
12/31/2016 17:57
SilicateBlast
52.01%
7.13%
7.56
16.14
-2.57%
4.83%
-0.73
-0.71
 Rank: 172
 
gbradleynyc
 
Q7 contest liquid
-0.75
08/31/2016 17:20
trendfollowing201608311721
2.29%
5.86%
0.40
0.63
0.28%
3.59%
-0.75
0.08
 Rank: 173
 
tm1000
 
Q7 contest liquid
-0.79
12/30/2016 13:02
Dec2016VMLv1
3.83%
8.66%
0.48
0.74
-2.72%
7.59%
-0.79
-0.39
 Rank: 174
 
Morpheus
 
Q7 contest liquid
-0.81
10/15/2016 11:29
trendFollowing
1.54%
3.73%
0.44
0.66
-0.66%
2.41%
-0.81
-0.26
 Rank: 175
 
Jenia
 
Q7 contest liquid
-0.83
12/25/2016 23:57
Spring
29.56%
6.46%
4.76
9.81
0.39%
4.56%
-0.83
0.09