Quantitative trading competition Q8, 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 April 15 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:   04/14/2017  (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:   04/15/2017 – 07/31/2017  (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 August 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 30 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.
RANKING

Backtest

Live Test April 15 2017 to July 31 2017

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 76
 
s_poramet
 
Q8 contest
0.85
02/19/2017 08:45
JDAXCSprototype
4.18%
5.08%
0.85
1.33
-0.80%
3.91%
1.40
-0.25
 Rank: 77
 
AzureFractal
 
Q8 contest
0.84
04/11/2017 21:27
EphemeralCurl
7.48%
2.83%
2.77
4.79
-3.53%
2.49%
0.84
-1.66
 Rank: 78
 
mwalimudan
 
Q8 contest
0.82
02/24/2017 10:13
JustTesting11
7.16%
3.96%
1.92
3.12
0.89%
5.65%
0.82
0.17
 Rank: 79
 
mwalimudan
 
Q8 contest
0.82
02/12/2017 04:38
JustTesting1
6.47%
4.77%
1.35
2.26
1.99%
6.75%
0.82
1.48
 Rank: 80
 
KOBAS
 
Q8 contest
0.80
04/12/2017 05:14
00D4L04KOBAS12
4.90%
6.32%
0.80
1.29
0.75%
4.69%
1.70
0.20
 Rank: 81
 
KOBAS
 
Q8 contest
0.80
04/12/2017 05:03
00D2L04KOBAS12
5.09%
6.33%
0.80
1.33
4.31%
4.33%
1.70
1.65
 Rank: 82
 
KOBAS
 
Q8 contest
0.80
04/12/2017 05:12
00D3L04KOBAS12
5.00%
6.39%
0.80
1.29
2.80%
4.76%
2.13
0.72
 Rank: 83
 
KOBAS
 
Q8 contest
0.80
04/12/2017 05:02
00D1L04KOBAS12
5.00%
6.39%
0.80
1.29
2.80%
4.76%
2.13
0.72
 Rank: 84
 
AzureFractal
 
Q8 contest
0.77
03/28/2017 20:34
AzureMomentumNI4
9.44%
3.69%
2.65
4.58
-0.91%
3.31%
0.77
-0.34
 Rank: 85
 
KOBAS
 
Q8 contest
0.77
04/13/2017 13:46
00F6C04KOBAS13
6.93%
9.36%
0.77
1.24
0.71%
8.86%
1.98
0.09
 Rank: 86
 
AzureFractal
 
Q8 contest
0.75
04/05/2017 20:38
CrimsonDarkness
8.70%
3.85%
2.30
3.96
0.05%
2.66%
0.75
0.02
 Rank: 87
 
AzureFractal
 
Q8 contest
0.75
04/04/2017 07:55
AzureMomentumBBAllotropic
8.05%
2.90%
2.87
5.07
0.39%
2.74%
0.75
0.18
 Rank: 88
 
administrator
 
Q8 contest
0.73
03/30/2017 14:45
MartinsTrendfollowing
4.53%
6.10%
0.73
1.15
5.49%
5.63%
2.20
1.05
 Rank: 89
 
mwalimudan
 
Q8 contest
0.71
03/17/2017 11:02
RecentConvertThirteen
11.04%
8.47%
1.35
2.23
-0.02%
5.73%
0.71
0.00
 Rank: 90
 
KOBAS
 
Q8 contest
0.70
04/06/2017 03:01
00E19A04KOBAS06
4.11%
4.46%
0.95
1.59
0.78%
3.18%
0.70
0.31
 Rank: 91
 
cfcquant
 
Q8 contest
0.68
03/18/2017 02:37
ForSubmission
11.21%
7.32%
1.53
2.57
2.91%
4.61%
0.68
0.99
 Rank: 92
 
cfcquant
 
Q8 contest
0.68
03/18/2017 02:38
ForSubmission2
10.99%
7.29%
1.53
2.53
0.67%
4.50%
0.68
0.18
 Rank: 93
 
cfcquant
 
Q8 contest
0.68
03/19/2017 11:51
TrendFollowing
10.99%
7.29%
1.53
2.53
0.67%
4.50%
0.68
0.18
 Rank: 94
 
KOBAS
 
Q8 contest
0.68
04/10/2017 13:53
00A8A04KOBAS10
8.56%
12.99%
0.68
1.14
1.59%
10.65%
2.44
0.24
 Rank: 95
 
mwalimudan
 
Q8 contest
0.68
02/20/2017 09:51
JustTesting1
6.33%
4.98%
1.35
2.05
4.40%
8.61%
0.68
0.55
 Rank: 96
 
KOBAS
 
Q8 contest
0.67
04/10/2017 13:59
00A8AA04KOBAS10
9.18%
14.25%
0.67
1.12
2.97%
11.72%
2.92
0.32
 Rank: 97
 
KOBAS
 
Q8 contest
0.66
04/10/2017 00:24
00A4A04KOBAS10
11.04%
16.97%
0.66
1.13
11.68%
15.44%
3.97
0.98
 Rank: 98
 
KOBAS
 
Q8 contest
0.64
04/09/2017 14:57
00A3C04KOBAS06
8.52%
13.47%
0.64
1.02
3.89%
10.05%
0.82
0.45
 Rank: 99
 
KOBAS
 
Q8 contest
0.63
04/09/2017 14:49
00A3A04KOBAS09
12.50%
21.03%
0.63
1.05
-5.56%
20.64%
0.81
-0.43
 Rank: 100
 
AzureFractal
 
Q8 contest
0.63
04/04/2017 08:00
AzureMomentumBBDeltaFunction
8.09%
2.66%
3.15
5.64
0.64%
2.57%
0.63
0.31