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: 101
 
KOBAS
 
Q8 contest
0.63
04/12/2017 02:46
00C1C04KOBAS12
7.19%
11.15%
0.63
1.05
11.53%
9.84%
2.47
1.75
 Rank: 102
 
KOBAS
 
Q8 contest
0.61
04/11/2017 00:10
00A8CA04KOBAS10
9.78%
17.34%
0.61
0.97
-8.32%
16.56%
0.92
-0.63
 Rank: 103
 
KOBAS
 
Q8 contest
0.61
04/13/2017 15:17
00C4B04KOBAS12
12.19%
21.24%
0.61
0.99
-6.81%
19.78%
1.92
-0.55
 Rank: 104
 
KOBAS
 
Q8 contest
0.60
04/12/2017 13:06
00F2B04KOBAS12
12.15%
21.36%
0.60
0.98
-0.69%
21.35%
2.64
-0.04
 Rank: 105
 
KOBAS
 
Q8 contest
0.60
04/13/2017 15:15
00C4C04KOBAS12
10.66%
18.50%
0.60
0.96
-0.30%
14.32%
1.59
-0.03
 Rank: 106
 
durasm
 
Q8 contest
0.60
04/10/2017 07:16
Visovac
24.28%
14.44%
1.76
2.97
-6.97%
17.12%
0.60
-0.60
 Rank: 107
 
durasm
 
Q8 contest
0.60
04/12/2017 01:53
Visovac
24.24%
14.44%
1.76
2.96
-9.25%
17.21%
0.60
-0.83
 Rank: 108
 
KOBAS
 
Q8 contest
0.60
04/10/2017 01:45
00A5BL04KOBAS10
8.78%
15.10%
0.60
0.90
1.16%
11.11%
1.29
0.11
 Rank: 109
 
mwalimudan
 
Q8 contest
0.59
04/06/2017 14:22
JustTesting12rc0
19.08%
8.45%
2.24
4.01
10.73%
6.07%
0.59
2.83
 Rank: 110
 
mwalimudan
 
Q8 contest
0.59
04/06/2017 14:29
JustTestingrc00
19.08%
8.45%
2.24
4.01
10.73%
6.07%
0.59
2.83
 Rank: 111
 
AzureFractal
 
Q8 contest
0.58
03/22/2017 19:40
AzureMomentumNI3
9.32%
3.54%
2.73
4.78
-1.04%
3.07%
0.58
-0.42
 Rank: 112
 
KOBAS
 
Q8 contest
0.58
04/06/2017 04:04
00E19L04KOBAS06
6.49%
11.40%
0.58
0.90
5.61%
10.28%
2.05
0.68
 Rank: 113
 
KOBAS
 
Q8 contest
0.57
04/12/2017 03:05
00C1B04KOBAS12
8.89%
15.54%
0.62
0.96
-11.61%
12.33%
0.57
-1.13
 Rank: 114
 
mwalimudan
 
Q8 contest
0.56
04/07/2017 02:50
JustTesting12cce
7.66%
2.67%
2.91
5.64
2.04%
2.80%
0.56
1.24
 Rank: 115
 
Evolution71
 
Q8 contest
0.56
03/01/2017 00:58
RiskPremia
10.95%
4.75%
2.40
4.12
-4.63%
3.57%
0.56
-1.53
 Rank: 116
 
kklocke
 
Q8 contest
0.56
03/26/2017 16:43
sma1
4.11%
7.04%
0.56
0.93
6.16%
5.22%
2.49
1.80
 Rank: 117
 
KOBAS
 
Q8 contest
0.56
04/10/2017 05:42
00A7A04KOBAS10
9.74%
18.13%
0.56
0.91
-2.32%
13.95%
1.00
-0.20
 Rank: 118
 
KOBAS
 
Q8 contest
0.56
04/12/2017 03:51
00C1L04KOBAS12
9.80%
17.58%
0.56
0.91
6.24%
11.66%
0.97
0.71
 Rank: 119
 
KOBAS
 
Q8 contest
0.56
04/10/2017 03:01
00A6A04KOBAS10
7.27%
13.31%
0.56
0.94
6.06%
12.22%
2.56
0.62
 Rank: 120
 
coinlab
 
Q8 contest
0.55
04/02/2017 02:30
coinlab_long_ml_futures_2
4.51%
6.49%
0.72
1.08
-0.12%
7.95%
0.55
-0.02
 Rank: 121
 
coinlab
 
Q8 contest
0.55
04/02/2017 08:51
futures_ml_2
4.56%
6.52%
0.72
1.08
2.56%
8.18%
0.55
0.34
 Rank: 122
 
nSean
 
Q8 contest
0.55
04/13/2017 02:31
trendfollowing
4.02%
7.42%
0.55
0.86
1.97%
6.68%
3.01
0.32
 Rank: 123
 
nSean
 
Q8 contest
0.55
04/13/2017 02:45
donald201704131045
4.02%
7.42%
0.55
0.86
1.97%
6.68%
3.01
0.32
 Rank: 124
 
KOBAS
 
Q8 contest
0.53
04/07/2017 15:01
00A2C04KOBAS06
5.55%
10.95%
0.53
0.82
-1.02%
9.39%
1.21
-0.11
 Rank: 125
 
KOBAS
 
Q8 contest
0.53
04/11/2017 14:52
00B1C04KOBAS11
7.21%
13.35%
0.53
0.87
9.96%
8.41%
2.15
1.45