Quantitative trading competition Q9, 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 October 1 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:   09/30/2017  (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 4 months with live market data.
                                                                                    Live simulation period:   10/01/2017 – 01/31/2018  (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 in February 2018. 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 Oct. 2017 to Jan. 31 2018

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 326
 
SebastianCaan
 
Q9 contest
0.05
05/10/2017 12:28
VWAP algo
0.22%
3.81%
0.05
0.08
0.73%
1.02%
1.30
1.81
 Rank: 327
 
SebastianCaan
 
Q9 contest
0.04
05/07/2017 06:00
illustration 5
0.94%
17.72%
0.04
0.08
4.83%
11.10%
1.48
0.83
 Rank: 328
 
quantkh
 
Q9 contest
0.04
08/05/2017 10:27
Carstens7
0.94%
17.72%
0.04
0.08
4.83%
11.23%
1.48
0.84
 Rank: 329
 
krogman
 
Q9 contest
0.04
09/30/2017 19:03
smoothgreenonions
0.20%
6.67%
0.04
0.05
-0.98%
4.43%
1.10
-0.39
 Rank: 330
 
MavicChen
 
Q9 contest
0.03
04/23/2017 11:01
first_attempt
0.05%
1.66%
0.03
0.04
-0.03%
0.90%
4.20
-0.06
 Rank: 331
 
ol
 
Q9 contest
0.01
04/14/2017 15:55
ts8_2
2.96%
7.23%
0.43
0.65
-0.53%
6.04%
0.01
-0.16
 Rank: 332
 
kharma
 
Q9 contest
0.01
05/08/2017 19:00
RSI - Quantiacs Example Source
0.27%
7.03%
0.01
0.06
6.33%
6.36%
3.94
1.63
 Rank: 333
 
roke
 
Q9 contest
0.01
09/15/2017 23:40
rsiExample
0.27%
7.03%
0.01
0.06
6.33%
6.36%
3.94
1.63
 Rank: 334
 
KOBAS
 
Q9 contest
0.00
09/22/2017 04:31
170922E1Q420661KJJL
0.13%
0.67%
0.25
0.41
0.88%
2.27%
0.00
0.67
 Rank: 335
 
KOBAS
 
Q9 contest
0.00
09/22/2017 05:06
170922E1Q420661KJJLv2
0.74%
1.82%
0.37
0.77
2.24%
2.04%
0.00
4.22
 Rank: 336
 
mohamed
 
Q9 contest
0.00
09/28/2017 12:54
j
0.95%
3.16%
0.30
0.64
0.00%
0.00%
0.00
-
 Rank: 337
 
SebastianCaan
 
Q9 contest
0.00
05/08/2017 04:46
VWAP algo
0.51%
1.99%
0.26
0.38
0.00%
0.00%
0.00
-
 Rank: 338
 
ProfJ
 
Q9 contest
0.00
04/14/2017 14:15
ts5201704141515
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 339
 
ProfJ
 
Q9 contest
0.00
04/14/2017 15:02
ts7201704141602
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 340
 
ol
 
Q9 contest
0.00
04/14/2017 15:54
ts8_1
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 341
 
jrrdeshmukh
 
Q9 contest
0.00
04/14/2017 20:31
evolution201704142331
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 342
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:51
HenryIV
0.00%
0.00%
-
-
0.00%
0.00%
0.00
-
 Rank: 343
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:19
EdwardI
0.00%
0.00%
-
-
0.00%
0.00%
0.00
-
 Rank: 344
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:19
EdwardII
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 345
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:20
EdwardIII
0.00%
0.00%
-
-
0.00%
0.00%
0.00
-
 Rank: 346
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:21
RichardII
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 347
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:21
HenryV
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 348
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:22
HenryVI
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 349
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:22
EdwardIV
0.00%
-%
-
-
0.00%
0.00%
0.00
-
 Rank: 350
 
DrKodiak
 
Q9 contest
0.00
04/14/2017 12:23
EdwardV
0.00%
0.00%
-
-
0.00%
0.00%
0.00
-