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: 376
 
charless
 
Q9 contest
-0.35
09/29/2017 10:24
Rogers
227.25%
8.81%
26.73
102.55
-6.99%
5.94%
-0.35
-2.06
 Rank: 377
 
charless
 
Q9 contest
-0.39
09/28/2017 17:59
Mortimer
356.22%
13.26%
28.45
86.63
-2.09%
7.27%
-0.39
-0.57
 Rank: 378
 
mcrugby
 
Q9 contest
-0.43
05/06/2017 07:01
meanreversion201705061601
-8.72%
26.59%
-0.32
-0.53
-10.04%
17.00%
-0.43
-1.09
 Rank: 379
 
mcrugby
 
Q9 contest
-0.43
05/06/2017 07:01
meanreversion201705061601
-8.72%
26.59%
-0.32
-0.53
-10.04%
17.00%
-0.43
-1.09
 Rank: 380
 
MAOMAO
 
Q9 contest
-0.43
09/13/2017 17:39
F_r1
13.71%
6.90%
2.03
3.44
-4.98%
4.94%
-0.43
-1.83
 Rank: 381
 
mjhemmingsen
 
Q9 contest
-0.44
05/04/2017 04:17
meanreversion
-8.54%
26.67%
-0.30
-0.52
-14.47%
17.13%
-0.44
-2.33
 Rank: 382
 
bsnodin
 
Q9 contest
-0.44
05/06/2017 03:38
meanReversion
-8.54%
26.67%
-0.30
-0.52
-14.47%
17.13%
-0.44
-2.33
 Rank: 383
 
kharma
 
Q9 contest
-0.44
05/08/2017 18:59
Mean Reversion - Quantiacs Example Source
-8.28%
26.58%
-0.30
-0.50
-9.86%
16.99%
-0.44
-1.07
 Rank: 384
 
KOBAS
 
Q9 contest
-0.44
09/20/2017 01:47
170920E2Q675XKJJL_v2
1.25%
2.00%
0.59
1.01
3.03%
2.52%
-0.44
2.40
 Rank: 385
 
KOBAS
 
Q9 contest
-0.45
09/20/2017 01:49
170920E2Q675XKJJL_v3
1.48%
2.17%
0.65
1.16
3.03%
2.51%
-0.45
2.42
 Rank: 386
 
danielkscarmo
 
Q9 contest
-0.45
09/30/2017 21:09
qaqee925b
12.32%
4.27%
2.93
5.71
-1.12%
2.87%
-0.45
-0.72
 Rank: 387
 
ol
 
Q9 contest
-0.48
04/14/2017 15:56
ts8_5
2.22%
6.04%
0.59
0.79
-7.55%
5.59%
-0.48
-1.86
 Rank: 388
 
durasm
 
Q9 contest
-0.48
09/25/2017 02:14
Hysteric_GA_v2
33.69%
15.86%
2.17
3.93
-0.27%
14.80%
-0.48
-0.03
 Rank: 389
 
charless
 
Q9 contest
-0.52
09/30/2017 11:58
Vennett
59.57%
5.10%
12.19
31.02
-2.00%
4.57%
-0.52
-0.80
 Rank: 390
 
s_poramet
 
Q9 contest
-0.58
04/14/2017 06:18
AE Love Compass
52.43%
7.44%
7.18
15.04
-0.02%
6.41%
-0.58
-0.01
 Rank: 391
 
danielkscarmo
 
Q9 contest
-0.60
09/28/2017 23:12
qaqee907a
23.34%
4.95%
4.79
9.87
-2.97%
3.33%
-0.60
-1.53
 Rank: 392
 
danielkscarmo
 
Q9 contest
-0.61
09/30/2017 21:07
qaqee923a
20.61%
3.74%
5.58
12.90
-1.80%
2.01%
-0.61
-1.56
 Rank: 393
 
mwalimudan
 
Q9 contest
-0.66
09/30/2017 17:17
RecentConvert12Q91
5.50%
4.63%
1.23
2.01
-1.84%
2.92%
-0.66
-1.23
 Rank: 394
 
mwalimudan
 
Q9 contest
-0.66
09/30/2017 17:18
RecentConvert12Q92
5.48%
4.59%
1.23
2.02
-1.94%
2.97%
-0.66
-1.94
 Rank: 395
 
DamienS
 
Q9 contest
-0.68
05/06/2017 06:52
trendfollowing_23201705060852
1.28%
5.93%
0.22
0.35
-1.16%
3.57%
-0.68
-0.61
 Rank: 396
 
s_poramet
 
Q9 contest
-0.69
09/23/2017 07:59
EGV Stretched
2.36%
1.50%
1.57
2.51
0.47%
0.96%
-0.69
0.98
 Rank: 397
 
Krishna
 
Q9 contest
-0.72
09/30/2017 18:13
Trend1
-11.60%
16.33%
-0.72
-1.07
-1.01%
14.93%
-0.41
-0.13
 Rank: 398
 
Krishna
 
Q9 contest
-0.72
09/30/2017 16:53
Trend1
-11.60%
16.33%
-0.72
-1.07
-1.01%
14.93%
-0.41
-0.13
 Rank: 399
 
s_poramet
 
Q9 contest
-0.74
04/14/2017 02:22
Arch Coin
19.20%
5.31%
3.65
6.60
0.91%
4.13%
-0.74
0.43
 Rank: 400
 
durasm
 
Q9 contest
-0.75
09/21/2017 03:36
US4984449A_v2
25.57%
13.62%
1.94
3.67
-7.40%
11.41%
-0.75
-1.24