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: 401
 
KOBAS
 
Q9 contest liquid
-1.58
09/25/2017 01:39
170925E1Q67708X2KJJA
3.14%
11.19%
0.36
0.45
-13.40%
20.98%
-1.58
-1.14
 Rank: 402
 
danielkscarmo
 
Q9 contest liquid
-1.59
09/29/2017 20:58
qaqee913a
21.88%
5.53%
3.98
8.36
0.00%
3.37%
-1.59
0.00
 Rank: 403
 
danielkscarmo
 
Q9 contest liquid
-1.74
09/29/2017 22:41
qaqee920a
26.44%
5.16%
5.21
12.00
-2.89%
3.83%
-1.74
-1.47
 Rank: 404
 
KOBAS
 
Q9 contest liquid
-1.76
09/25/2017 05:25
170925E1Q55740X4KJJA
3.99%
7.70%
0.63
0.82
-17.15%
9.60%
-1.76
-3.18
 Rank: 405
 
ulat
 
Q9 contest
-1.78
05/03/2017 00:05
FirstMeanReversion
-17.94%
40.86%
-0.42
-0.68
-28.85%
22.88%
-1.78
-2.92
 Rank: 406
 
smarcel
 
Q9 contest liquid
-1.78
05/24/2017 03:06
meanReversion
-17.13%
40.75%
-0.42
-0.65
-11.54%
26.00%
-1.78
-0.79
 Rank: 407
 
suitats
 
Q9 contest liquid
-1.78
07/01/2017 09:39
meanreversion
-17.13%
40.75%
-0.42
-0.65
-11.54%
26.00%
-1.78
-0.79
 Rank: 408
 
gaudetcj
 
Q9 contest liquid
-1.78
07/11/2017 20:04
testSubmission
-17.13%
40.75%
-0.42
-0.65
-11.54%
26.00%
-1.78
-0.79
 Rank: 409
 
newbee
 
Q9 contest
-1.78
08/10/2017 10:28
meanReversion
-17.94%
40.86%
-0.42
-0.68
-28.85%
22.88%
-1.78
-2.92
 Rank: 410
 
johngroves
 
Q9 contest liquid
-1.78
08/23/2017 14:24
meanReversion
-17.62%
40.90%
-0.42
-0.66
-19.23%
22.83%
-1.78
-2.37
 Rank: 411
 
danielkscarmo
 
Q9 contest liquid
-1.79
09/30/2017 21:08
qaqee924b
17.24%
3.73%
4.70
10.00
-2.19%
2.15%
-1.79
-1.81
 Rank: 412
 
charless
 
Q9 contest
-1.80
09/28/2017 17:59
Duke
77.17%
4.97%
15.91
51.09
-4.39%
2.81%
-1.80
-2.78
 Rank: 413
 
KOBAS
 
Q9 contest liquid
-1.86
09/18/2017 14:06
170918E3Q155KJJL
0.43%
0.66%
0.66
0.99
-0.04%
0.04%
-1.86
-1.44
 Rank: 414
 
charless
 
Q9 contest
-1.87
09/29/2017 10:24
Emerson
135.52%
6.47%
21.55
74.63
-5.45%
4.35%
-1.87
-2.44
 Rank: 415
 
ProfJ
 
Q9 contest liquid
-2.03
04/20/2017 15:46
ridiculouslyovertrained201704201646
697.71%
22.38%
32.33
87.02
-1.58%
6.20%
-2.03
-0.50
 Rank: 416
 
ProfJ
 
Q9 contest liquid
-2.04
04/20/2017 15:43
ts17201704201643
573.99%
19.18%
31.00
88.85
-1.61%
6.18%
-2.04
-0.51
 Rank: 417
 
danielkscarmo
 
Q9 contest liquid
-2.12
09/28/2017 22:36
qaqee901a
12.60%
3.50%
3.63
7.50
-0.26%
2.36%
-2.12
-0.21
 Rank: 418
 
charless
 
Q9 contest liquid
-2.25
09/30/2017 11:59
Vinny
127.05%
5.94%
22.18
87.99
-8.21%
4.08%
-2.25
-3.65
 Rank: 419
 
KOBAS
 
Q9 contest
-2.27
09/20/2017 01:36
170920E2Q675XKJJL
1.18%
1.98%
0.62
1.21
-0.42%
0.58%
-2.27
-1.16
 Rank: 420
 
danielkscarmo
 
Q9 contest liquid
-2.34
09/28/2017 23:11
qaqee905a
20.41%
3.89%
5.31
11.52
0.28%
2.80%
-2.34
0.20
 Rank: 421
 
s_poramet
 
Q9 contest
-2.44
04/14/2017 03:39
Arch Steak
45.30%
12.13%
3.82
6.94
-0.70%
13.69%
-2.44
-0.11
 Rank: 422
 
danielkscarmo
 
Q9 contest liquid
-2.47
09/28/2017 22:37
qaqee902a
12.96%
3.53%
3.68
7.47
2.53%
2.16%
-2.47
2.41
 Rank: 423
 
KOBAS
 
Q9 contest
-2.49
09/24/2017 05:04
170924E1Q67708XKJJA
3.23%
11.17%
0.36
0.46
-14.85%
20.82%
-2.49
-1.27
 Rank: 424
 
SakalouskiA
 
Q9 contest
-2.53
04/29/2017 12:32
GoodOne
1.12%
3.05%
0.45
0.57
-5.63%
2.82%
-2.53
-3.41
 Rank: 425
 
SakalouskiA
 
Q9 contest
-2.62
05/11/2017 03:13
Test
1.80%
2.55%
0.71
1.11
0.27%
1.87%
-2.62
0.28