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: 476
 
danielkscarmo
 
Q9 contest
-3.16
09/30/2017 21:08
qaqee924a
17.27%
3.78%
4.64
9.71
-2.26%
2.52%
-3.16
-1.58
 Rank: 477
 
danielkscarmo
 
Q9 contest
-3.17
04/14/2017 20:09
qaqee802c
11.67%
3.49%
3.37
6.71
1.46%
2.56%
-3.17
1.16
 Rank: 478
 
omgbbqhax
 
Q9 contest
-3.23
06/25/2017 02:19
quant201706251219
0.85%
5.83%
0.17
0.23
-3.70%
4.05%
-3.23
-1.73
 Rank: 479
 
charless
 
Q9 contest
-3.27
09/29/2017 10:25
Bregman
153.37%
9.93%
15.84
40.85
-4.06%
6.84%
-3.27
-1.13
 Rank: 480
 
danielkscarmo
 
Q9 contest
-3.28
04/14/2017 22:49
qaqee808a
15.23%
3.48%
4.44
9.08
-1.72%
2.07%
-3.28
-1.39
 Rank: 481
 
danielkscarmo
 
Q9 contest
-3.39
09/28/2017 23:11
qaqee904a
25.47%
7.15%
3.64
6.71
-3.05%
6.49%
-3.39
-0.87
 Rank: 482
 
danielkscarmo
 
Q9 contest
-3.47
09/29/2017 21:00
qaqee919a
20.65%
4.98%
4.22
9.13
-3.84%
3.39%
-3.47
-1.81
 Rank: 483
 
Timeroot
 
Q9 contest
-3.52
04/15/2017 00:00
Shmuppies
21.69%
5.23%
4.22
8.67
-1.34%
4.13%
-3.52
-0.67
 Rank: 484
 
danielkscarmo
 
Q9 contest
-3.64
09/29/2017 20:57
qaqee912a
33.94%
5.30%
6.53
15.14
-3.81%
4.05%
-3.64
-1.47
 Rank: 485
 
redux
 
Q9 contest
-3.65
04/23/2017 10:37
maxAR
-10.40%
5.84%
-1.75
-2.62
-8.12%
3.42%
-3.65
-3.82
 Rank: 486
 
danielkscarmo
 
Q9 contest
-3.72
09/28/2017 23:21
qaqee910a
20.24%
4.02%
5.12
11.25
-0.81%
3.21%
-3.72
-0.47
 Rank: 487
 
SakalouskiA
 
Q9 contest
-3.77
04/30/2017 10:16
Tu
0.79%
1.17%
0.73
1.06
-0.91%
0.35%
-3.77
-3.89
 Rank: 488
 
SakalouskiA
 
Q9 contest
-3.83
04/30/2017 10:16
TuEd2
0.54%
0.74%
0.79
1.13
-0.91%
0.35%
-3.83
-3.93
 Rank: 489
 
charless
 
Q9 contest
-3.88
09/29/2017 10:23
Sullivan
107.87%
5.59%
19.90
68.20
-6.27%
3.38%
-3.88
-3.27
 Rank: 490
 
charless
 
Q9 contest
-3.92
09/29/2017 03:53
Valentine
224.14%
12.77%
18.55
46.31
-11.89%
8.35%
-3.92
-2.66
 Rank: 491
 
lazarov
 
Q9 contest
-3.97
06/06/2017 08:57
trendFollowing
-11.77%
5.75%
-1.98
-2.99
-14.77%
4.45%
-3.97
-4.91
 Rank: 492
 
danielkscarmo
 
Q9 contest
-4.26
09/29/2017 20:59
qaqee914b
16.69%
5.64%
3.01
5.90
-3.97%
3.30%
-4.26
-2.36
 Rank: 493
 
danielkscarmo
 
Q9 contest
-4.35
09/29/2017 20:59
qaqee917a
16.04%
4.26%
3.84
7.82
-4.50%
2.26%
-4.35
-3.21
 Rank: 494
 
danielkscarmo
 
Q9 contest
-4.78
09/29/2017 20:58
qaqee914a
21.68%
5.64%
3.87
8.41
1.63%
3.90%
-4.78
0.96