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: 101
 
s_poramet
 
Q9 contest
0.72
09/29/2017 00:26
Glyph Minimalist
5.00%
2.69%
1.88
3.27
-0.21%
2.20%
0.72
-0.18
 Rank: 102
 
mwalimudan
 
Q9 contest
0.71
07/31/2017 11:30
Determinist4Q9a
9.88%
7.67%
1.31
2.20
1.17%
3.80%
0.71
0.64
 Rank: 103
 
didi97
 
Q9 contest
0.70
09/21/2017 18:08
mts201709220208
12.74%
17.44%
0.70
1.16
21.84%
13.05%
4.09
3.26
 Rank: 104
 
KOBAS
 
Q9 contest
0.70
09/18/2017 04:25
170918E1Q128316v2KJJL
4.30%
6.22%
0.70
1.07
3.83%
8.97%
2.24
0.70
 Rank: 105
 
s_poramet
 
Q9 contest
0.67
09/17/2017 10:32
Compounder
5.80%
8.68%
0.67
1.08
3.50%
5.92%
2.27
0.98
 Rank: 106
 
Jpm
 
Q9 contest
0.66
08/30/2017 18:41
Jpm33201708302142
9.96%
9.56%
1.06
1.74
1.67%
6.54%
0.66
0.45
 Rank: 107
 
chengpeng123
 
Q9 contest
0.66
05/24/2017 16:24
FuturesNPriceMomo
4.25%
6.44%
0.66
1.04
0.33%
4.73%
1.55
0.20
 Rank: 108
 
KOBAS
 
Q9 contest
0.66
09/18/2017 03:26
170918E1Q128316KJJL
4.29%
6.68%
0.66
0.98
5.39%
12.14%
3.96
0.71
 Rank: 109
 
s_poramet
 
Q9 contest
0.65
09/29/2017 07:10
Puzzling1
4.02%
3.18%
1.30
2.08
-2.30%
2.42%
0.65
-1.50
 Rank: 110
 
s_poramet
 
Q9 contest
0.65
09/16/2017 10:57
HousePlan2
0.57%
0.49%
1.19
1.96
-0.22%
0.36%
0.65
-1.16
 Rank: 111
 
SakalouskiA
 
Q9 contest
0.64
05/06/2017 02:42
Schmetterling
5.65%
8.46%
0.64
1.09
7.73%
6.89%
2.58
2.08
 Rank: 112
 
s_poramet
 
Q9 contest
0.63
09/24/2017 07:56
CodeVU Normal
4.69%
2.97%
1.57
2.75
1.00%
2.29%
0.63
1.36
 Rank: 113
 
k3oni
 
Q9 contest
0.62
09/26/2017 19:05
Pnda12520179262205
8.98%
14.39%
0.62
1.00
6.87%
11.63%
6.01
1.62
 Rank: 114
 
KOBAS
 
Q9 contest
0.61
09/27/2017 05:15
170927E1Q240570XKJJLv2
5.02%
8.32%
0.61
0.93
1.96%
7.57%
1.93
0.47
 Rank: 115
 
danielkscarmo
 
Q9 contest
0.61
09/29/2017 22:40
qaqee901c
14.02%
3.59%
3.96
8.11
-1.75%
2.28%
0.61
-1.37
 Rank: 116
 
Sun73
 
Q9 contest
0.59
09/24/2017 08:51
sun73_v3m201709241251
8.23%
13.02%
0.59
0.95
20.07%
14.45%
5.58
2.51
 Rank: 117
 
SakalouskiA
 
Q9 contest
0.59
05/01/2017 21:22
RusskiFromLeMans
1.33%
2.19%
0.59
0.94
2.27%
2.65%
5.20
1.47
 Rank: 118
 
SakalouskiA
 
Q9 contest
0.59
05/04/2017 21:11
WhiteRusskiTest
1.32%
2.18%
0.59
0.94
1.58%
2.79%
5.20
1.50
 Rank: 119
 
ProfJ
 
Q9 contest
0.59
04/20/2017 11:00
ts16201704201201
31.27%
7.98%
3.97
7.76
2.51%
6.40%
0.59
0.72
 Rank: 120
 
18adrianoh
 
Q9 contest
0.58
09/06/2017 12:37
SafeFirstAttempt
4.26%
7.64%
0.58
0.88
-2.91%
7.79%
3.14
-0.61
 Rank: 121
 
MoreUpThanDown
 
Q9 contest
0.58
09/30/2017 17:22
LongMy2Fut
3.35%
5.80%
0.58
0.93
0.53%
4.71%
4.03
0.29
 Rank: 122
 
Sun73
 
Q9 contest
0.58
09/24/2017 07:17
sun73_v3k201709241117
8.20%
13.12%
0.58
0.94
21.80%
14.59%
5.28
2.65
 Rank: 123
 
SakalouskiA
 
Q9 contest
0.57
04/29/2017 12:44
TuEd
0.42%
0.73%
0.57
0.89
0.42%
0.44%
2.36
1.59
 Rank: 124
 
MoreUpThanDown
 
Q9 contest
0.57
09/30/2017 17:38
LongMy2FutNoCash
5.01%
8.66%
0.57
0.93
4.53%
6.17%
4.12
1.20
 Rank: 125
 
alexvoxel
 
Q9 contest
0.56
08/10/2017 10:39
trendFollowing
3.29%
5.83%
0.56
0.88
1.27%
3.95%
2.53
0.64