Quantitative trading competition Q4, Guaranteed investments of $2,250,000

JOIN Q4


Make money with your trading algorithms. The best ones get investments of $500,000.00$750,000.00 and $1,000,000.00 and you pocket half of the performance fees. All trading algorithms that were submitted before January 1st 2016 are now simulated with live data until end of March.




PHASES

Write a quantitative trading system using Quantiacs’ toolbox and Futures data.

 

Entry Period

Submit your system before 11:59pm on December 31st, 2015 to compete for total investments of $2,250,000.00.

Live Period

All submissions will be simulated with live market data from January 1st , 2016 until March 31st , 2016. The three best Trading Systems get guaranteed investments of $500,000.00, $750,000.00, and $1,000,000.00.

 

For a detailed collection of all rules please see the official rules.

SCORING

Your overall score in the competition is the single trading system with your highest overall score, which computes as

Min(Sharpe Ratio_backtest, Sharpe Ratio_live)

To score your trading system must
  • Evaluate in less than 10 minutes on our servers
  • Return the same result if it is run twice
  • Not use ex post common knowledge, like for example don’t trade in 2008.
  • Use a maximum lookback of 2520 trading days.

RANKING

Backtest

Live Test Jan. 2016 to March 31 2016

Rank
Name
Score
Upload Date
Trading System
Yearly Perf.
TradingDays
Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance
TradingDays
Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 1
 
DrKodiak
 
Q4 contest
5.73
12/31/2015 09:07
LookinGoodBillyRay201512311107
153.21%
30.64%
5.73
10.04
75.09%
662
32.38%
12.62
1.25
 Rank: 2
 
DrKodiak
 
Q4 contest
1.77
12/31/2015 10:28
MotherAlwaysSaidYouWereGreedy201512311228
38.24%
21.49%
1.82
3.24
90.52%
664
19.61%
1.77
2.56
 Rank: 3
 
QuantumCat
 
Q4 contest
1.39
12/29/2015 10:59
NewB
18.30%
5.43%
3.68
6.35
3.44%
670
5.53%
1.39
0.38
 Rank: 4
 
Evolution71
 
Q4 contest
1.38
12/11/2015 06:09
Fast_Slow_Balanced_II201512111409
4.20%
3.22%
1.38
2.17
1.82%
670
2.66%
1.47
0.43
 Rank: 5
 
Evolution71
 
Q4 contest
1.36
12/11/2015 03:00
Fast_Slow_Balanced201512111101
4.00%
3.15%
1.36
2.11
0.14%
675
2.55%
2.58
0.03
 Rank: 6
 
Evolution71
 
Q4 contest
1.30
12/08/2015 11:13
AJ_Balanced201512081918
3.98%
3.16%
1.30
2.07
3.73%
670
2.66%
1.49
0.86
 Rank: 7
 
Evolution71
 
Q4 contest
1.26
12/11/2015 02:01
Fast_Slow_Growth201512111001
5.30%
4.51%
1.26
1.91
0.77%
675
3.88%
1.94
0.12
 Rank: 8
 
Jenia
 
Q4 contest
1.24
12/31/2015 19:54
HappyNewYear
25.21%
4.73%
5.78
11.09
3.39%
670
4.18%
1.24
0.51
 Rank: 9
 
Evolution71
 
Q4 contest
1.20
12/06/2015 08:48
Naive_Parity_III201512061652
3.69%
3.11%
1.20
1.97
5.10%
670
2.42%
3.75
1.31
 Rank: 10
 
s_poramet
 
Q4 contest
1.19
12/31/2015 09:29
PSTS_Q4_2015_CorrBased
2.64%
2.04%
1.35
2.29
2.94%
670
2.03%
1.19
0.95
 Rank: 11
 
Evolution71
 
Q4 contest
1.19
12/30/2015 04:15
VolatilityTiming_C2
8.39%
7.49%
1.19
1.87
1.60%
670
5.87%
1.25
0.16
 Rank: 12
 
Evolution71
 
Q4 contest
1.11
12/05/2015 14:29
Naive_Parity_II201512052235
3.97%
3.68%
1.11
1.79
3.61%
670
2.76%
3.57
0.81
 Rank: 13
 
Evolution71
 
Q4 contest
1.01
12/04/2015 17:24
Naive_Parity201512050131
4.82%
4.61%
1.01
1.71
13.11%
670
3.69%
3.91
2.16
 Rank: 14
 
administrator
 
Q4 contest
0.95
12/30/2015 21:24
Dirk
3.12%
3.63%
0.95
1.39
-3.33%
663
2.26%
2.22
-0.82
 Rank: 15
 
Evolution71
 
Q4 contest
0.95
12/04/2015 14:21
Classic_Mix_II201512042228
3.42%
3.63%
0.95
1.53
5.09%
675
2.54%
2.89
1.18
 Rank: 16
 
Evolution71
 
Q4 contest
0.93
12/04/2015 14:16
Atlantic_III201512042222
3.85%
4.05%
0.93
1.53
8.97%
675
2.84%
4.16
1.79
 Rank: 17
 
Evolution71
 
Q4 contest
0.88
12/04/2015 03:40
Classic_Mix201512041140
2.71%
3.08%
0.88
1.37
5.74%
670
2.62%
3.51
1.37
 Rank: 18
 
QuantumCat
 
Q4 contest
0.86
12/31/2015 19:42
billion
27.61%
5.35%
5.64
10.56
-1.99%
675
4.52%
0.86
-0.27
 Rank: 19
 
yishuwei
 
Q4 contest
0.85
12/31/2015 03:55
Dalstein
0.63%
0.80%
0.85
1.28
-0.51%
670
0.27%
1.92
-1.24
 Rank: 20
 
Evolution71
 
Q4 contest
0.83
11/13/2015 07:20
AJ_RiskDiversifier_II201511131520
3.72%
4.36%
0.83
1.38
9.39%
670
3.47%
3.56
1.64
 Rank: 21
 
ryan_miller
 
Q4 contest
0.81
12/30/2015 15:52
tsA
8.86%
12.10%
0.81
1.14
1.34%
668
14.16%
1.30
0.05
 Rank: 22
 
Evolution71
 
Q4 contest
0.80
12/04/2015 02:21
Atlantic_II201512041021
2.75%
3.37%
0.80
1.26
6.62%
675
2.91%
3.33
1.31
 Rank: 23
 
Evolution71
 
Q4 contest
0.80
12/03/2015 00:09
Atlantic201512030810
4.37%
5.50%
0.80
1.27
6.50%
670
4.06%
3.72
0.91
 Rank: 24
 
Evolution71
 
Q4 contest
0.77
11/13/2015 04:20
AJ_RiskDiversifier201511131220
3.52%
4.41%
0.77
1.31
9.39%
670
3.47%
3.56
1.64
 Rank: 25
 
ryan_miller
 
Q4 contest
0.74
12/31/2015 10:56
tsB
2.87%
4.08%
0.74
1.14
4.33%
670
4.66%
3.23
0.63