ALGORITHMIC TRADING CONTEST Q6 $2.25M INVESTMENTS

NEW: $1,500 Team Cash Award

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 August 2016
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:   7/31/2016  (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 3 months with live market data.

                                                                                    Live simulation period:   8/1/2016 – 10/31/2016  (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 beginning of November 2016. The three best algorithmic trading systems get guaranteed investments of $500,000, $750,000, and $1,000,000.

NEW: TEAMS

Build a team and invite friends to join. In addition to the guaranteed investments you can win the Team Cash Award of up to $1,500. The minimum team size is 3 quants, maximum size is 5. At the end of the competition we take the best individual submissions of the members within your team and compute the average score for your team. The correlation of the submitted systems within your team must not exceed 0.8. The team with the highest average score wins and all team members get $300 in cash. Again, this is on top of a potential investment in your submitted trading algorithm. 

IMPORTANT

To score in the competition your trading algorithm:
• Trades futures (you can use stocks in your indicators)
• Evaluates in less than 10 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.

Good luck to all participants!

RANKING

Backtest

Live Test Aug. 2016 to Oct. 31 2016

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
Team
 Rank: 251
 
Evolution71
 
Q6 contest
-2.73
06/27/2016 04:14
V_StrategicAllocation_VII
5.34%
6816
3.11%
1.91
3.18
-8.42%
2.48%
-2.73
-2.62
 Rank: 252
 
Evolution71
 
Q6 contest
-2.77
04/19/2016 06:52
Nonlinear_Constrained
5.78%
6816
2.10%
2.85
5.13
2.52%
1.74%
-2.77
1.15
 Rank: 253
 
Evolution71
 
Q6 contest
-2.79
06/27/2016 07:19
V_StrategicAllocation_VIII
4.72%
6816
2.71%
1.92
3.24
-6.83%
2.11%
-2.79
-2.50
 Rank: 254
 
Evolution71
 
Q6 contest
-2.84
06/28/2016 02:09
V_StrategicAllocation_XI
4.45%
6816
2.31%
2.11
3.64
-5.66%
1.63%
-2.84
-2.70
 Rank: 255
 
Evolution71
 
Q6 contest
-2.85
07/03/2016 01:57
Vector_PRT
5.96%
6816
3.25%
2.00
3.41
-7.35%
2.33%
-2.85
-2.40
 Rank: 256
 
Evolution71
 
Q6 contest
-2.87
04/19/2016 06:13
Nonlinear_II
3.38%
6816
1.22%
2.85
5.17
1.51%
0.99%
-2.87
1.22
 Rank: 257
 
Evolution71
 
Q6 contest
-2.97
05/09/2016 09:38
Originals_III
8.83%
6816
3.47%
2.68
4.68
-1.28%
2.59%
-2.97
-0.40
 Rank: 258
 
SergeLendich
 
Q6 contest
-2.99
07/31/2016 23:58
m1r
11.52%
6789
21.64%
0.56
0.85
-6.70%
9.80%
-2.99
-0.47
 Rank: 259
 
Evolution71
 
Q6 contest
-3.00
07/05/2016 13:16
Vector_TAC
5.94%
6816
3.01%
2.16
3.68
-7.74%
2.21%
-3.00
-2.67
 Rank: 260
 
fabiocetta
 
Q6 contest
-3.04
07/19/2016 06:10
2016-07-19--04
2.83%
6675
18.96%
0.24
0.24
-32.10%
13.56%
-3.04
-1.75
Federicos
 Rank: 261
 
Evolution71
 
Q6 contest
-3.14
05/04/2016 14:01
Artificial_II
4.12%
6816
1.45%
2.96
5.28
1.17%
1.13%
-3.14
0.85
 Rank: 262
 
Evolution71
 
Q6 contest
-3.17
05/25/2016 03:54
CommodityPro2
10.02%
6816
5.79%
1.83
3.05
1.04%
5.58%
-3.17
0.15
 Rank: 263
 
fabiocetta
 
Q6 contest
-3.18
07/08/2016 03:48
fabiocetta
2.33%
6789
5.79%
0.50
0.64
-12.07%
4.03%
-3.18
-2.22
Federicos
 Rank: 264
 
weoweo
 
Q6 contest
-3.25
07/11/2016 12:54
loop_the_loop
-14.31%
6708
11.22%
-1.14
-1.99
-52.57%
10.35%
-3.25
-4.02
 Rank: 265
 
Evolution71
 
Q6 contest
-3.26
05/05/2016 00:45
Artificial_Constrained
6.08%
6816
2.14%
2.94
5.22
1.68%
1.66%
-3.26
0.84
 Rank: 266
 
weoweo
 
Q6 contest
-3.39
07/17/2016 10:16
asparagus_anomalous
-13.48%
6711
12.72%
-0.94
-1.67
-50.74%
12.24%
-3.39
-3.89
 Rank: 267
 
jianboli
 
Q6 contest
-3.42
07/05/2016 10:21
Carstens_Illustration3
-0.77%
6667
7.95%
0.04
-0.14
-26.35%
6.88%
-3.42
-2.75
 Rank: 268
 
Dreamvoid
 
Q6 contest
-3.42
07/28/2016 05:45
test
-0.69%
6667
7.92%
0.04
-0.13
-24.81%
6.71%
-3.42
-2.27
 Rank: 269
 
theridman
 
Q6 contest
-3.42
07/29/2016 01:42
trendFollowing
1.26%
6789
5.85%
0.30
0.34
-11.72%
3.76%
-3.42
-2.36
 Rank: 270
 
Evolution71
 
Q6 contest
-3.43
05/06/2016 03:55
Bifurcate
9.48%
6816
4.09%
2.43
4.14
1.49%
3.34%
-3.43
0.35
 Rank: 271
 
weoweo
 
Q6 contest
-3.47
07/10/2016 08:39
stat_arb
-17.26%
6708
11.83%
-1.37
-2.24
-57.69%
15.06%
-3.47
-3.08
 Rank: 272
 
Evolution71
 
Q6 contest
-3.56
05/20/2016 03:47
ANN_Pro
7.57%
6816
4.13%
1.95
3.24
-0.35%
4.00%
-3.56
-0.07
 Rank: 273
 
Evolution71
 
Q6 contest
-3.60
05/04/2016 14:22
Alternatives_II
9.91%
6816
4.23%
2.46
4.16
0.34%
3.50%
-3.60
0.08
 Rank: 274
 
nikita232345
 
Q6 contest
-3.60
05/24/2016 09:57
love
-9.05%
3587
19.60%
-0.46
-0.73
-11.89%
10.91%
-3.60
-0.90
 Rank: 275
 
Evolution71
 
Q6 contest
-3.63
05/16/2016 09:38
Bifurcate_II
9.52%
6816
3.35%
2.96
5.25
0.92%
2.56%
-3.63
0.28