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: 201
 
Artemis
 
Q6 contest
-1.66
05/14/2016 17:59
Artemis_Trial_3
6.28%
6713
8.52%
0.79
1.23
-0.91%
7.16%
-1.66
-0.09
 Rank: 202
 
thentea
 
Q6 contest
-1.67
07/29/2016 20:39
mom3
9.68%
6783
9.34%
1.04
1.70
15.41%
8.30%
-1.67
1.31
 Rank: 203
 
cwilkin
 
Q6 contest
-1.70
07/27/2016 05:50
wilko5
4.11%
6804
3.68%
1.12
1.82
5.72%
3.35%
-1.70
1.31
 Rank: 204
 
Jenia
 
Q6 contest
-1.73
07/31/2016 22:44
Luke
36.55%
6789
6.81%
5.68
11.23
0.51%
4.95%
-1.73
0.08
Quantiacs All Stars
 Rank: 205
 
DrKodiak
 
Q6 contest
-1.78
07/30/2016 17:47
Iocaste
251.14%
6704
31.54%
9.15
17.11
-36.02%
21.92%
-1.78
-1.41
Quantiacs All Stars
 Rank: 206
 
Jenia
 
Q6 contest
-1.80
07/31/2016 23:15
NoblesseOblige
48.63%
6789
6.97%
7.43
16.03
-1.24%
5.06%
-1.80
-0.20
Quantiacs All Stars
 Rank: 207
 
danielkscarmo
 
Q6 contest
-1.83
07/31/2016 21:43
qaqee42a
4.08%
6804
7.12%
0.60
0.86
-0.71%
2.58%
-1.83
-0.19
 Rank: 208
 
Chasingalpha
 
Q6 contest
-1.84
07/31/2016 21:58
sdtrend
0.45%
6713
9.38%
0.11
0.07
-11.92%
17.30%
-1.84
-0.58
 Rank: 209
 
cwilkin
 
Q6 contest
-1.87
07/27/2016 07:14
wilko6
2.88%
6813
3.13%
0.96
1.51
0.15%
2.50%
-1.87
0.05
 Rank: 210
 
fabiocetta
 
Q6 contest
-1.92
07/20/2016 23:23
2016-07-21 swma futures
-0.52%
6789
11.40%
0.00
-0.07
-15.25%
7.10%
-1.92
-1.68
Federicos
 Rank: 211
 
fabiocetta
 
Q6 contest
-1.92
07/20/2016 23:45
2016-07-21 futures & stocks
-0.33%
6789
11.35%
0.02
-0.04
-15.25%
7.10%
-1.92
-1.68
Federicos
 Rank: 212
 
fabiocetta
 
Q6 contest
-1.92
07/25/2016 03:22
2016-07-25 swma all markets
-0.24%
6789
11.40%
0.02
-0.03
-12.90%
7.21%
-1.92
-1.70
Federicos
 Rank: 213
 
Jenia
 
Q6 contest
-1.92
07/31/2016 23:21
Gammastar
46.43%
6789
6.90%
7.20
15.37
-5.10%
5.06%
-1.92
-0.80
Quantiacs All Stars
 Rank: 214
 
Evolution71
 
Q6 contest
-1.95
06/13/2016 07:01
HF_Constrained
6.76%
6816
3.13%
2.27
3.92
-0.10%
2.79%
-1.95
-0.03
 Rank: 215
 
SergeLendich
 
Q6 contest
-1.96
06/10/2016 15:20
m
0.31%
6789
6.06%
0.08
0.08
-5.30%
4.76%
-1.96
-0.96
 Rank: 216
 
ptoolis
 
Q6 contest
-1.96
07/18/2016 18:04
fib1
1.57%
6673
13.08%
0.19
0.18
-18.35%
9.51%
-1.96
-1.46
 Rank: 217
 
Hunken100
 
Q6 contest
-2.12
04/03/2016 15:28
riskAdjMom5201604032332
1.80%
6679
3.50%
0.63
0.82
-7.58%
1.90%
-2.12
-2.72
 Rank: 218
 
heroisdomar
 
Q6 contest
-2.14
07/06/2016 17:39
trendfollowing
1.36%
6789
5.80%
0.31
0.37
-9.19%
3.70%
-2.14
-1.91
 Rank: 219
 
rongtrang
 
Q6 contest
-2.14
06/27/2016 19:05
trendFollowing
1.40%
6789
5.83%
0.31
0.38
-8.57%
3.75%
-2.14
-2.05
 Rank: 220
 
danielkscarmo
 
Q6 contest
-2.17
07/31/2016 17:48
qaqee41a
4.50%
6801
9.25%
0.52
0.73
-4.64%
3.73%
-2.17
-0.89
 Rank: 221
 
Evolution71
 
Q6 contest
-2.17
06/28/2016 07:47
V_StrategicAllocation_XIII
4.47%
6816
2.28%
2.12
3.71
-4.64%
1.52%
-2.17
-2.34
 Rank: 222
 
Evolution71
 
Q6 contest
-2.18
06/26/2016 12:51
V_StrategicAllocation_V
4.23%
6816
2.50%
1.86
3.13
-5.87%
1.97%
-2.18
-2.35
 Rank: 223
 
Evolution71
 
Q6 contest
-2.19
06/14/2016 07:50
HF_Constrained_II
6.85%
6816
3.18%
2.27
3.92
-0.45%
2.73%
-2.19
-0.14
 Rank: 224
 
theridman
 
Q6 contest
-2.20
07/29/2016 02:28
trendFollowing
1.59%
6789
5.73%
0.37
0.43
-11.29%
4.03%
-2.20
-2.15
 Rank: 225
 
Evolution71
 
Q6 contest
-2.21
06/28/2016 04:59
V_StrategicAllocation_XII
4.45%
6816
2.28%
2.11
3.67
-4.85%
1.53%
-2.21
-2.43