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 back testing toolbox.
 
TIME LINE
There are two main phases in the competition: The submission period and the live simulation period.
Deadline for trading algorithm submissions:   06/30/2018 (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:   07/01/2018 – 10/31/2018 (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 systems we will take the one with the highest score. We will announce the winners beginning of November 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 July 2018 to Oct. 31 2018

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 276
 
InvestmentDoge
 
Q11 contest
-0.60
05/23/2018 09:33
BlankTradingStrategy20185231931
2.32%
3.19%
0.66
1.17
-0.49% 2.39%
-0.60
-0.98
 Rank: 277
 
s_poramet
 
Q11 contest
-0.60
06/02/2018 10:31
8ofHeart Salami
8.49%
2.33%
3.73
6.81
-0.49% 2.36%
-0.60
-1.05
 Rank: 278
 
s_poramet
 
Q11 contest
-0.60
06/29/2018 02:27
Preview UCS Y2S
20.29%
8.56%
2.66
3.56
-1.36% 6.51%
-0.60
-0.89
 Rank: 279
 
charless
 
Q11 contest
-0.60
06/26/2018 23:43
WrMchn
84.86%
7.25%
12.00
33.68
-1.03% 4.88%
-0.60
-1.00
 Rank: 280
 
s_poramet
 
Q11 contest
-0.62
06/23/2018 09:06
SuperRenewed O Season
25.52%
10.35%
2.72
3.83
-2.46% 11.24%
-0.62
-0.89
 Rank: 281
 
s_poramet
 
Q11 contest
-0.62
06/22/2018 09:07
SuperRenewed Mc All 2
20.41%
8.61%
2.66
3.58
-1.83% 8.37%
-0.62
-0.88
 Rank: 282
 
s_poramet
 
Q11 contest
-0.63
06/21/2018 23:48
Midterm 1234567
22.08%
8.02%
2.84
4.38
-2.20% 9.96%
-0.63
-0.87
 Rank: 283
 
Cosmo Connor
 
Q11 contest liquid
-0.63
05/18/2018 05:11
CosmoConnor
-3.15%
5.68%
-0.63
-0.84
1.62% 3.54%
1.35
2.32
 Rank: 284
 
s_poramet
 
Q11 contest
-0.63
06/26/2018 03:07
SuperRenewed Vm Sembimb3
19.27%
8.57%
2.53
3.52
-2.74% 12.27%
-0.63
-0.88
 Rank: 285
 
zaidalissa
 
Q11 contest
-0.63
06/29/2018 08:20
ZAA_ML_FUT_252
3.14%
10.51%
0.35
0.45
-1.93% 8.72%
-0.63
-0.88
 Rank: 286
 
s_poramet
 
Q11 contest
-0.65
06/22/2018 09:28
Floater 12345678 2
21.73%
8.84%
2.91
3.62
-2.32% 10.16%
-0.65
-0.89
 Rank: 287
 
s_poramet
 
Q11 contest
-0.65
06/13/2018 09:16
SA ivrq
13.96%
4.94%
2.94
4.89
-0.84% 3.73%
-0.65
-0.94
 Rank: 288
 
s_poramet
 
Q11 contest
-0.65
06/22/2018 06:25
Midterm 12345678
21.28%
8.82%
2.86
3.57
-2.35% 10.22%
-0.65
-0.90
 Rank: 289
 
KOBAS
 
Q11 contest
-0.65
06/18/2018 01:56
1806166Q56KJJ3
7.19%
7.29%
1.03
1.53
-1.15% 5.04%
-0.65
-0.99
 Rank: 290
 
s_poramet
 
Q11 contest
-0.66
06/23/2018 09:09
SuperRenewed R
16.62%
8.64%
2.16
2.85
-2.00% 8.65%
-0.66
-0.95
 Rank: 291
 
s_poramet
 
Q11 contest
-0.66
06/09/2018 11:08
p_rol_sv
12.49%
13.39%
1.10
1.46
-3.81% 16.13%
-0.66
-0.90
 Rank: 292
 
s_poramet
 
Q11 contest
-0.67
06/29/2018 00:05
SuperRenewed O Seasonb5
28.88%
15.76%
2.53
2.47
-2.91% 12.18%
-0.67
-0.97
 Rank: 293
 
s_poramet
 
Q11 contest
-0.68
05/20/2018 08:05
oam_p007
3.31%
1.92%
1.87
2.82
-0.55% 2.35%
-0.68
-0.97
 Rank: 294
 
KOBAS
 
Q11 contest
-0.68
06/15/2018 03:28
1806143Q64KJJC1
4.05%
2.93%
1.33
2.33
-0.62% 2.61%
-0.68
-1.04
 Rank: 295
 
mwalimudan
 
Q11 contest liquid
-0.68
06/04/2018 12:01
JustTesting12r1Q11
17.99%
6.23%
3.05
5.25
-1.87% 7.83%
-0.68
-0.97
 Rank: 296
 
s_poramet
 
Q11 contest
-0.68
06/18/2018 21:40
Renewed Rol
14.95%
8.80%
1.92
2.54
-1.86% 7.76%
-0.68
-1.00
 Rank: 297
 
s_poramet
 
Q11 contest
-0.68
06/22/2018 06:25
SuperRenewed Mc Midy
22.92%
10.42%
2.49
3.24
-2.51% 10.37%
-0.68
-0.96
 Rank: 298
 
s_poramet
 
Q11 contest
-0.69
06/27/2018 00:23
SuperRenewed 4V Qb5
18.98%
17.55%
2.77
1.26
-2.38% 9.81%
-0.69
-1.02
 Rank: 299
 
s_poramet
 
Q11 contest
-0.69
06/13/2018 09:16
SA mvq
12.13%
5.24%
2.37
3.95
-0.95% 3.96%
-0.69
-1.08
 Rank: 300
 
KOBAS
 
Q11 contest
-0.70
06/28/2018 02:12
1806277Q16KJJ
7.32%
6.92%
1.05
1.66
-1.03% 4.22%
-0.70
-1.20