Quantitative trading competition Q12, 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 January 1 2019
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:   12/31/2018 (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:   01/01/2019 – 4/30/2019 (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 June 2019. 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 January 2019 to April 30 2019

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 751
 
KOBAS
 
Q12 contest
-1.39
10/29/2018 13:50
1810230QKXX64
7.19%
5.65%
1.28
2.03
-2.09% 0.00%
-1.39
-2.13
 Rank: 752
 
KOBAS
 
Q12 contest
-1.39
10/17/2018 14:11
1810110QKXX31
5.62%
13.27%
1.36
1.83
-5.59% 0.00%
-1.39
-1.96
 Rank: 753
 
charless
 
Q12 contest
-1.39
11/03/2018 14:18
Q12-030
40.90%
4.38%
9.78
24.26
-1.85% 0.00%
-1.39
-2.53
 Rank: 754
 
emmarfan
 
Q12 contest liquid
-1.40
12/18/2018 23:01
1
2.94%
17.76%
0.17
0.25
-6.09% 0.00%
-1.40
-2.05
 Rank: 755
 
KOBAS
 
Q12 contest
-1.41
11/06/2018 13:38
1810230QKXX73
3.94%
4.20%
1.05
1.52
-2.76% 0.00%
-1.41
-2.20
 Rank: 756
 
maxam
 
Q12 contest liquid
-1.43
12/05/2018 03:38
rearMirror
6.47%
38.10%
0.20
1.64
-1.91% 0.00%
-1.43
-2.23
 Rank: 757
 
mylgjy
 
Q12 contest liquid
-1.44
07/14/2018 09:58
untitled0
1.85%
5.69%
0.41
0.51
-2.16% 0.00%
-1.44
-2.38
 Rank: 758
 
KOBAS
 
Q12 contest
-1.45
12/24/2018 14:47
181222OR0S0F3LKJJ9
6.09%
14.40%
1.54
1.81
-6.60% 0.00%
-1.45
-2.03
 Rank: 759
 
swordfish
 
Q12 contest liquid
-1.46
08/30/2018 20:22
trendFollowing
1.32%
5.64%
0.32
0.36
-2.09% 0.00%
-1.46
-2.49
 Rank: 760
 
emmarfan
 
Q12 contest
-1.47
12/03/2018 02:50
20
3.49%
6.36%
0.72
0.81
-1.75% 0.00%
-1.47
-2.65
 Rank: 761
 
KOBAS
 
Q12 contest
-1.49
12/20/2018 01:35
181220OR0S0F10KJJ1
8.34%
7.55%
1.10
1.84
-5.03% 0.00%
-1.49
-2.25
 Rank: 762
 
KOBAS
 
Q12 contest
-1.50
12/20/2018 03:41
181220OR0S0F10KJJ2
9.29%
8.67%
1.12
1.79
-5.48% 0.00%
-1.50
-2.33
 Rank: 763
 
KOBAS
 
Q12 contest
-1.50
12/21/2018 05:33
181220OR0S0F1KJJ1
6.19%
8.29%
1.16
1.64
-6.76% 0.00%
-1.50
-1.99
 Rank: 764
 
KOBAS
 
Q12 contest
-1.50
10/25/2018 05:11
1810230QKXX16
7.28%
10.12%
1.55
2.02
-4.79% 0.00%
-1.50
-2.31
 Rank: 765
 
KOBAS
 
Q12 contest
-1.50
10/26/2018 02:10
1810230QKXX28
7.16%
10.15%
1.55
1.98
-4.79% 0.00%
-1.50
-2.31
 Rank: 766
 
KOBAS
 
Q12 contest
-1.50
10/26/2018 02:10
1810230QKXX29
5.47%
13.91%
1.53
1.64
-6.35% 0.00%
-1.50
-2.12
 Rank: 767
 
KOBAS
 
Q12 contest
-1.50
10/25/2018 05:13
1810230QKXX17
6.85%
13.72%
1.54
2.24
-6.35% 0.00%
-1.50
-2.12
 Rank: 768
 
charless
 
Q12 contest
-1.52
11/03/2018 14:15
Q12-024
49.08%
5.14%
10.01
22.98
-1.92% 0.00%
-1.52
-2.48
 Rank: 769
 
charless
 
Q12 contest
-1.53
11/15/2018 00:44
Q12-047
38.30%
4.98%
7.94
17.35
-2.21% 0.00%
-1.53
-2.46
 Rank: 770
 
KOBAS
 
Q12 contest
-1.53
12/28/2018 14:44
181228OR0S0F20HLKJJ4
5.49%
4.51%
1.26
1.98
-1.43% 0.00%
-1.53
-2.19
 Rank: 771
 
Drace
 
Q12 contest liquid
-1.54
12/08/2018 11:12
Setup
2.00%
5.75%
0.39
0.55
-2.30% 0.00%
-1.54
-2.48
 Rank: 772
 
vdo
 
Q12 contest liquid
-1.54
08/07/2018 21:49
tutorialSystem
2.02%
5.75%
0.42
0.55
-2.30% 0.00%
-1.54
-2.48
 Rank: 773
 
KOBAS
 
Q12 contest
-1.58
12/21/2018 07:33
181220OR0S0F1KJJ3
4.89%
13.14%
1.33
1.45
-8.33% 0.00%
-1.58
-2.10
 Rank: 774
 
BlueKnight
 
Q12 contest liquid
-1.59
07/20/2018 14:42
tweakedtrendFollowing
1.86%
5.79%
0.38
0.51
-2.34% 0.00%
-1.59
-2.47
 Rank: 775
 
KOBAS
 
Q12 contest
-1.62
11/19/2018 12:01
1810230QKXX120
3.92%
13.88%
1.06
1.15
-10.38% 0.00%
-1.62
-2.35