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:   07/31/2019 (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:   08/01/2019 – 11/30/2019 (11:59:59PM PST)

SCORING
Your final score is the lower of your Sharpe Ratio of your backtest, which starts on January 1, 2005, 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 at the beginning of January 2020. 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)
• Have a live Sharpe Ratio that is no less than the backtest Sharpe ratio divided by two
• Evaluates in less than 30 minutes on our servers (rule of thumb)
• Returns the same result if it is run twice (deterministic)
• Have a backtest Sharpe Ratio greater than 1.0
• Does not use ex post common knowledge (e.g. ‘don’t trade in 2008 and 2009’)
• Uses a maximum lookback of 2520 trading days
 
For a detailed collection of all rules please see the official rules.

RANKING

Backtest

Live Test August 2019 to November 30 2019

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Yearly Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank: 576
 
s_poramet
 
Q13 contest
-0.15
07/13/2019 07:04
Just Super Basic Trend Follower
12.60%
7.50%
1.68
2.68
 Rank: 577
 
s_poramet
 
Q13 contest
-0.15
01/03/2019 03:44
Swoosh Lvl Gold 99 Mini
-0.89%
15.15%
0.73
-0.09
 Rank: 578
 
s_poramet
 
Q13 contest
-0.15
02/20/2019 08:00
Z LvlSd Mc1 Miracle 75-2B
42.51%
11.47%
3.79
6.63
 Rank: 579
 
s_poramet
 
Q13 contest
-0.15
07/28/2019 01:45
Holy Grail EV
26.64%
7.66%
3.47
6.08
 Rank: 580
 
s_poramet
 
Q13 contest
-0.16
07/14/2019 01:19
Late Knight
11.62%
4.78%
2.51
4.26
 Rank: 581
 
Troy B
 
Q13 contest
-0.17
07/22/2019 20:09
Vortex1
15.88%
8.87%
1.71
3.10
 Rank: 582
 
Troy B
 
Q13 contest
-0.17
07/29/2019 20:34
Vortex1A
10.88%
7.29%
1.41
2.46
 Rank: 583
 
Troy B
 
Q13 contest
-0.17
07/29/2019 20:34
Vortex1A
10.88%
7.29%
1.41
2.46
 Rank: 584
 
Troy B
 
Q13 contest
-0.17
07/29/2019 20:34
Vortex1A
10.88%
7.29%
1.41
2.46
 Rank: 585
 
charless
 
Q13 contest
-0.17
06/22/2019 05:48
Q13-215.py
482.68%
12.89%
38.33
144.64
 Rank: 586
 
bmiller22
 
Q13 contest liquid
-0.17
03/30/2019 08:10
test
0.64%
6.92%
0.18
0.14
 Rank: 587
 
s_poramet
 
Q13 contest
-0.18
07/15/2019 20:19
BIG Mc
12.64%
3.40%
3.72
6.86
 Rank: 588
 
charless
 
Q13 contest
-0.18
05/21/2019 11:23
Q13-077.py
392.26%
8.90%
50.08
202.74
 Rank: 589
 
s_poramet
 
Q13 contest
-0.18
02/07/2019 21:56
Z Clamp CNR Duo 10
37.30%
9.31%
4.14
7.29
 Rank: 590
 
s_poramet
 
Q13 contest
-0.19
03/09/2019 03:15
One Chance Pass
14.00%
5.35%
2.65
4.69
 Rank: 591
 
s_poramet
 
Q13 contest
-0.19
01/06/2019 02:26
Lvl Full Hundred 60 Stop
8.79%
4.68%
2.07
3.18
 Rank: 592
 
s_poramet
 
Q13 contest
-0.20
07/20/2019 11:17
Timeout Mastery
17.98%
4.26%
4.31
7.70
 Rank: 593
 
s_poramet
 
Q13 contest
-0.21
02/05/2019 05:59
Triple Cheeseburger 66b - Beef B
46.58%
5.87%
8.75
17.40
 Rank: 594
 
s_poramet
 
Q13 contest
-0.21
01/16/2019 01:23
W Clamp CNR Duo 5
60.29%
7.91%
7.68
16.73
 Rank: 595
 
s_poramet
 
Q13 contest
-0.21
01/24/2019 01:30
Y Clamp CNR Duo 5
60.29%
7.91%
7.67
16.73
 Rank: 596
 
s_poramet
 
Q13 contest
-0.21
02/08/2019 00:54
Z Clamp CNR Proto
50.17%
7.75%
6.74
13.64
 Rank: 597
 
s_poramet
 
Q13 contest
-0.21
03/10/2019 03:28
Pitbull 20
14.90%
6.91%
2.16
3.61
 Rank: 598
 
vsujith
 
Q13 contest
-0.21
07/26/2019 08:26
1310Hedwig
17.33%
5.93%
3.04
5.58
 Rank: 599
 
fujin
 
Q13 contest
-0.22
07/04/2019 02:46
zirtRide
5.05%
5.75%
0.84
1.53
 Rank: 600
 
Giorgi
 
Q13 contest liquid
-0.22
07/03/2019 12:24
trendFollowing
0.51%
6.96%
0.11
0.11