Quantitative trading competition Q14
Guaranteed investments of $2,250,000

CLOSED
Enter 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. 2021.
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:   12/31/2020 (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). Only the top 20 submissions, ranked according their in-sample Sharpe ratio between January 1, 2005 and December 31, 2020, will take part the the live evaluation phase and be eligible for an award. All submitted trading algorithms will be simulated for 4 months with live market data.

Live simulation period:   01/01/2021 – 04/31/2021 (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 May 2021. 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 all or a subset of liquid futures (you can use stocks in your indicators) as defined in the below list
• 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.
 
LIQUID FUTURES
 
For the purpose of the Q14 contest your system will be eligible for an award only if it trades all of a subset of the following 75 futures:
 
F_AD, F_BO, F_BP, F_C, F_CC, F_CD, F_CL, F_CT, F_DX, F_EC, F_ED, F_ES, F_FC, F_FV, F_GC, F_HG, F_HO, F_JY, F_KC, F_LB, F_LC, F_LN, F_MD, F_MP, F_NG, F_NQ, F_NR, F_O, F_OJ, F_PA, F_PL, F_RB, F_RU, F_S, F_SB, F_SF, F_SI, F_SM, F_TU, F_TY, F_US, F_W, F_XX, F_YM, F_AX, F_CA, F_DT, F_UB, F_UZ, F_GS, F_LX, F_SS, F_ZQ, F_VX, F_AE, F_BG, F_BC, F_DM, F_AH, F_CF, F_FB, F_FP, F_FY, F_GX, F_LR, F_ND, F_NY, F_RR, F_RF, F_RP, F_RY, F_SX, F_TR, F_EB, F_F
 
Please see  www.quantiacs.com/For-Quants/Markets.aspx for definitions. Other markets available at  www.quantiacs.com/For-Quants/Markets.aspx can be used (for example) as external indicators. However, a system which trades other markets will not be eligible for an award.

RANKING

Backtest

Live Test January 2021 to April 30 2021

Rank
Name
Score
Upload Date
Trading System
Yearly Perf. Vola.
Sharpe Ratio
Sortino Ratio
Performance Volatility
Sharpe Ratio
Sortino Ratio
 Rank:
 
Sun73
 
Q14 contest liquid
4.46
12/15/2020 21:49
sun73_q14_v12_10
204.71%
13.97%
14.01
30.65
9.47% 15.25%
4.46
8.81
 Rank:
 
Sun73
 
Q14 contest liquid
4.46
12/15/2020 21:48
sun73_q14_v12_9
147.25%
13.90%
10.17
20.72
9.47% 15.25%
4.46
8.81
 Rank:
 
stevefoeldvari
 
Q14 contest liquid
2.78
11/15/2020 11:41
vfz0001
42.38%
14.82%
2.78
5.01
16.66% 19.85%
7.14
13.81
 Rank:
 
stevefoeldvari
 
Q14 contest liquid
2.63
12/31/2020 17:55
vfz0002
37.95%
14.02%
2.63
4.79
17.09% 19.81%
7.41
14.28
 Rank:
 
dm7
 
Q14 contest liquid
1.97
10/25/2020 01:40
tsq146fa30cb34fc846b482f1126f4669e784
19.84%
9.77%
1.97
3.40
2.93% 6.57%
2.74
4.41
 Rank:
 
dm7
 
Q14 contest liquid
1.22
10/24/2020 13:44
tsq14f252e676beb94fb6ab922b166864f219
24.70%
11.18%
2.14
3.92
1.26% 6.11%
1.22
2.02
 Rank:
 
mwalimudan
 
Q14 contest liquid
1.15
12/31/2020 20:25
JT4Hog
13.72%
11.58%
1.15
1.96
4.83% 13.49%
2.30
3.40
 Rank:
 
dm7
 
Q14 contest liquid
1.00
10/23/2020 18:20
tsq1459a1a1d402e846a4bf1848d2b636ae0e
40.13%
7.44%
5.23
11.34
0.90% 5.26%
1.00
1.54
 Rank:
 
mwalimudan
 
Q14 contest liquid
0.99
12/31/2020 20:49
CongenitalOptimistHog
12.89%
12.63%
0.99
1.66
28.53% 23.04%
13.93
28.78
 Rank:
 
dm7
 
Q14 contest liquid
0.86
10/24/2020 02:09
tsq14d25fa3fe95344b22a5364e2c66fe9ae0
55.76%
17.67%
3.05
6.14
2.12% 14.84%
0.86
1.39
 Rank:
 
dm7
 
Q14 contest liquid
0.81
10/25/2020 01:38
tsq14cc4d159d53924ba7a601d2f59f6f10e7
12.36%
6.98%
1.72
3.04
0.77% 5.57%
0.81
1.26
 Rank:
 
thmurphy93
 
Q14 contest liquid
0.61
02/05/2020 09:45
TradingStrategy20202051245
5.12%
8.15%
0.61
0.94
4.83% 9.18%
3.38
6.03
 Rank:
 
dm7
 
Q14 contest liquid
0.54
10/24/2020 02:28
tsq14da0197ce1b5249f7a7e05b63c2593ab7
18.33%
12.20%
1.46
2.48
1.28% 13.90%
0.54
0.96
 Rank:
 
NosaAI
 
Q14 contest liquid
0.52
10/16/2020 14:19
Nosaai202010161319B
4.15%
7.86%
0.52
0.75
3.30% 10.39%
1.97
3.19
 Rank:
 
NosaAI
 
Q14 contest liquid
0.52
09/29/2020 23:18
nosaaiMR20209292217
4.15%
7.86%
0.52
0.75
3.36% 10.37%
2.01
3.32
 Rank:
 
Math_Rossi
 
Q14 contest liquid
0.43
11/27/2020 18:55
BlankTradingStrategy202011271555
4.84%
11.09%
0.43
0.64
2.30% 9.92%
1.40
2.24
 Rank:
 
btarun13
 
Q14 contest liquid
0.41
10/17/2020 08:31
breaker_n
6.56%
12.19%
0.54
0.81
1.35% 20.38%
0.41
0.64
 Rank:
 
antinomy
 
Q14 contest liquid
0.39
09/09/2020 08:34
a20209090834
0.55%
1.39%
0.39
0.62
0.56% 0.92%
3.52
5.78
 Rank:
 
btarun13
 
Q14 contest liquid
0.37
10/17/2020 08:45
breaker_es
3.91%
10.52%
0.37
0.55
1.69% 17.26%
0.61
0.95
 Rank:
 
neosephiroth86
 
Q14 contest liquid
0.35
12/30/2020 18:47
sector
6.72%
19.38%
0.35
0.53
3.88% 17.86%
1.44
2.30
 Rank:
 
ocrermoantig
 
Q14 contest liquid
0.34
09/02/2020 02:37
trendFollowing
0.13%
0.38%
0.34
0.52
0.77% 1.92%
2.47
4.18
 Rank:
 
btarun13
 
Q14 contest liquid
0.31
10/17/2020 08:52
breaker_dm
3.99%
12.97%
0.31
0.46
3.02% 13.95%
1.37
2.35
 Rank:
 
dm7
 
Q14 contest liquid
0.28
10/25/2020 01:35
tsq14916b0419848140d2b8f86c7bdfef69ff
19.87%
10.42%
1.85
3.39
0.50% 10.31%
0.28
0.48
 Rank:
 
Marw001
 
Q14 contest liquid
0.27
12/11/2020 14:21
Island
1.09%
0.60%
1.77
3.12
0.03% 0.53%
0.27
0.49
 Rank:
 
QuantPropTrader
 
Q14 contest liquid
0.23
09/14/2020 04:23
BuyLowSellHigh
4.49%
18.98%
0.23
0.35
3.88% 17.45%
1.40
2.22