Quantiacs

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: 09/30/2017 (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: 10/01/2017 – 01/31/2018 (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 system we will take the one with the highest score. We will announce the winners in February 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 Oct. 2017 to Jan. 31 2018
Rank Name	Score Upload Date Trading System	Yearly Perf.	Yearly Vola. Sharpe Ratio Sortino Ratio	Performance	Volatility Sharpe Ratio Sortino Ratio
Rank: 176 brandonlattt Q9 contest liquid	0.38 06/05/2017 21:21 temp	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 177 Daveskj Q9 contest liquid	0.38 05/27/2017 00:47 test	2.30%	5.92% 0.38 0.62	1.87%	3.71% 1.00 1.45
Rank: 178 zugtrader Q9 contest liquid	0.38 05/27/2017 06:28 trading_system	2.30%	5.92% 0.38 0.62	1.87%	3.71% 1.00 1.45
Rank: 179 markbekker77 Q9 contest liquid	0.38 05/27/2017 11:23 trendFollowing	2.30%	5.92% 0.38 0.62	1.87%	3.71% 1.00 1.45
Rank: 180 jaikumarm Q9 contest liquid	0.38 05/09/2017 14:05 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 181 pejato Q9 contest liquid	0.38 05/09/2017 00:57 LAPTOP	2.30%	5.92% 0.38 0.62	1.87%	3.71% 1.00 1.45
Rank: 182 kharma Q9 contest liquid	0.38 05/08/2017 16:56 Trend Following - Quantiacs Example Source	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 183 kharma Q9 contest liquid	0.38 05/08/2017 19:01 Trend Following - Quantiacs Example Source	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 184 Vasek Q9 contest liquid	0.38 04/14/2017 16:29 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 185 alfredaita Q9 contest liquid	0.38 04/15/2017 04:48 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 186 sanctyalpha Q9 contest liquid	0.38 04/29/2017 06:48 temp	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 187 nmirman Q9 contest liquid	0.38 04/30/2017 20:20 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 188 cohomology Q9 contest liquid	0.38 04/21/2017 23:37 cohomology	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 189 bludso4L Q9 contest liquid	0.38 04/26/2017 11:07 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 190 hector Q9 contest liquid	0.38 06/24/2017 00:52 tradealgo1	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 191 avdomm Q9 contest liquid	0.38 06/14/2017 11:16 temp	2.30%	5.92% 0.38 0.62	1.87%	3.71% 1.00 1.45
Rank: 192 luisfelipe2091 Q9 contest liquid	0.38 06/15/2017 02:59 temp	2.30%	5.92% 0.38 0.62	1.87%	3.71% 1.00 1.45
Rank: 193 rits Q9 contest liquid	0.38 06/15/2017 10:10 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 194 rits Q9 contest liquid	0.38 06/15/2017 10:13 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 195 NABIL Q9 contest liquid	0.38 06/27/2017 11:59 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 196 christso Q9 contest liquid	0.38 06/27/2017 20:05 TrendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 197 mslovegrove Q9 contest liquid	0.38 07/01/2017 04:31 trendFollowing	2.30%	5.92% 0.38 0.62	1.87%	3.71% 1.00 1.45
Rank: 198 mslovegrove Q9 contest liquid	0.38 07/01/2017 04:31 trendFollowing	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 199 Johannes Q9 contest liquid	0.38 07/02/2017 08:04 temp	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42
Rank: 200 iAmir Q9 contest liquid	0.38 07/04/2017 07:09 main	2.23%	5.89% 0.38 0.61	0.83%	3.61% 1.00 0.42

Quantitative trading competition Q9, Guaranteed investments of $2,250,000

OBJECTIVE

TIME LINE

SCORING

IMPORTANT