Note: this article points to the Legacy Version of Quantiacs. Please check more recent material on the new version of Quantiacs: get started, simple bitcoin algorithm, machine learning example and optimizer.
In this short note we summarize how Quantiacs contests work and which payouts are distributed to the winners.
The first Quantiacs contest was held in 2014. Since then, competitions took place on a regular basis and more than 30 M USD have been allocated to winning algorithms.
Users can take part to contests writing a trading strategy on futures and submitting it to the Quantiacs platform before a fixed deadline. The deadline for the current Q14 contest is December 31st, 2020. Quantiacs provides free futures data and an open-source backtesting toolbox: the perfect environment for testing trading ideas and simulating them.
In a set of short articles we have described how to setup the Quantiacs toolbox on your local machine, the basic steps for coding a trend-following trading system in Python and a simple method to optimize your system.
Once you are ready to submit, you should simply login to your account and upload the system using the graphical interface:
Your system will be evaluated on our servers with new data on a daily basis.
Timeline
There are two main phases in the competition: the submission period and the live simulation period. Submissions can take place until December 31st, 2020.
The top 20 submissions for each user, ranked according to 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 between January 1st, 2021 and April 30th, 2021.
Scoring
Each submission will be scored using the minimum value between the Sharpe Ratio of the backtesting period, between January 1st, 2005 and December 31st, 2020, and the live Sharpe Ratio, between January 1st, 2021 and April 30th, 2021. For each user only the top-scoring algorithm will be considered for the final prizes.
Rules
Official rules can be found at the Q14 page. The basic rules your trading algorithm should fulfill are:
• Trade all or a subset of liquid futures as defined on our page.
• Have a live Sharpe Ratio that is no less than the backtest Sharpe Ratio divided by two.
• Have a backtest Sharpe Ratio greater than 1.
Prizes
The 3 best systems will be announced at the end of the live period in May 2021 and will receive 2.25 M USD in allocations: 1 M USD for the 1st place, 750k USD for the 2nd place and 500k USD for the 3rd place. Investments will last for 1 year and winners will receive 10% of net new profits.
