Welcome to the CUATS Challenge 2024 - our annual coding competition! 

 

We are excited to be organising this event to showcase Cambridge University talent in developing the best trading algorithms. 

 

Please register at  https://cuats_challenge2024.eventbrite.co.uk by 5 November 2023, 23:00 to work on this project over the winter holiday break.

 

Registered teams will receive further information about the competition including resources to begin developing their trading algorithms.

 

The description of the challenge, guidelines, and timetable are listed below. 

 

Please send any questions you have to: cuats.challenge@gmail.com

 

Challenge:

 

Starting with a cash balance of $100,000, develop a trading algorithm that achieves a positive alpha with the highest Sharpe ratio (minimum of 1.00), the maximum profit, and a maximum drawdown of 20%.  The trading strategy should be backtestable over any 7 year period from 1 January 2004 to the present and benchmarked against the S&P 500 Index.  You may use any tradable instrument across all assets of the US markets available on QuantConnect in constructing your trading strategy.  (Strategies that use Crypto assets will be benchmarked against Bitcoin)

 

Note: A template code will be provided on the CUATS GitHub including the default QuantConnect standard execution model and fees structure as well as maximum leverage limit of 10 -  similar to what has been used in our example strategies from the CUATS Coding Sessions. 

 

Guidelines and Timetable:

 

1. Individual or team submissions up to 3 currently enrolled Cambridge students and postdocs

2. Team Formation Deadline: Sunday, 5 November 2023, 23:00

3. Launch Date: Monday, 6 November 2023, 12:00

4. Code Submission Deadline: Friday, 5 January 2024, 23:00

5. Start of Live Trading period: Monday, 8 January 2024, 14:30

6. End of Live Trading period: Friday, 16 February 2024, 21:00

7. Submission of code and documentation to: cuats.challenge@gmail.com

    •  QuantConnect code – all algorithms must run on the QuantConnect platform and the code should be well commented  

    •  One page summary of trading strategy describing methodology

8. Prizes: 1st place – Amazon Gift Vouchers; 2nd place – Amazon Gift Vouchers; 3rd place – Amazon Gift Vouchers

9. All entrants will receive a CUATS certificate of participation

 

Judging:

 

Submissions will be evaluated on a combination of factors including code function and interpretability, clarity of methodology, and performance results.  The top three teams will be invited to give 10 minute presentations on Sunday, 18 February, 2024, 14:00-17:00 at the University Centre, where prizes and certificates will be presented.

 

Good luck!