Welcome to the CUATS Challenge 2022 - our first coding competition! 

 

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

 

We are kicking off with a drinks and nibbles reception in the Garden Room of The Graduate Hotel Cambridge on Friday, 2 December, 5pm-9pm

 

This is a great opportunity to meet other members of the society and to form teams to work on this project over the winter holiday break.

 

Please register in advance to attend the reception at  https://cuats_challenge.eventbrite.co.uk 

 

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 1980 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. Launch Date: Monday, 28 November 2022

3. Drinks and Nibbles Reception to meet other members, form teams: Friday, 2 December 2022, 17:00 – 21:00

4. Team Formation Deadline: Monday, 5 December 2022, 17:00

5. Code Submission Deadline: Saturday, 28 January 2023, 17:00

6. 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

7. Prizes: 1st place – Apple Ipads; 2nd place – Apple watches; 3rd place – Midsummer House lunch vouchers

8. 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, 5 February, 2pm-5pm at the University Centre, where prizes and certificates will be presented.  Everyone is welcome to attend.

 

Good luck!