Challenge:

Starting with a cash balance of USD 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 x – similar to what has been used in our example strategies from the CUATS Coding Sessions.

Guidelines and Timetable:

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

• Team Formation Deadline: Sunday, 10 November 2024, 23:00

• Code Submission Deadline: Friday, 10 January 2025, 23:00

• Start of Live Trading period: Monday, 13 January 2025, 14:30

• End of Live Trading period: Friday, 21 February 2025, 21:00

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

• QuantConnect code – all algorithms must run on the QuantConnect platform https://quantconnect.com and the code should be well commented (.txt file ONLY PLEASE)
• One page summary of trading strategy describing methodology (.doc or .pdf file)

• Teams will be invited to give 10 minute presentations on Sunday, 23 February, 14:00-17:00 at the Postdoc Centre

• Prizes for top three teams including Amazon gift vouchers + CUATS merchandise

• All entrants will receive a CUATS certificate of participation

Judging:

Submissions will be evaluated on a combination of factors including code functionality and interpretability, clarity of methodology, and performance results.

• Assessment based on performance metrics (Sharpe Ratio, Returns, Drawdown, etc) and qualitative aspects (originality of trading idea, clarity of methodology, well-commented code)

Good luck!