The Quantiacs trading competition is held every half a year. An algorithm trained on historical data is tested for 3 month. After the winner is determined, the algorithms' performance continues to be public on the Quantiacs website. Here is my current top algorithm's performance on the new data.
U signifies the upload date, after which no changes to the algorithm has been made. The plot shows how the returns of the algorithm survived through the market crash of August 2015.
| Trading Days | 89 |
| Perf. |
2.16% (6.34% p.a.)
|
| Volatility | 4.37% |
| Sharpe Ratio |
1.445
|
| Sortino Ratio |
2.183
|
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