Duke FinTech Annual InterCollegiate Trading Competition

There’s been an upset! The two frontrunners – Hoppity and Bubbles – have been battling it out for first place by running strategies that generate small but reliable daily returns with almost zero volatility. On 17 Feb, Bubble’s strategy took a downturn, placing him in 3rd place with a Sharpe ratio of 0.44, just behind Trader Raven, who now occupies 2nd place with a Sharpe of 0.56.

Hoppity remains in the lead with a commanding Sharpe of ratio of 16.78. Bubbles, Hoppity and Trader Raven were asked to provide a few words about themselves and their strategies.

Trader Raven’s commentary is below:

I’m Zhiyuan Chen, double majoring in Automation and International Economics and Trade. I am very fortunate to represent Shenzhen University in this competition and have achieved a good ranking so far. I noticed Sharpe ratio is the core indicator of this game, so ensuring return and reducing risk is my main idea due to my first participation in Trading Competition. This time I guarantee my current income by holding large amounts of hard currency over time, while buying some Treasuries and other corporate bonds to help hedge some of my risk. Fortunately, it works.

Bubbles had this to say:

My name is Tanner Hoke and I am a Computer Science major at Texas A&M University. I noticed that the trading competition is scored based on Sharpe ratio, and thought that if I could find a strategy to make the denominator (which is EoD volatility) close to zero, I might have a shot at winning. I won’t go into too much detail about my strategy, but it involves a high probability of generating a consistent and small positive return every day. It’s possible that it fails somewhat catastrophically, though; we will see!

Hoppity provided the following:

I am Richard, a senior at Harvard University studying Math and Statistics. I had some previous experience with quantitative trading, and will be working at a proprietary trading firm next year. I’m super excited for the competition since the scoring function is more interesting than traditional trading competitions! Since the goal of the competition is to maximize the Sharpe ratio, it is crucial to reduce my risk and variance as much as possible. I am running an automated trading strategy that aims to make a constant and positive returns every day. The automated strategy allows me to avoid most market risks that are unavoidable with “buy and hold” strategies, thus maximizing my Sharpe. I hope to keep this up for the rest of the competition. Computer code is prone to errors, and it seems like another competitor is right on my tail!

Will Bubbles recover and overtake the frontrunners for first place? Will Hoppity’s strategy continue as expected and keep him in the lead? Will Trader Raven continue to rake in cash while maintaining a very respectable Sharpe?

Check back to see how this competition plays out! This site is updated daily.