On a tempestuous January evening in Vancouver, software developer and longtime Quantopian power-user Simon Thornington set his gaze on the lurching progress of his latest backtest. With returns data complete and charts fully drawn, a swift series of clicks led Simon to the threshold of possibility, a chance to enter the product of his labor in the newly announced Quantopian Open. Few knew exactly what this fledgling competition would emerge to be. Who would enter? What strategies would prevail? Was this daybreak in a new era for a company intoxicated by the dream of opening quantitative finance to the public?
As weeks passed and a bitter winter tightened her clasp on British Colombia’s shores, Simon’s precious code jostled through the ranks of a growing leaderboard, tangling with giants of the Quantopian stage. But as February came to a close and Grant shocked Kyu to capture the Open’s first crown, Simon’s algorithm settled in at strong yet distant 11th place. Nonetheless, even as celebrations and congratulations for Grant rung out from regions near and far, Mr. Thornington’s brainchild showed no signs of surrender.
Roaring into March with the fires of an exuberant yet fickle market at its behind, that tenacious January born algorithm rose steadily to the front of the pack. Galloping towards the finish line, Simon’s strategy struck decisively in the last moments of the race, claiming victory on the final trading day of March.
So far, 2015 has proven to be an bumpy year in equities. We are thrilled to reward an algorithm that has beaten both up and down markets in an ever shifting geopolitical climate. Sporting high returns, low volatility and low beta, Simon's strategy is high caliber example of the kind of algorithm we are seeking for our crowd-sourced hedge fund.
Tomorrow morning, Simon’s algorithm will be launched with a $100,000 IB account. After six months, he will keep all the profit. As you watch the April contest unfold, be sure to follow along with Simon's progress on the Quantopian Open winners page.
Want next month's chapter to be about you? Run a backtest and enter the May round of the Quantopian Open to begin your quest for eternal algorithmic trading glory.