Tomorrow the 3rd annual Interactive Brokers (IB) Collegiate Trading Olympiad gets underway and will last eight weeks. The competition involves writing a auto trading software (ATS) that syncs with the IB trader workstation (TWS) to retrieve market data and execute a trading strategy. In the first annual Olympiad the top three programs returned 119%, 83% and 46.5% over two months. Last year the top three returned 294%, 161% and 110% while my software placed me in 10th with a two month return of 27%. See previous winners here. So the competition is fierce to say the least. If any real fund manager could consistently generate these kinds of returns they would be getting paid millions.
This year the returns are certain to be smaller because the starting cash has increased by a factor of ten, from $100k to $1M. The simulated market that programs will be trading on is sophisticated enough to include market size from the top of the book, so liquidity is even weaker than in the real market. Now I'm not sure what strategies others were using last year but a small cap or options strategy might run into trouble scaling up their system x10 because those markets are less liquid. At any rate, it will be very interesting to see how much the top yields change.
The competition is only open to students (undergraduate and graduate (me)) so the prize money is a big deal and certainly represents a major augmentation to income if you get in the top 13 places. See the prize money breakdown below. Some have argued that this competition is a sour deal for contestants because they agree to give up the license to their strategy by competing and these programs would potentially return much more than the prize money if adequately funded. This point is valid I think but the fact of the matter is that in order for students to build the kind of reputation that you would need to be given a $1M investment they are going to have to have some nice auditable performance numbers. This competition does that (I can always put on my resume now that my software made 27% in two months) and provides a significant award for students who do well (I got a $10k check). So I'm not complaining.
I actually started this blog a year ago as a venue for posting my program's trades and progress. Those of you who were reading last year may have noticed that I removed all the posts about my software's activity. I did that because I started getting alot of emails from people who were clearly dissecting my software's strategy in hopes of doing well in this year's competition. I really want to do well this year and beyond, so given my success last year I decided to temporarily remove those posts while people developed their software this year. Plainly put, I think I have a very profitable and reliable strategy and I didn't want to give myself trouble by competing with others who are doing the same thing. Those posts are merely hidden from view and they will be put back up in the future.This year I won't be posting every trade like last year because its very time consuming and my software will be trading more frequently than last year. I will however post my liquidation value every few days or so with some of the pivotal trades. IB will be doing a weekly ranking so I will post a link to that when they begin doing that on January 14th.
This year should be very interesting with the increased account sizes and the bear market in stocks. Last year the competition was running during the "glitch day" where the markets saw their biggest drop since 9/11. I expect that we will have some equally dreadful market swoons over the next few weeks to separate the floor cleaning robots from the gigantic city destroying mech warriors. Good luck everyone, may the best robot win!!!
