[Chicago] FinSIG - Win CloudQuant's money

David Matsumura davidkunio at gmail.com
Mon Jul 24 23:08:34 EDT 2017

Hi Chipy,

As detailed in our last FinSIG meeting you can win a prize from CloudQuant
by improving a strategy on their platform. Submissions need to be returned
to Tayloe (cc'd) by *7:30 AM Friday*.

You will need to return your Detailed Portfolio Report to be considered.
The scoring criteria is below.

Here is a link to an intern's attempt to improve the strategy.

Here is the scoring criteria.




Avg annual ROR

Strategy with higher return gets higher score.


Net Edge/Share

Strategy with higher edge per share gets higher score.


Sharpe ratio

Strategy with higher Sharpe Ratio gets higher score.


Maximum drawdown

Strategy with lower max drawdown (by absolute value) gets higher score.


Trade win percentage

Strategy with higher trade win percentage gets higher score.


Average daily turnover

Strategy with higher daily turnover gets higher score.



Strategy with longer duration gets higher score.

Good Luck!

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