Planning Multiple Strategies for a Quantitative Trading Competition

Summary

This guide interprets the schedule, asset rules, position limits, and scoring criteria for a stock-trading competition. It recommends planning development and simulation time in advance, describing strategy logic clearly, and accounting for the specified universe of Shanghai and Shenzhen A-shares, per-stock position cap, starting capital, and limit on submitted strategies. The competition runs a simulated trading period before participants submit a final report.

The author suggests using multiple strategies with distinct styles, such as different market regimes, holding periods, market-cap groups, or research approaches. The ranking combines excess return, Sharpe ratio, maximum drawdown, and annualized volatility, leading the guide to emphasize return stability and risk control alongside returns. Its examples and recommendations are qualitative; it does not present independent test results showing that diversification across entries improves rank. The competition dates and rules are specific to the event described, and the proposed regime-based allocation may not anticipate changing market conditions.

Key ideas

• The competition's score combines excess return, Sharpe ratio, maximum drawdown, and annualized volatility.
• The guide advises managing return variability and drawdown instead of pursuing returns without regard to risk.
• Participants can submit up to three strategies, which the author recommends making distinct in style.
• Suggested ways to vary strategies include market regime, investment horizon, market capitalization, and research method.
• The described rules and schedule apply to the particular competition covered in the guide.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.