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Project_Algorithm_Trading

The Algorithm Trading Challenge requires teams to design a profitable algorithmic trading strategy for a single stock using a provided Nasdaq dataset. Teams start with a $50,000 budget and can invest in a fixed deposit, with the goal of maximizing surplus by the end of the competition. Grading is based on performance, presentation, and a report, with key deadlines for submissions and presentations outlined in the schedule.

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2 views6 pages

Project_Algorithm_Trading

The Algorithm Trading Challenge requires teams to design a profitable algorithmic trading strategy for a single stock using a provided Nasdaq dataset. Teams start with a $50,000 budget and can invest in a fixed deposit, with the goal of maximizing surplus by the end of the competition. Grading is based on performance, presentation, and a report, with key deadlines for submissions and presentations outlined in the schedule.

Uploaded by

ramya
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Algorithm Trading Challenge

Prof. Dr. Yi-Ting CHEN

© Prof. Dr. Yi-Ting CHEN 1


Competition Task
• Objective: Design and implement an algorithmic trading strategy that
selects only one trading target and modes (long or short) and design
the most profitable trading strategy based on market conditions.
• Competition setting and rules:
• Each team consists of 2, 3 or 4 participants.
• Every team begins with a $50,000 budget and has the flexibility to allocate any
amount, high or low, on a single stock. (updated on Feb. 26th)
• The remaining funds will be invested in a fixed deposit with the annual interest
rate of 4%.
• The team that accumulates the highest surplus as the winner of the game.

© Prof. Dr. Yi-Ting CHEN 2


Dataset
• Nasdaq dataset will be provided,
including open price, close price, highest
price, lowest price and volume.
Participants can use this dataset for
backtesting their algorithms.
• The dataset has been separated into training
and testing parts. The training period starts
from 2013 to end of 2019. The testing period
starts from 2020 to end of February 2024.
• Training dataset is used for back-testing to
decide the trading target and the
corresponding strategy.
• Testing dataset is used for evaluating the final
profit.

© Prof. Dr. Yi-Ting CHEN 3


Grading Policy
• Grade = 10/20 (performance) + 5/20 (presentation) + 5/20 (report)
• Deadline and submission:
• Participants should submit their algorithm code and the final profits for the evaluation
period.
• The code shall be uploaded one day before the presentation.
• Presentation:
• Each group has 20 minutes to present the back-testing and evaluation results and
demonstrate the performance of their algorithms or models over a specified historical
period.
• If you use ChatGPT in this competition, please report the your prompt and the
performance and profits in the back-testing.
• Report:
• Please summarize a comprehensive documentation explaining the logic, strategy, and
parameters used in their algorithm.

© Prof. Dr. Yi-Ting CHEN 4


Schedule of the challenge
Date
Feb. 6 Task announcement
Feb. 20 Deadline to decide team members.
Feb. 29 Optional: Genie in the classroom.
(Each team has 25 minutes)
Mar. 5 Testing dataset will be available on Moodle.
Mar. 7 Deadline to upload the source code and final result.
Mar. 12 Presentation
Mar. 18 Deadline to upload the report

© Prof. Dr. Yi-Ting CHEN 5


The format of the final result
• The final result shall follow this format, with Buy and Sell columns.
• The budget on the stock market shall also be specified.

© Prof. Dr. Yi-Ting CHEN 6

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