Tactical Momentum Rank

Quant League, an Open source Algorithmic Trading Competition by QuantConnect

OPEN QUANT LEAGUE

Quarterly Open-Source Trading Competition

The Open-Quant League is a quarterly competition between universities and investment clubs for the best-performing strategy. The previous quarter's code is open-sourced, and competitors must adapt to survive.

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Momentum Reversal Insight

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Momentum Reversal: Monthly rebalance, top 1000 US stocks, focus on medium-term momentum & short-term reversal.

$1,168,224 Equity

-$393.21 Fees

$1,145,720.95 Holdings

$-393.21 Net Profit

0% PSR

16.82 % Return

$108,699.84 Unrealized

$1,054,664.32 Volume

Simple Dynamic Momentum

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Dynamic momentum strategy for large-cap tech stocks with adaptive market exposure and risk management.

$1,104,695 Equity

-$27.80 Fees

$1,002,334.54 Holdings

$36,307.60 Net Profit

0% PSR

10.47 % Return

$69,378.48 Unrealized

$1,528,246.85 Volume

Protective Momentum Holding

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Protective Momentum: Momentum selection, efficient frontier, risk hedging.

$1,091,937 Equity

-$105.85 Fees

$1,085,365.91 Holdings

$-105.85 Net Profit

0% PSR

9.19 % Return

$-26,293.09 Unrealized

$1,111,553.15 Volume

Cardinal Wings

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SP500 strategy: Buy top 20% rising stocks with high sentiment, rebalance bi-monthly, manage risk.

$1,024,533 Equity

-$6.23 Fees

$436,050.00 Holdings

$-14,458.35 Net Profit

0% PSR

2.45 % Return

$-43,902.39 Unrealized

$859,562.12 Volume

Overnight Mean Reversion

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Overnight mean reversion strategy shorts top U.S. equities after significant overnight gains.

$1,022,140 Equity

-$976.51 Fees

$0.00 Holdings

$22,139.58 Net Profit

0% PSR

2.21 % Return

$0.00 Unrealized

$46,986,979.75 Volume

Intraday Momentum

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Intraday Momentum: Trade on price deviations; enter/exit based on bounds and VWAP.

$1,009,799 Equity

-$1,628.14 Fees

$0.00 Holdings

$9,799.12 Net Profit

0% PSR

0.98 % Return

$0.00 Unrealized

$83,179,380.64 Volume

Wavelet Momentum Forex

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Wavelet Momentum Forex: SVM model, wavelet transforms, high leverage, diverse Forex pairs.

$997,685 Equity

-$0.00 Fees

$369,212.46 Holdings

$564.86 Net Profit

0% PSR

-0.23 % Return

$-3,135.70 Unrealized

$22,165,834.21 Volume

Bid-Ask Skew

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"Share your strategy concepts to attract investors and spark discussion in quant finance."

$997,204 Equity

-$170.00 Fees

$29,027.89 Holdings

$-392.36 Net Profit

0% PSR

-0.28 % Return

$-2,485.50 Unrealized

$65,565.13 Volume

Lake Forest College

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Volatility arbitrage strategy using Bollinger Bands, RSI, and trend signals for mean-reversion.

$992,055 Equity

-$6,401.93 Fees

$1,234,630.80 Holdings

$-26,959.71 Net Profit

0% PSR

-0.79 % Return

$16,578.16 Unrealized

$141,404,740.72 Volume

#10

Pairs Trading US ETFs

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Intraday pairs trading QQQQ & SPY using moving averages for buy/sell signals.

$989,797 Equity

-$75.03 Fees

$0.00 Holdings

$-3,976.98 Net Profit

0% PSR

-1.02 % Return

$0.00 Unrealized

$7,909,092.21 Volume

#11

Candlestick Trading Equities + Forex

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Candlestick and Bollinger Bands strategy for equities and forex, focusing on trends and reversals.

$980,342 Equity

-$31.61 Fees

$230,246.35 Holdings

$-291.74 Net Profit

0% PSR

-1.97 % Return

$-12,770.87 Unrealized

$247,147.97 Volume

#12

CryptoMomentum strategy

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Share your strategy concepts to attract investors and spark discussion in quantitative finance.

$968,833 Equity

-$0.00 Fees

$0.00 Holdings

$0.00 Net Profit

0% PSR

-3.12 % Return

$0.00 Unrealized

$0.00 Volume

#13

EMA Crossover x RSI

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EMA Crossover & RSI: Capture short-term momentum with EMA crossovers and RSI confirmation.

$968,644 Equity

-$8.59 Fees

$965,722.16 Holdings

$-8.59 Net Profit

0% PSR

-3.14 % Return

$6,296.47 Unrealized

$959,417.10 Volume

#14

VWMA-ROC Momentum (Temporary)

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Introduce strategy concepts to attract investors and encourage discussion in quant finance.

$960,536 Equity

-$46.11 Fees

$396,281.86 Holdings

$-29,584.49 Net Profit

0% PSR

-3.95 % Return

$10,746.79 Unrealized

$2,814,670.21 Volume

#15

Firebirds Fintech Club

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Mega-cap mean reversion strategy using RSI and SMA for entry; momentum signals for exit.

$957,653 Equity

-$192.92 Fees

$1,595,161.55 Holdings

$-192.92 Net Profit

0% PSR

-4.23 % Return

$-12,717.26 Unrealized

$1,739,414.57 Volume

#16

RSI Momentum Strategy

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CryptoAlpha: Enhancing crypto trading with RSI, diversification, and dynamic risk management.

$895,832 Equity

-$27.19 Fees

$1,121,742.63 Holdings

$-50,391.15 Net Profit

0% PSR

-10.42 % Return

$-54,432.66 Unrealized

$1,622,518.61 Volume

#17

Tactical Momentum Rank

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"Tactical Momentum Rank: NASDAQ momentum strategy as a competition starting point."

$895,286 Equity

-$220.93 Fees

$890,604.06 Holdings

$-93,861.05 Net Profit

0% PSR

-10.47 % Return

$-31,543.59 Unrealized

$3,823,369.19 Volume

#18

MACDelta

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Investment Thesis Introduce your strategy concepts and philosophy to help investors an.. [discussion]

$887,288 Equity

-$273.95 Fees

$885,034.17 Holdings

$-114,126.48 Net Profit

0% PSR

-11.27 % Return

$338.21 Unrealized

$4,846,566.97 Volume

#19

Trend Following

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Trend-following algo: filters liquid stocks, uses EMA, MACD, RSI, ADX, OBV for insights, manages risk.

$856,531 Equity

-$409.67 Fees

$850,883.55 Holdings

$-222,838.50 Net Profit

0% PSR

-14.35 % Return

$-30,371.97 Unrealized

$9,343,176.96 Volume

#20

Multi-Alpha Fusion

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Multi-Alpha strategy with equal weights; future ML for dynamic alpha weighting.

$852,928 Equity

-$2,462.05 Fees

$1,131,341.66 Holdings

$-23,983.93 Net Profit

0% PSR

-14.71 % Return

$-99,973.14 Unrealized

$4,694,559.67 Volume

#21

Sector Momentum Exploit

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Sector momentum strategy: Exploit strong sectors, find top securities, reduce fees, limit drawdowns.

$851,951 Equity

-$1,596.44 Fees

$1,080,844.98 Holdings

$-154,762.25 Net Profit

0% PSR

-14.80 % Return

$-1,259.75 Unrealized

$51,920,438.32 Volume

#22

Crypto and Stock Momentum

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Crypto & Stock Momentum: EMA, RSI, Supertrend, and TWAP filters guide buy/sell decisions.

$842,822 Equity

-$170.47 Fees

$0.00 Holdings

$-157,374.18 Net Profit

0% PSR

-15.72 % Return

$0.00 Unrealized

$4,096,591.70 Volume

#23

Volatility-Adjusted Means

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Volatility-adjusted means strategy uses LTM and STM for signals, avoiding trades in high volatility.

$801,370 Equity

-$209.14 Fees

$0.00 Holdings

$-198,629.83 Net Profit

0% PSR

-19.86 % Return

$0.00 Unrealized

$7,087,391.01 Volume

#24

High Volume Node Retracements

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Trades NASDAQ 100 E-mini futures using HVN support/resistance and dynamic stop losses.

$780,609 Equity

-$2,352.10 Fees

$0.00 Holdings

$-83,512.10 Net Profit

0% PSR

-21.94 % Return

$0.00 Unrealized

$458,209,650.00 Volume

#25

Multi-Layer EMA

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EMA strategy for S&P 500: Uses multi-layer EMAs and RSI for trend-based buy/sell signals.

$732,999 Equity

-$0.00 Fees

$731,778.12 Holdings

$-372,994.46 Net Profit

0% PSR

-26.70 % Return

$10,358.22 Unrealized

$25,625,660.27 Volume

#26

Trend-Optimized Allocation

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Trend-following ETF strategy using trend analysis, risk management, and monthly rebalancing.

$705,820 Equity

-$1,205.20 Fees

$998,983.10 Holdings

$-11,683.94 Net Profit

0% PSR

-29.42 % Return

$654.10 Unrealized

$18,068,312.47 Volume

#27

Money Market Bonds and Trend Trading.

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Starts with safe bonds, then shifts to trend trading equities using technical indicators.

$100,000 Equity

-$0.00 Fees

$0.00 Holdings

$0.00 Net Profit

0% PSR

-90.00 % Return

$0.00 Unrealized

$0.00 Volume

#28

Moving Average

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50-day MA strategy for SPY: Buy above, sell below to capture trends and mitigate risks.

$100,000 Equity

-$0.00 Fees

$0.00 Holdings

$0.00 Net Profit

0% PSR

-90.00 % Return

$0.00 Unrealized

$0.00 Volume

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About Quant League

The Open-Quant League is a quarterly competition between universities and investment clubs for the best performing strategy. Previous quarter's code is open-sourced, and competitors must adapt to survive.

competition rules

See the competition code of conduct and rules for participation in prizes.

Read Rules

previous competitions

Browse strategies and organization entries from previous quarter's competitions.

STRATEGY Q1 RETURN

Stony Brook Applied Mathematics

16.82 %

Imperial College London

10.47 %

Triton Quantitative Trading

9.19 %

Cardinal Trading Group

2.45 %

Rutgers University

2.21 %

Hong Kong University of Science & Technology

0.98 %

University of Texas

-0.23 %

QuantSC

-0.28 %

Lake Forest College

-0.79 %

King's College Computational Finance

-1.02 %

Zero Hedge Huskies

-1.97 %

McMaster University

-3.12 %

BITS Pilani

-3.14 %

Cornell University

-3.95 %

University of the District of Columbia

-4.23 %

Hult International Business School

-10.42 %

Frankfurt School of Finance & Management

-10.47 %

QUARCC

-11.27 %

RIT Tigers

-14.35 %

Chinese University of Hong Kong

-14.71 %

Trinity SMF Quant Trading

-14.80 %

The Quant Club IIT BHU

-15.72 %

NYU Quantitative Finance Society

-19.86 %

Odd Lots Trading Club

-21.94 %

IIT Patna Finance Club

-26.70 %

North Carolina State University

-29.42 %

Boston University

-90.00 %

University of Melbourne

-90.00 %

360,300 Quants.

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Tactical Momentum Rank

Frankfurt School of Finance & Management

#22

Investment Thesis

This strategy is supposed to serve as an initial starting point to further be build upon during the course of the competition. It is a momentum strategy for the NASDAQ universe.

Author

Quant League Competitions

July 2024

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Quant League Competitions INVESTOR

July 2024

Competition entry updated by Timo Diehm

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Organization

The Frankfurt School of Finance & Management is a leading German business school specializing in finance, management, and economics, known for its rigorous academic programs and strong industry connections.

Organization Website

Team

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Previous Ranking

Browse strategies and organization entries from previous quarter's competitions.

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July 2024

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Quarterly Open-Source Trading Competition

Draft Discussions

Bookmarked Discussions

Momentum Reversal Insight

Simple Dynamic Momentum

Protective Momentum Holding

Cardinal Wings

Overnight Mean Reversion

Intraday Momentum

Wavelet Momentum Forex

Bid-Ask Skew

Lake Forest College

Pairs Trading US ETFs

Candlestick Trading Equities + Forex

CryptoMomentum strategy

EMA Crossover x RSI

VWMA-ROC Momentum (Temporary)

Firebirds Fintech Club

RSI Momentum Strategy

Tactical Momentum Rank

MACDelta

Trend Following

Multi-Alpha Fusion

Sector Momentum Exploit

Crypto and Stock Momentum

Volatility-Adjusted Means

High Volume Node Retracements

Multi-Layer EMA

Trend-Optimized Allocation

Money Market Bonds and Trend Trading.

Moving Average

SEARCH DISCUSSIONS

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360,300 Quants.

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