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2009 Interactive Brokers Collegiate Trading Olympiad

If I use a constant for example 1.5 standard deviations or 50% implied volatility or 5% rise in DJI in my trading plan. Can I change these later on when the trading commences? Or Is it OK if I avoid specific numbers in the plan? Removing these numbers would give an impression that plan is vague. what do you guys think?
 
Bhargav,

You can make it a little bit flexible. Also you can change the plan later:
"You may list multiple trading strategies, and add and/or delete your different strategies during the competition."
My original, accepted plan was about as vague as it gets since I hadn't started the system yet but only had ideas (this should give you some idea of what they will accept). Copied below:

Max Dama
University of California Berkeley Haas School of Business
United States of America

Matlab with ActiveX API

Strategy I: Global Macro
Trade a long/short portfolio of the AMEX-listed ETFs below based on statistical learning theory. Learning algorithms used will be support vector regression, markov chain monte carlo, bayesian regression, genetic algorithms, and linear regression. Backtesting will be used to optimize the parameters of each learner. The Ada Boost meta learner will aggregate individual signals. Additional index data based on commodity futures, fixed income, forex, foreign stock exchanges, and options will be used as features for each learner. To generate more potentially useful features, clustering and markov regime change models will be applied to the data. Portfolio will be dynamically rebalanced based on mean variance portfolio theory every week. Trading signals will be generated up to once every 5 minutes. Positions will be held for less than 2 hours with exit conditions either x bp rise, determined by the learning algorithm, or a stop loss, both set prior to entry.

All securities below that will be traded are on the AMEX.
BIL SPDR Lehman 1-3 Month T-Bill ETF
BWV iPath CBOE S&P 500 BuyWrite Index ETN
BWX SPDR Lehman International Treasury Bond
DBA PowerShares DB Agriculture Fund
DBB PowerShares DB Base Metals Fund
DBE PowerShares DB Energy Fund
DIA DIAMONDS Trust Series I
EEV UltraShort MSCI Emerging Markets ProShares
SHM SPDR Lehman Short Term Municipal Bond ETF
EWA iShares MSCI Australia Index Fund
EWC iShares MSCI Canada Index Fund
EWD iShares MSCI Sweden Index Fund
EWG iShares MSCI Germany Index Fund
EWH iShares MSCI Hong Kong Index Fund
EWI iShares MSCI Italy Index Fund
EWJ iShares MSCI Japan Index Fund
EWK iShares MSCI Belgium Investable Market Index Fund
EWL iShares MSCI Switzerland Index Fund
EWM iShares MSCI Malaysia Index Fund
EWN iShares MSCI Netherlands Investable Market Index Fund
EWO iShares MSCI Austria Investable Market Index Fund
EWP iShares MSCI Spain Index Fund
EWQ iShares MSCI France Index Fund
EWS iShares MSCI Singapore Index Fund
EWT iShares MSCI Taiwan Index Fund
EWU iShares MSCI United Kingdom Index Fund
EWV UltraShort MSCI Japan ProShares
EWW iShares MSCI Mexico Investable Market Index Fund
EWX SPDR S&P Emerging Small Cap ETF
EWY iShares MSCI South Korea Index Fund
EWZ iShares MSCI Brazil Index Fund
HHH Internet HOLDRs Trust
IVV iShares S&P 500 Index Fund/US
IWB iShares Russell 1000 Index Fund
IWM iShares Russell 2000 Index Fund
IWV iShares Russell 3000 Index Fund
XLB Materials Select Sector SPDR Fund
XLE Energy Select Sector SPDR Fund
XLF Financial Select Sector SPDR Fund
XLI Industrial Select Sector SPDR Fund
XLK Technology Select Sector SPDR Fund
XLP Consumer Staples Select Sector SPDR Fund
XLU Utilities Select Sector SPDR Fund
XLV Health Care Select Sector SPDR Fund
XLY Consumer Discretionary Select Sector SPDR Fund
BBH Biotech HOLDRs Trust
OIH Oil Service HOLDRs Trust
PPH Pharmaceutical HOLDRs Trust
RKH Regional Bank HOLDRs Trust
RTH Retail HOLDRs Trust
I actually submitted one plan before this one that was even shorter and didn't list the specific tickers. It was rejected fyi with this terse explanation (sent by email about 7 days after submission):
"We cannot review your application because it is incomplete for the following reasons:

-[FONT=&quot] [/FONT]Trading Plan does not contain sufficient information regarding your strategies and the markets you will be trading on. "

Hopefully this helps you get a feel for what they are looking for.
 
Max,

I would warn you on trading the international iShares. The liquidity in these things are fairly low with the bid/ask spreads fairly wide at some points. I built a program that tried to trade these things, and I deployed it on IB's paper trading platform. The results were subpar because of the spreads. Some of the international futures contracts that trade on the CME are much better, IMO.
 
Adam,

Thanks, I've gotten that advice elsewhere too. That trading plan was version 1; version 2, as I mentioned below, only uses futures.

Has anyone received more news from IB? I guess trading starts on the 12th but I've heard nothing since first being accepted.
 
Today I got an e.mail from IB regarding the Olympiad start, hopefully you had got it too! If not, I could post it here, just ask about it.

This will be my first Olympiad and I'm very excited about what my algorithm can do over the 8 weeks. It will trade currency pairs at IDEALPRO, I expect to see thousands of trades. Is there anyone who is trying Forex too?
 
Where on the IB website can you update your trading plan? I thought I saw it in my account management a few weeks ago but I can't find it now.
 
I thought it was possible to evolve the trading plan during the competition. I just want to change a couple of parameters in my trading model, not the overall strategy. In my original plan (that was accepted) I stated that the parameters would change but now I'm not sure if I am can use new parameters or if I am forced to stick to the ones in the original plan. IB doesn't answer email about the competition so I'm stuck.
 
John, use the new parameters. If they ask about your trading plan, you explain to them the situation.
 
This is just the first week results. Whoever is in the top ten, keep the good work!!!

Vadim keep it up!!!
 
Satnam just made it to the top 10. Good luck! (And to everyone else involved :) )
 
I am currently entered in the competition. My strategy relies on receiving corporate dividends, which the competition says will be delivered (in rule 4):

"Corporate actions and dividends will be applied."

I, however, have not received any dividends even though their pay-dates have passed (and, of course, I bought before the ex-div dates). Has anyone else had this problem? Is it ever resolved, or are dividends simply not paid? I have emailed the address supplied, but have not received any response.

This problem is very frustrating.
 
Dividend payments is certainly a unique strategy for a trading competition........... I'd say your best course of action is to email Interactive Brokers with specific examples, stocks and dates and wait for their response. IB is known as a low cost market and technology innovator but usually do not get high marks for customer support so you might have to wait for an answer.
 
My trading plan was very strict. I essentially said that I would sell calls and buy puts on the S&P 500. I want to close my position, but doing that would involve buying calls and selling puts, something that I did not include in my trading plan. Will closing my position violate my trading plan?

I emailed IB, and got a canned response.
The IB Collegiate Trading Olympiad is intended to encourage students to do the research, testing and troubleshooting on their own, so we do not provide help or guidance.

If this email is regarding a forgotten username/password, please note that we have no way to retrieve or replace them."
So, no help there.
 
Carl, don't worry about that detail.

If anything, let me know and I can give you the email of the Andrew Wilkinson. He is the person in charge of the Olympiad at Interactive Brokers.
 
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