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Commodity Trading Algorithm - IMC Prosperity Challenge

Date

March 2023

Project type

Trading Algorithm

Location

Chicago, US

My team - myself, Akshat Kachroo, Qayl Maherali, Jack Wang, and Medha Gupta - conquered the world's most elaborate trading challenge: IMC Prosperity. The 10-day competition involves maximizing profit using an extensive commodity trading algorithm and competitive manual trading, battling it out against 8169 other teams.

As an aspiring quantitative developer with lots of software experience, I was very happy to have a place to learn financial market analysis strategies where I could apply that software skill to the world of trading. I am happy to say that I've learned even more than I was hoping for, and came out of it having done way better than I could have expected.

After dozens of iterations, our final algorithm uses many quantitative analysis and data manipulation strategies to optimize the trading of 10 commodities for a result of 301% overall profit over 10 days (keep in mind an incredibly volatile simulated market ;). Our strategy used information from a MACD indicator, several EMAs and shifting-interval rolling averages to determine buying and selling points.

I am happy to say our trading ideas and hard work led us to the top 3% of all competitors in our FIRST time at the competition. Next year, that $25,000 vacation is ours. The challenge was a fantastic experience I would recommend to any up-and-coming algo traders and quants.

Tech stack: Python, Pandas, NumPy, JSON, TradingView

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