PENN AUTOMATED TRADING PROJECT

HISTORICAL DATA COMPETITION RESULTS, DECEMBER 2002

SIMULATION DAYS: DECEMBER 7-12, 2002

HISTORICAL TRADING DAYS: NOVEMBER 13, 19, 25

STOCK TRADED ON PXS: MSFT

BRIEF DESCRIPTION: Each team was given 3 of the 6 days during which they were allowed to run only one simulation at any time. Since each simulation takes between 8 and 12 hours of real time, there was limited opportunity for teams to get multiple runs on each day and report their best results. Each team was required to remain inside a 100,000 share position limit at all times, and teams were required to trade the strategies they had previously developed and described in advance of the historical dates being chosen and announced, and the data released.

BRIEF ANALYSIS: Perhaps the most interesting outcome was the overall strength of strategies that in some way used the order books in the computation of when to place orders, and/or in what volume. The top four strategies all shared this property, though their uses of the order book data was varied. There were a number of variants of the SOBI (Static Order Book Imbalance) strategy we studied earlier in the term. Some of these variants used a SOBI-like strategy as their main approach, while others used quartile averages as a modifying factor on top of some other strategy (such as market-making).

A number of more traditional technical trading strategies, such as those computing breakouts from moving averages, were also profitable overall. Perhaps the most common source of underperformance was the failure to saturate the allowed risk, which is discussed in the News and Notes.

KEY AND COMMENTS:

• Rankings are based on the 3-day value column (highlighted).
• All numeric values are approximate, in some cases eyeballed from the plots.
• All numeric values are given in thousands.
• Red numeric values are to highlight negative earnings for a day.
• Max share value is the absolute value (long or short) of the greatest share position for a day.
• Blue max share values indicate violations of the 100K share position limit. I decided to forgive all such violations since they were fairly minor, but reserve the right to penalize for future violations.
• Strategy descriptions in green indicate strategies that in some way made use of order book information; strategy descriptions in purple indicate strategies relying exclusively on share price.
• This table and these rankings are subject to further review and revision.
• Table will eventually be updated to link team names to their final reports.
• Team names in red will be pooled together in Wednesday 12/18/02 live competition; team names in blue will be pooled together.