IMC Prosperity Challenge
Prosperity is a 15-day global challenge hosted by IMC Trading. Teams are challenged to combine python skills, strategic insight and analytics to trade on a virtual market lead their island into prosperity.
This was a really fun challenge that, while shortlived, got me and my mate Zack (@mngv7) out of our comfort zones and really got us thinking about new concepts and how to apply them in an effective way through code. Unfortuneately we weren't able to finish the challenge as it was chewing into too much of our uni time and we chose to prioritise that instead.
After the first round, we had finished 70th Australia. We were pretty happy with this as we'd coded a somewhat effective mean reversion strategy from something which we had no idea what we were doing.
From there we decided to go a lot harder, and did a lot more research into market trading.
For round two, Zack continued to work on our mean reversion algorithm while I started coding some more modular techniques like creating data structures for data history, linear regression, and simple moving average.
While the code both of us produced were surprisingly functional, we couldn't figure out how to use them in the context of the trading simulation (we're software engineers, not economists).
So although we didn't do as well as we would've liked in the competition, there's some quality code in there that we're still pretty proud of.