Interactive Brokers Collegiate Olympiad

March 1, 2009
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I’m applying to enter Interactive Brokers’ automated trading contest. The “Strategy Plan” I submitted is below. This document is required before entering but I can change it until Dec. 31 (the list of securities is purposely long to give me some flexibility). My goal is to be profitable, not to take big risks for the $100k first prize. If anyone has experience with IB or Matlab and would like to offer help or criticize the plan, please do.

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 wi


I’m applying to enter Interactive Brokers’ automated trading contest. The “Strategy Plan” I submitted is below. This document is required before entering but I can change it until Dec. 31 (the list of securities is purposely long to give me some flexibility). My goal is to be profitable, not to take big risks for the $100k first prize. If anyone has experience with IB or Matlab and would like to offer help or criticize the plan, please do.

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