University Trading Challenge

In: BLOG, Finance

University Trading Challenge

From Decemper 2015 to May 2015 I took part in a trading contest (by Directa Sim) with some fellow students. During those months the global markets – the European markets especially – were in a turmoil. A big turmoil. Volatility sky-rocketed due to the Greek government-debt crisis.

Every other week news brought dramatic effects to the markets. Not only the future of Greece was at stake – the European currency itself was.

Managing a portfolio – a risky one – during those months was very educational.

Our team was the “Gauss Team”. We were given real money – it was not a simulation: 5000 Euros, the goal was to make the most out of them. Six months later, when the challenge ended, we had very satisfactory results. Not only we succeeded (+22%, securing the 15th rank on 129 teams), we had done good team work and we had been fully aware of what we were doing. We had had an effective control over the risk, gradually increasing it from minor to medium (when we introduced some Futures) and we took higher risks in the last weeks. Profits rose along a fairly constant upwards trend, along with our portfolio volatility. We made hundreds of transactions, leveraged and unleveraged, for a total notional value of some millions Euros.

Some features about the challenge:

  • We ended up the 15th team on 129 teams  (54 of them were kicked out due to high losses)
  • 22% gain in 5 months.
  • At the end of the game we could keep the revenues: 1.100 Euros before taxes, to be shared among us
  • We did hundreds of trades (which costed around 1000 Euros in fees)
  • The supervising teachers were Marco Minozzo (Probability and Statistics) and Giuseppina Chesini (Financial Markets and Institutions)
  • The maximum notional value we managed at a given time was around 120.000 Euros (CFD on Dax 30)
DIFFERENCE BETWEEN US AND THE MEDIAN. A time series of the difference in profits between our team – Gauss Team – and the 65th team’s performance. The 65th team – which changed in time, of course – was the median one.

 

 

In the image ABOVE: a time series of our profits during the competition. BELOW: the volatility of our portfolio..

 

This table summarizes almost all the trades we did (I only had partial data to show, the trades of 2014 are not included).

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