OLAM PITBULLS- Building future generation traders

IIM CALCUTTA16 September 2015

Competition for the premier B-schools

1st Prize : INR 2,00,000

2nd Prize : INR 1,00,000

OLAM PITBULLS

Pit Bulls – a competition to introduce young individuals to the trading environment & provide opportunity to solve real life trading challenges

OLAM PITBULLS

A golden ticket for aspiring traders to get a sneak peek into trading

• Teams will be provided time series data of 3

related commodities

• Trading strategy may either be on any

individual commodity or on a combination

• Strategy may be time based (daily/weekly) or

technical indicator based

• Trading logic should be robust

• Teams of maximum 4 (PGP2 and/or PGP1)

• Maximum of 2 strategies per team accepted

COMPETITION GUIDELINES

Objective - To Develop a Successful Systematic Trading Strategy

Each team will be assigned an Olam trader as Mentor for guidance

Results will be evaluated on 3 criteria

• Logic of the strategy

• Absolute profit generated & risk metrics

• Strategy’s performance on “future” price

data of the underlying commodities

EVALUATION CRITERIA

Each team has notional $1m to invest in any price series at its discretion

“Future” data refers to the actual price data of the underlying following the period for which the initial data is provided to the teams

• X-axis : product contract months

• Y-axis : successive trading days

• Price data of 4-5 nearest contract

months provided for the analysis

• Active position may be taken only

in first 3 near months

PRICE DATA SERIES

You be provided 10y price series data of 3 related commodity futures

Next successive contracts get added after any contract expiry

Trading Days

Contract Months

1 2 3 4 5 6

38 98.79 101.35 103.84 109.97 111.45  39 100.54 102.96 105.66 111.18 112.59  40 104.24 106.87 109.63 115.82 117.31  41 106.60 108.69 111.25 116.90 118.18 120.2042 105.39 107.47 110.24 115.76 117.17 119.1943 105.52 107.68 110.30 116.03 117.17 118.8644 105.86 108.08 110.64 116.43 117.51 119.5345 106.73 108.22 110.84 116.43 117.51 118.8646 108.08 110.37 112.73 118.18 119.19 121.2147 108.08 109.90 112.46 117.78 119.06 121.2148 108.08 109.76 112.19 117.85 118.92 121.2149 108.75 110.51 113.00 118.72 119.87 121.8950 107.27 109.02 111.45 117.04 118.18 120.2051   108.28 110.64 116.30 117.37 119.1952   108.48 110.84 116.43 117.51 119.1953   109.29 111.65 117.17 118.52 120.40

• Trading algorithm can only use

past trading days’ data to

generate buy / sell / hold signals

• Positions may be taken on price,

inter- and intra-product spreads

TRADING AND ENTERING POSITIONS

Positions can only be entered / closed on the “current” prices

At contract expiry, positions have to be unwound

Trading Days

Contract Months

1 2 3 4 5 6

38 98.79 101.35 103.84 109.97 111.45  39 100.54 102.96 105.66 111.18 112.59  40 104.24 106.87 109.63 115.82 117.31  41 106.60 108.69 111.25 116.90 118.18 120.2042 105.39 107.47 110.24 115.76 117.17 119.1943 105.52 107.68 110.30 116.03 117.17 118.8644 105.86 108.08 110.64 116.43 117.51 119.5345 106.73 108.22 110.84 116.43 117.51 118.8646 108.08 110.37 112.73 118.18 119.19 121.2147 108.08 109.90 112.46 117.78 119.06 121.2148 108.08 109.76 112.19 117.85 118.92 121.2149 108.75 110.51 113.00 118.72 119.87 121.8950 107.27 109.02 111.45 117.04 118.18 120.2051   108.28 110.64 116.30 117.37 119.1952   108.48 110.84 116.43 117.51 119.1953   109.29 111.65 117.17 118.52 120.40

• Working excel template / algorithm code

– May develop strategies using excel template

or any coding language

– Results have to be computable upon changing

the input data series

• Executive Summary about the strategy

logic and its performance on given data

FINAL RESULTS SUBMISSION

Final submission to include the algorithm and executive summary

Registrations open 16th Sep’15

Last date of team registration 21st Sep’15

Distribution of Price Series Data 22nd Sep’15

Last date for submitting strategy 9th Nov’15

Final Presentation & Results 24th Nov’15

COMPETITION TIMELINE

To register, send an email to pitbulls@olamnet.com with the team name, members’ names and email addresses

QUESTIONS