IMC Prosperity

Code from IMC Prosperity competition 2023, although at the moment all of the strategies (except simple arbitrage and time-based) are losing money. Why? No idea. I'll figure it out someday.

Ideas:

• Avellaneda & Stoikov Market-Making Strategy
• Counter-Party Tracking / Insights

Implemented:

PEARLS:

• Simple Arbitrage (Buy Below 10,000 and Sell Above 10,000)

BANANAS:

• Determine Price Direction Based on Order Book:
  • Imbalance Ratio (Buy Vol / Sell Vol)
    • If > 1 => BUY
    • If < 1 => SELL
  • On-Balance Volume (OBV)
    • Current Gradient > Average => BUY
    • Current Gradient < Average => SELL

COCONUTS and PINA COLADAS:

• Pairs Trading

BERRIES:

• Time-Based Trading

DIVING GEAR:

• Track DOLPHIN SIGHTINGS, trade based on that:
  • Bollinger Bands Mean Reversion to decide when to buy and sell

Picnic Products:

• 1x PICNIC_BASKET =
  • 2x BAGUETTE
  • 4x DIP
  • 1x UKULELE
• Statistical Arbitrage:
  • Buying Combined Cheaper => Sell Each Separately
  • Buying Separate Cheaper => Sell Combined

Backtesting Hyper-Parameter Optimization Results:

BANANAS:

• Round 4, Day 1:
  • Best set of hyper-parameters: [1.3188359288875715, 9710]
  • Best objective function value: -1080.0
• Round 4, Day 2:
  • Best set of hyper-parameters: [1.9382348151126094, 4067]
  • Best objective function value: -676.0
• Round 4, Day 3:
  • Best set of hyper-parameters: [0.1386060490952874, 861]
  • Best objective function value: -1010.0

CPC:

• Round 4, Day 1:
  • Best set of hyper-parameters: [0.5802234262316439, 1.2285591499542938, 961]
  • Best objective function value: -342728.0
• Round 4, Day 2:
  • Best set of hyper-parameters: [0.1, 0.644863499540242, 500]
  • Best objective function value: -399616.0
• Round 4, Day 3:
  • Best set of hyper-parameters: [0.1, 0.36020125424758764, 500]
  • Best objective function value: -373980.0

DIVING_GEAR:

• Round 4, Day 1:
  • Best set of hyper-parameters: [1, 4245, 3424]
  • Best objective function value: -14252.0
• Round 4, Day 2:
  • Best set of hyper-parameters: [2, 3050, 6532]
  • Best objective function value: -48454.0
• Round 4, Day 3:
  • Best set of hyper-parameters: [3, 2786, 3759]
  • Best objective function value: -8075.0

BDUP:

• Round 4, Day 1:
  • Best set of hyper-parameters: [78113]
  • Best objective function value: 0.0
• Round 4, Day 2:
  • Best set of hyper-parameters: [419]
  • Best objective function value: -439566.0
• Round 4, Day 3:
  • Best set of hyper-parameters: [396]
  • Best objective function value: -303060.0