Event Backtest
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Post a project like this1811
£132(approx. $165)
- Posted:
- Proposals: 3
- Remote
- #2378685
- OPPORTUNITY
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Description
Experience Level: Expert
Event Backtest, to analyse daily trading p&l data. I would like the following:
* Distribution of number of consecutive losses i.e 10 consecutive losses is a 2 SD event
* Percentage of winning days/trades that make up my net bottom line aka significant up days (I would expect that only 10-15% of trading days in any given year add to my new bottom line and that the rest should net out to around 0 or a small profit/loss. Could you run this stat for each individual year and also highlight these trading days so that I can go back and review the characteristic of my significant up days)
* Percentage of total profit on the year from my significant up days
* Frequency of significant up days
* Average percentage profit of my significant up days, 1 and 3 year.
* Draw down (DD) analysis, depth and duration from peak equity high to trough
* Distribution of DD
* DD chart with axis for magnitude and an axis for duration
* Distribution of number of consecutive losses i.e 10 consecutive losses is a 2 SD event
* Percentage of winning days/trades that make up my net bottom line aka significant up days (I would expect that only 10-15% of trading days in any given year add to my new bottom line and that the rest should net out to around 0 or a small profit/loss. Could you run this stat for each individual year and also highlight these trading days so that I can go back and review the characteristic of my significant up days)
* Percentage of total profit on the year from my significant up days
* Frequency of significant up days
* Average percentage profit of my significant up days, 1 and 3 year.
* Draw down (DD) analysis, depth and duration from peak equity high to trough
* Distribution of DD
* DD chart with axis for magnitude and an axis for duration
Amritpal S.
100% (2)Projects Completed
2
Freelancers worked with
1
Projects awarded
50%
Last project
19 Jul 2019
United Kingdom
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