Trading Strategy
- or -
Post a project like this£1.0k(approx. $1.2k)
- Posted:
- Proposals: 1
- Remote
- #39341
- Expired
Description
Experience Level: Expert
We are a small team working in the finance industry. We are currently working on a trading strategy which needs to be put in a MatLab code. The strategy is mainly focused on pairs trading and involve some econometrics tests. The code should contain a part which feeds the MatLab with live data and another which generates signals based on certain rules. Please let me know if you have had any similar previous experience and what budget and time would you require to complete such one.
######
The code should have the following:
1. Inputs
- dataset of Stock Prices, which will be use to perform the whole analysis
2. Analysis
- time series analysis • performing cointegration test on the dataset to isolate cointegrated pairs (ADF-stationarity test, Granger coint test)
- after selecting suitable pairs, backtest a trading strategy which uses combination of the spread, historical volatility, delta ratio and a used-defined threshold as to generate signals for buy/sell entry points with fixed stop loss and take profit levels
3. Report
The code should also include a REPORT generating function, showing the backtesting results with P&L, max drawdown, number of trades and other performance measures.
######
######
The code should have the following:
1. Inputs
- dataset of Stock Prices, which will be use to perform the whole analysis
2. Analysis
- time series analysis • performing cointegration test on the dataset to isolate cointegrated pairs (ADF-stationarity test, Granger coint test)
- after selecting suitable pairs, backtest a trading strategy which uses combination of the spread, historical volatility, delta ratio and a used-defined threshold as to generate signals for buy/sell entry points with fixed stop loss and take profit levels
3. Report
The code should also include a REPORT generating function, showing the backtesting results with P&L, max drawdown, number of trades and other performance measures.
######
Ivan S.
0% (0)Projects Completed
-
Freelancers worked with
-
Projects awarded
0%
Last project
26 Apr 2024
United Kingdom
New Proposal
Login to your account and send a proposal now to get this project.
Log inClarification Board Ask a Question
-
There are no clarification messages.
We collect cookies to enable the proper functioning and security of our website, and to enhance your experience. By clicking on 'Accept All Cookies', you consent to the use of these cookies. You can change your 'Cookies Settings' at any time. For more information, please read ourCookie Policy
Cookie Settings
Accept All Cookies