Trading Strategy

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Abu Bakar Siddique K. has already sent a proposal.
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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.
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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.
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