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Python + Quantitative finance skills required

code should be able to:

download daily data from Internet (or read data from text file). Time series length: min. 5 years.

divide data into training and testing set

generate min. one type of trading signals (for example buy signal)

trade according to generated signals

calculate standard performance measures (Sharp Ratio,Information Ratio, Maximum Drawdown,Standard Deviation)

optimize the parameters of strategy on the training set - (choose one of the measures above)

trade using optimized strategy on the testing set, present performance measures of optimized strategy and calculate the total value of portfolio in each point of time

Assumptions:

initial capital 100 000 USD

in the single trade You can use 100 units of the asset

trading costs (can be omitted)

short selling (allowed if needed)

Additionally,please write report (3-4 pages) which contains:

- literature review,

-description of chosen investment strategy, its performance measures, used data ,

-conclusions

Skills: Financial Research, Python

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About the Employer:
( 1 review ) warsaw, Poland

Project ID: #14194661

12 freelancers are bidding on average $159 for this job

aki003iitr

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