代做SOFTWARE、代写Python编程语言、代做Python设计

日期：2018-11-24 10:56

ASSIGNMENT 5

(THE SOFTWARE NEEDED FOR THIS ASSIGNMENT IS ATTACHED TO THIS MESSAGE)

ASSIGNMENT 5 CONSISTS OF THREE PARTS:

THE FIRST PART IS A VERY SIMPLE EXERCISE TO CONSOLIDATE YOUR UNDERSTANDING ON HOW [CHANGING THE LOOKBACK AND/OR THE HOLDING PERIOD] OF A [MOMENTUM-BASED TRADING SYSTEM] AFFECTS ITS EFFECTIVITY IN TERMS OF ITS WHITE’S REALITY-CHECK SCORING.

TO COMPLETE THIS FIRST PART, RUN THE PROVIDED TRADING SYSTEM (POSTED IN QUERCUS EARLIER AND ALSO ATTACHED TO THIS MESSAGE) AGAINST THE HISTORICAL DATA OF YOUR CHOICE, AND THEN START CHANGING SYSTEMATICALLY THE LOOK-BACK AND THE HOLDING PERIOD OF THE SYSTEM WHILE CHECKING IF IT IS STILL TRADABLE ACCORDING TO THE WHITE’S REALITY CHECK. WRITE A REPORT EXPLAINING “HOW FAR YOU WERE ABLE TO GO” IN TERMS OF STRETCHING THE LOOK-BACK AND HOLDING PERIODS BEFORE THE SYSTEM BECAME “NON-TRADABLE” ACCORDING TO WHITE’S TEST. WRITE A REPORT DESCRIBING YOUR RESULTS. (WHAT YOU NEED TO PURSUE THIS EXPERIMENT IS CONTAINED IN THE ATTACHED SOFTWARE).

TECHNICAL SPECIFICATIONS:

In other words, start with a set of parameters that is tradeable in accordance with White’s test. Say the lookback is 10 and the holding is 10. Then vary lookback between 5 and 15 with holding at 5, do the same with holding at 6, the same with holding at 7 etc. until holding reaches 15. Every time annotate the Sharpe ratio and white’s reality test. Try to plot the resulting manifold.

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THE SECOND PART IS AN ALSO BASIC BUT VERY IMPORTANT EXERCISE TO CONSOLIDATE YOUR SKILL AT USING THE POWERFUL [ETF-PAIR TRADING PROGRAM] POSTED IN QUERCUS EARLIER THIS TERM.

TO COMPLETE THIS SECOND PART, CHOOSE AT LEAST 3 (AND AT MOST 6) ETF “FAMILIES” (THEMES, CATEGORIES) THAT YOU MAY BE INTERSTED IN, AND ACTIVATE THE PAIRS-TRADING PROGRAM (POSTED IN QUERCUS EARLIER AND ALSO ATTACHED TO THIS MESSAGE). FOR EACH CATEGORY SELECTED (FOR EXAMPLE: “CURRENCIES”), THE SOFTWARE WILL TRADE AND BACK-TEST EVERY POSSIBLE PAIR IN THIS FAMILY, GENERATING BOTH THE EQUITY CURVE AND THE WHITE’S SCORE OF EACH PAIR, SO THAT YOU CAN SELECT THE PAIRS WITH BOTH THE BEST EQUITY CURVE AND THE BEST WHITE’S REALITY CHECK SCORE. WRITE A REPORT DESCRIBING YOUR RESULTS. (ALL YOU NEED TO PURSUE THIS EXPERIMENT IS CONTAINED IN THE ATTACHED SOFTWARE).

TECHNICAL SPECIFICATIONS:

For the selection of ETF “sets”, use the “DBBrowser for SQLite” browsing software to analyze the table “etftable” in the PythonData.db database.  Analyze “etftable”’s DatabaseStructure and BrowseData tabs (see secreenshots). For example 6 ETFs appear under the FOCUS “Copper”, and you may pairs among these to trade. The CATEGORY “Energy” and the ASSET CLASS “Currency” are also potential options, but there are many others…

Remember that, as it was said above, for each theme selected (for example: “currencies”), the software will trade and back-test every possible pair in this family, generating both the equity curve and the White’s score of each pair, so that you can select the pairs with both the best equity curve and the best White’s R. Ch. score.

You may analyze the pair(s) you finally select in terms of v-ratio-test or Hurst exponent to see if the statistical results are the expected ones, given the trading results.  To do this, use at least 300 data items of recent data.

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THE THIRD PART (OPTIONAL) IS MAINLY DIRECTED TO THOSE WITH STRONGER TECH SKILLS WHO EXPRESSED INTEREST IN THE CREDIT-SPREAD OPTIONS TRADING SYSTEM EXPLAINED TO THE CLASS LAST THURSDAY. THE EXERCISE CONSISTS IN “BACK-TESTING” THE SYSTEM FROM 2005 TO 2018. THIS PARTICULAR PROJECT WOULD BE ACCEPTABLE AS FINAL TEAM PROJECT PARTLY BECAUSE ITS SOFTWARE, EVEN THOUGH SIMPLE, IS TO BE DEVELOPED BY THE INDIVIDUAL OR THE TEAM. THIS SAME PROJECT COULD ALSO SERVE AS “SEMINAR ENTRY PROJECT” FOR THOSE INTERESTED IN PARTICIPATING IN A SEMINAR THAT WE’LL OFFER AS A CONTINUATION OF THIS COURSE, PROVIDED THAT ADMINISTRATIVE APPROVAL AND LOGISTIC ARRANGEMENTS ARE ATTAINED. (NOTICE THAT THIS SEMINAR IS NOT THE COURSE ON “A.I. IN FINANCE” THAT WE’LL BE TEACHING IN JANUARY). THE SEMINAR WILL BE FORMALLY ANNOUNCED IF APPROVAL IS REACHED.