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| [Job] [Contract] Backtest a strategy http://www.smartquant.com/forums/viewtopic.php?f=62&t=10486 |
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| Author: | stockpicker [ Fri Mar 29, 2013 7:30 pm ] |
| Post subject: | [Job] [Contract] Backtest a strategy |
I am hiring for a short-term contract assignment. Send me a message if interested... Project: Backtest an equity intraday trading strategy over the S&P 500 universe since 2006 using pre-generated signals. Scope: - Engine: Consultant will use their own backtesting engine. Assumptions in the engine (fill rate, slippage, execution strategy, etc.) will be shared with client. - Data: Consultant will provide their own tick or bar data. Preferably data provided is 2006 thru current day. - Reporting: Consultant will generate a log of the daily portfolio value and shares traded log Details: - Client will provide a CSV file of "shares to own" (ticker, date, number of shares, and side). On each day this specifies the positions owned after all transactions. - The "shares to own" can only be executed at the close. So you will assume market-on-close orders were placed to achieve the desired portfolio at the closing prices for that day. - This "shares to own" CSV file will contain approximately 200 to 500 positions on any given day - We need to test the effect of using profit stops intraday. Profit stops are specified as limit orders. Since we assumed entry via market-on-close, the profit stop for a given security = ( intraday-price - yesterdays close ) / yesterdays close >= profit % threshold. For example, a threshold might be 15 bps. - We are looking for a realistic simulation accounting for partial fills and slippage - At some specified time before the close (say 30 minutes), cancel all profit stops and wait for the close for the next round of market-on-close orders specified in the "shares to own" CSV file Terms: - Please propose a fixed-price for the project. - 50% paid up-front and 50% paid upon successful completion. |
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