Financial Trading System /business

Financial Trading System /business

1. Download data for 5 separate stocks from Bloomberg using the R script – you can use any stocks from any country
2. Select one of the authors whose books are in the library, or one of the editions of the journal above, and find a trading idea (or system) you would like to test in daily data
3. Don’t make it too complex, as you are just getting started!
4. Test it using the blotter framework(must using the Rstudio software)
5. Produce a report that contains (as a minimum)
6. Title page (write down “INFT73-361_173: Financial Trading Systems Assignment 1)
7. Description of the trading idea, and appropriate references
8. A backtest of the results using the 5 instruments
9. A diagnosis of the backtest
10. Use an appropriate comparison (example: B&H of the same instrument/index)
11. Include realistic transaction costs

iii. Is the idea viable? How could it be improved? Explain?

1. When you have run a blotter backtest you have access to the returns for the test. What can you do with these returns that is sensible in a funds management/trading context? Justify it and do it.
2. (hint) Look back at the first few weeks (especially week 1 tutorial) where we spent lots of time on returns
3. Conclusions
4. Focus:
5. Focus on understanding the idea you are trying to test
6. Focus on your R code so you don’t make mistakes. Look at your trades list – are they
7. correct for your rules? Are you sure? Plot some of your trades and check them
8. Focus on providing a proper explanation along with your results. Present results
9. clearly… they should support your conclusion.

Notes

1. Don’t bite off more than you can chew… I would rather you did something simple and did it very well (and passed the assignment!), rather than choose something too complex and end up making a mess of it (and not passing the assignment).
2. Don’t feel you have to come up with a positive result. There are plenty of rules that work and even more that don’t. What’s important is that you are confident you have done the testing properly. If you aren’t confident, then go back through our class examples and notes until you are!
3. In trading, it is preferable (though not essential) to hold end of day positions for a few days or weeks at most.

Submission:

• The entire assignment should just be the one PDF document produced by your R markdown code.

• Give some thought to the use of headings within your markdown document so that it can be easily and sensibly navigated. Ensure all code is visible.

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