Dynamic Trading Strategy Design ( USING PYTHON )
Budget: $250 – $750 USD
DUE DATE: MAY 3,2024
Dynamic Trading Strategy Design:
• will provide auxiliary materials ( 2 files ) and Jupyter Notebooks (“ Regression for Pair Trading.ipynb” are related to this project.
• Design an improved version of the pairs trading strategy (will share with freelancer chosen) by including more stocks in your strategy.
• You can consider using the top 100 stocks (https://companiesmarketcap.com/) and
their daily close price during the period of 2019 - 2020 [Note: you may not have access
to all the stocks from Yahoo Finance during this period; please explain how you handle
this issue].
• Explain whether dimension reduction techniques are needed.
• Explain how you measure the performance.
• Please show both the in-sample and out-of-sample performance.
• Show evidence that the strategy you develop is profitable.
• Compare the out-of-samp
General Instruction:
• We would like you to on the one hand, approach the problem from a practical perspective,
and on the other hand, have a systematic methodology. You are encouraged to go beyond the
requirements mentioned and use the quantitative techniques you have to solve the problems.
• The final report is expected to contain the following components:
– Introduction to the dataset you use, the data format and the steps you perform for data
pre-processing.
– Brief introduction to the models you use in the project.
– Detailed discussion for the model evaluation: proper choice of evaluation criterion (or
loss function), out-of-sample test, comparison to benchmark models.
– Detailed explanation on how model parameters are selected.
– Detailed explanation of your results.
– Discussion on financial interpretation or economic insights of your model.
– A conclusion paragraph to summarize the methodology and your results.
– *Optional* If you explore some other related aspects for the project of your choice,
extra credits (up to 20 points to the final grade) will be granted based on the quality
of the additional materials. If you decide to do some extra work, please clearly
indicate what is additional in your report.
• Do not include your codes in the report (nor attach them at the end). Codes should be
submitted via a separate submission channel on Blackboard.
• Page limit: minimum of 3 pages and maximum of 10 pages.
• You can use the Python codes on Blackboard or any open-sourced codes you find online.
Please acknowledge the source in your report if you use open-sourced codes.
Dynamic Trading Strategy Design:
• will provide auxiliary materials ( 2 files ) and Jupyter Notebooks (“ Regression for Pair Trading.ipynb” are related to this project.
• Design an improved version of the pairs trading strategy (will share with freelancer chosen) by including more stocks in your strategy.
• You can consider using the top 100 stocks (https://companiesmarketcap.com/) and
their daily close price during the period of 2019 - 2020 [Note: you may not have access
to all the stocks from Yahoo Finance during this period; please explain how you handle
this issue].
• Explain whether dimension reduction techniques are needed.
• Explain how you measure the performance.
• Please show both the in-sample and out-of-sample performance.
• Show evidence that the strategy you develop is profitable.
• Compare the out-of-samp
General Instruction:
• We would like you to on the one hand, approach the problem from a practical perspective,
and on the other hand, have a systematic methodology. You are encouraged to go beyond the
requirements mentioned and use the quantitative techniques you have to solve the problems.
• The final report is expected to contain the following components:
– Introduction to the dataset you use, the data format and the steps you perform for data
pre-processing.
– Brief introduction to the models you use in the project.
– Detailed discussion for the model evaluation: proper choice of evaluation criterion (or
loss function), out-of-sample test, comparison to benchmark models.
– Detailed explanation on how model parameters are selected.
– Detailed explanation of your results.
– Discussion on financial interpretation or economic insights of your model.
– A conclusion paragraph to summarize the methodology and your results.
– *Optional* If you explore some other related aspects for the project of your choice,
extra credits (up to 20 points to the final grade) will be granted based on the quality
of the additional materials. If you decide to do some extra work, please clearly
indicate what is additional in your report.
• Do not include your codes in the report (nor attach them at the end). Codes should be
submitted via a separate submission channel on Blackboard.
• Page limit: minimum of 3 pages and maximum of 10 pages.
• You can use the Python codes on Blackboard or any open-sourced codes you find online.
Please acknowledge the source in your report if you use open-sourced codes.