Investment portfolio strategy back-testing & portfolio construction
Budget: $750 – $1,500 USD
We are a team of fund managers working for an asset management company in Indonesia. We departed as fundamentalist and have been researching into multi-factor portfolio construction using behavioral methods (like adjusted momentum). We do have a working model in Excel but the key limitation is its inability to process a large number of instruments. We would like to build a strategy back-testing system for our own use but for two asset classes: stocks & crypto. Keep in mind for a back-test to work, a portfolio construction system must be built first. The proficiency we are looking for is in python & MySQL.
General steps:
1. Read daily data from CSV for stocks (Indonesia only) and pull date from API for crypto.
2. Create and organize data in MySQL (or other SQL is ok).
3. Create derivative data from the database using python and store it in the database if necessary.
4. Filter the data to remove unwanted securities.
5. Rank the data using derivative data that have been created. The rank can be from a combination of derivative data (2 or 3).
6. Pick (x) numbers of instruments from the top and/or bottom quartile to create a portfolio for Long only and Long/Short strategy.
7. Back-test the performance of the portfolio (regular (e.g. monthly, quarterly) and irregular (event driven) rebalancing).
8. Create & save charts and statistic tables.
NOTE: The steps are the same for both stocks and crypto.
Requirements:
1. Adjustable parameters.
2. Ability to add new formula to create new-derivative data and embed it into the calculation. We can do basic python programming ourselves for this as long as the steps are communicated to us.
3. (Optional) simple web-based parameter input page.
What we have in mind is to use MySQL for database and python as the processing language since it already has a wide array of libraries related to what we need.
We are looking for a developer with good communication skills. Experience in investment is a plus but not a must as we already have a clear process.
Please look into the attached doc file for more details.
General steps:
1. Read daily data from CSV for stocks (Indonesia only) and pull date from API for crypto.
2. Create and organize data in MySQL (or other SQL is ok).
3. Create derivative data from the database using python and store it in the database if necessary.
4. Filter the data to remove unwanted securities.
5. Rank the data using derivative data that have been created. The rank can be from a combination of derivative data (2 or 3).
6. Pick (x) numbers of instruments from the top and/or bottom quartile to create a portfolio for Long only and Long/Short strategy.
7. Back-test the performance of the portfolio (regular (e.g. monthly, quarterly) and irregular (event driven) rebalancing).
8. Create & save charts and statistic tables.
NOTE: The steps are the same for both stocks and crypto.
Requirements:
1. Adjustable parameters.
2. Ability to add new formula to create new-derivative data and embed it into the calculation. We can do basic python programming ourselves for this as long as the steps are communicated to us.
3. (Optional) simple web-based parameter input page.
What we have in mind is to use MySQL for database and python as the processing language since it already has a wide array of libraries related to what we need.
We are looking for a developer with good communication skills. Experience in investment is a plus but not a must as we already have a clear process.
Please look into the attached doc file for more details.