build a backtester for trading
Budget: $30 – $250 SGD
To build 2 backtesters: one vectorized and one event driven. However, both approaches must have a take profit and stop loss variable where I can optimize. I run strategies on intraday data: 5min, 15min, 30min, 1 hour, 4 hour. and also daily data. I need the intraday data to show the statistics summary on an annualised basis. Also graphs on strategy equity curve vs benchmark returns, underwater plot , sharpe ratio etc
statistics summary:
Start date
End date
Total months
No. of data points
Backtest
Average monthly return% Average Return for a Profitable Trade
Average 12mth rolling return(%) Average Return for a Losing Trade
CAGR(%) Average Profit per Trade to Average Loss per Trade ratio
Std dev of monthly return(%)
Annualized monthly volatility(%) Average Daily Returns
Average monthly excess return(%) Standard Deviation of Average Daily Returns
Std dev of Monthly Excess Return(%) Daily value at risk
Average monthly gain(%) Position Sizing (Kelly fraction)
Largest montly +ve return(%)
Longest sequential monthly gain (months) Number of Long Signals Traded
Largest consecutive monthly gain(%) Number of Short Signals Traded
Largest year-to-date gain(%) Total number of Signals Traded
Average monthly loss(%) Number of Profitable Trades
Largest monthly -ve return(%) Number of Loss Making Trades
Longest sequential monthly drawdowns(months) Returns from Profitable Trades
Largest consecutive monthly drawdown(%) Returns from Losing trades
Largest year-to-date loss(%) Total Returns
Average annual return % Average Number of Signals per Trading Day
Cumulative Last 3 yr % Average Number of Trades per Trading Day
Cumulative Last 5 yr % Average Holding Period of a Trade (in minutes)
Sharpe ratio
Annualised sharpe ratio
Sortino ratio
Annualised sortino ratio
Downside Deviation - Std Dev of Neg Monthly Excess Return(%)
Annualized Downside Deviation(%)
Annual volatility
Max drawdown
Max profit
Hit Ratio
Normalised Hit Ratio
Hit Ratio per year
Attached is a sample codes I have written. V.simple. Just to give u an idea of what im trying to create. Please revert with pricing.
statistics summary:
Start date
End date
Total months
No. of data points
Backtest
Average monthly return% Average Return for a Profitable Trade
Average 12mth rolling return(%) Average Return for a Losing Trade
CAGR(%) Average Profit per Trade to Average Loss per Trade ratio
Std dev of monthly return(%)
Annualized monthly volatility(%) Average Daily Returns
Average monthly excess return(%) Standard Deviation of Average Daily Returns
Std dev of Monthly Excess Return(%) Daily value at risk
Average monthly gain(%) Position Sizing (Kelly fraction)
Largest montly +ve return(%)
Longest sequential monthly gain (months) Number of Long Signals Traded
Largest consecutive monthly gain(%) Number of Short Signals Traded
Largest year-to-date gain(%) Total number of Signals Traded
Average monthly loss(%) Number of Profitable Trades
Largest monthly -ve return(%) Number of Loss Making Trades
Longest sequential monthly drawdowns(months) Returns from Profitable Trades
Largest consecutive monthly drawdown(%) Returns from Losing trades
Largest year-to-date loss(%) Total Returns
Average annual return % Average Number of Signals per Trading Day
Cumulative Last 3 yr % Average Number of Trades per Trading Day
Cumulative Last 5 yr % Average Holding Period of a Trade (in minutes)
Sharpe ratio
Annualised sharpe ratio
Sortino ratio
Annualised sortino ratio
Downside Deviation - Std Dev of Neg Monthly Excess Return(%)
Annualized Downside Deviation(%)
Annual volatility
Max drawdown
Max profit
Hit Ratio
Normalised Hit Ratio
Hit Ratio per year
Attached is a sample codes I have written. V.simple. Just to give u an idea of what im trying to create. Please revert with pricing.