build a backtester for trading -- 2
Budget: $30 – $250 SGD
1. Create event driven backtester
2. Backtester must have take profit(tp) n sl(stop loss). The formulas r given below. Both tp n sl r used for backtesting
3. Trade exit must fulfill one of 3 conditions: sl hit or tp hit or price hits MB.
4. For risk analysis, pls ensure intraday data of 5min, 15min, 30min, 60min, 240min can be automatically calculated on
daily, monthly, yearly basis. I will also be using daily data.
5. Pls use back both optimizers below. The output should only display a dataframe.
6. Pls ensure look ahead bias is eliminated.
7. Pls autosave the output to an excel file.
8. Pls use this file n the previous files attached as reference.
9. Backtester must have risk analysis.
10. Plot graphs for
equity curve,
equity curve vs benchmark returns,
rolling sharpe ratio (as shown in pyfolio)
annual volatility
underwater plot (as shown in pyfolio)
abovewater plot
Average Profit per Trade to Average Loss per Trade ratio
Start date
End date
Total months
No. of data points
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
2. Backtester must have take profit(tp) n sl(stop loss). The formulas r given below. Both tp n sl r used for backtesting
3. Trade exit must fulfill one of 3 conditions: sl hit or tp hit or price hits MB.
4. For risk analysis, pls ensure intraday data of 5min, 15min, 30min, 60min, 240min can be automatically calculated on
daily, monthly, yearly basis. I will also be using daily data.
5. Pls use back both optimizers below. The output should only display a dataframe.
6. Pls ensure look ahead bias is eliminated.
7. Pls autosave the output to an excel file.
8. Pls use this file n the previous files attached as reference.
9. Backtester must have risk analysis.
10. Plot graphs for
equity curve,
equity curve vs benchmark returns,
rolling sharpe ratio (as shown in pyfolio)
annual volatility
underwater plot (as shown in pyfolio)
abovewater plot
Average Profit per Trade to Average Loss per Trade ratio
Start date
End date
Total months
No. of data points
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