Dear Students,
As discussed today in the seminar, qualification assignment (those who succeed in the assignment will be admitted to the seminar):
1. Strategy: Invest 100% if a signal is bullish; 0% if bearish. Bullish: fast technical indicator (TI) >=slow TI.
Bearish: when not bullish.
Exception: max investment on Mondays: 50%.
2. Tis are assigned individually. If you have not been assigned a TI, contact us by email. You can select TI parameters yourself (we recommend defaults from stockcharts.com. There you can also find calculation formulas for TIs).
3. Underlying stock: SPY (its an S&P 500 ETF). NB: This was not discussed in class.
4. Investment timeframe: Jan 1, 2010 - Apr 1, 2017.
5. Initial investment: $1,000,000.
6. Calculate the signal 1 minute before the market close (c-1). Invest at market close (c) on a daily basis.
7. Create a Quantopian account and see if someone may have implemented a similar algorithm already. You can clone that algo and use it as a starting point.
8. You should publish your algo as a new forum post in the Quantopian board with a one sentence description of your investment strategy.
9. NB: Most likely the returns of your strategy will be negative. It is OK - the purpose is to validate your ability to take part in the seminar.
10. Deliverable 1: a link with your Quantopian post (see above).
11. Deliverable 2: a screenshot of the full backtest result.
12. All deliverables are due on May 7, 23:59. On May 8th we will take decision on admission to the seminar, based on your deliverables.
More info on how to conduct backtests: Introduction to Quantopian algos (Chapter 1) https://www.quantopian.com/tutorials/getting-started
Kind Regards,
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