Matlab Trading Strategy Statistical Arbitrage, Cointegration, and Multivariate
$250-750 USD
Mbyllur
Postuar over 11 years ago
$250-750 USD
Paguhet në dorëzim
We are a small team and we are currently working on a trading strategy which needs to be put in a MatLab code. The strategy is mainly focused on pairs trading and involve some econometrics tests. The code should contain a part which feeds the MatLab with live data and another which generates signals based on certain rules. Please let me know if you have had any similar previous experience and what budget and time would you require to complete such one.
WHAT IS DONE (full code available )
Application is build :
A. GUI finish 100%
B. Correlations 100%
C. Inputs dataset of Stock Prices, which will be used to perform the whole analysis
D. Analysis
- time series analysis – performing Correlations test on the dataset
-, after selecting suitable pairs, back test a trading strategy
WHAT IS NOT DONE ANE NEED TO BE DONE
• to isolate cointegrated pairs (ADF-stationary test, Granger coint test) The cointegration analysis needs to be robust and able to the following at a minimum determine if the series are cointegrated long term but also based on existing GUI (add chart)
• after selecting suitable pairs, back test a trading strategy which uses combination of the spread, historical volatility, delta ratio and a used-defined threshold as to generate signals for buy/sell entry points with fixed stop loss and take profit levels
• The code should also include a REPORT generating function, showing the backtesting results with P& L, max drawdown, number of trades and other performance measures.
• Ordinary Least Square Regression
• Estimating GARCH models
• Forecasting Volatility
• Estimating Value-at-Risk
• GARCH Simulation
Code for implementations
A. [login to view URL]
B. [login to view URL]
C. [login to view URL]
I need to do cointegration analysis on large sets of financial time series for testing and hopefully to then generate csv files that will be used by an automated trading platform. Ideally the platform would do the calculations but first there is a lot of analysis to do. I need someone who can not only program but has a solid mathematical background in cointegration to deal with issues such as analyzing two series one a monthly and one a daily.
Finally I need to determine the coefficients of the VECM that tells me how much each series typically corrects deviations from the long-term relationship.
I need someone who is not only a good programmer but also understands the equations and work with me to make sure I'm getting what I need.
I would like to find someone good that is interested in doing this and other quantitative financial time series analysis and programming