FE 570 Course Project-
1. Select security (stock, index, or a mutual fund), time period (2 - 5 years) and download relevant daily closing prices from www.finance.yahoo.com.
2. Find technical strategy that yields positive total return for chosen time period. The sample should accommodate at least four round-trip trades (buy-sells and/or sell-buys).
3. Define performance measures other than total return.
4. Implement the bootstrap method for resampling the data set. You can assume that log prices follow random walk but using more complicated models (e.g. including ARMA and/or trend) will be considered as a bonus.
5. Check performance of the chosen strategy on 500 resampled data sets.
List your results in the table similar to the one below.
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Run
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Total Return
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% Winning Trades
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Max Drawdown
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Empirical
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5%
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44%
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25%
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Bootstrap 1
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Bootstrap 2
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Bootstrap 3
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....
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Bootstrap 500
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Average
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Run Total return % winning trades Max drawdown Empirical 5% 44% 25% Bootstrap 1 Bootstrap 2 ...Bootstrap 500 Average
Number of columns will be higher as you want to use more performance criteria.
6. Write report and attach the source code used for the bootstrap.
7. Prepare a Powerpoint presentation on 2-3 slides describing;
- What instrument/strategy/time period you used
- Whether the bootstrap resampling confirms profitability of your strategy
- Suggest possible ways for improving your P/L.