MC2-Project-1 - Revision history

Bhrolenok3: /* Part 2: Transaction Costs (up to 95% deduction if not implemented) */ typos

2017-06-20T19:24:29Z

Part 2: Transaction Costs (up to 95% deduction if not implemented): typos

Bhrolenok3: /* Rubric */

2017-06-20T18:50:20Z

Rubric

Bhrolenok3: /* Rubric */

2017-06-20T18:42:10Z

Rubric

Bhrolenok3 at 17:10, 20 June 2017

2017-06-20T17:10:20Z

Bhrolenok3: /* More comprehensive examples */

2017-06-20T17:09:26Z

More comprehensive examples

Bhrolenok3: /* orders2.csv */

2017-06-20T17:07:16Z

orders2.csv

Bhrolenok3: /* orders.csv */

2017-06-20T17:06:12Z

orders.csv

Bhrolenok3: /* Short example to check your code */

2017-06-20T17:04:46Z

Short example to check your code

Tucker: /* Part 2: Transaction Costs (5%) */

2017-06-20T16:42:25Z

Part 2: Transaction Costs (5%)

Tucker: /* Rubric */

2017-06-20T16:41:00Z

Rubric

@@ Line 100: / Line 100: @@
 Transaction costs are an important consideration for investing strategy. Transaction costs include things like commissions, slippage, market impact and tax considerations.  High transaction costs encourage less frequent trading, and accordingly a search for strategies that pay out over longer periods of time rather than just intraday or over several days.  For this project we will consider two components of transaction cost: Commissions and market impact:
-* Commissions: For each trade that you execute, charge a commission of $9.95.  Threat that as a deduction from your cash balance.
+* Commissions: For each trade that you execute, charge a commission of $9.95.  Treat that as a deduction from your cash balance.
 * Market impact: For each trade that you execute, assume that the stock price moves 50 basis points (0.5%) against you.  So if you are buying, assume the price goes up 50 bps before your purchase.  Similarly, if selling, assume the price drops 50 bps before the sale. For simplicity treat the market impact penalty as a deduction from your cash balance.

@@ Line 276: / Line 276: @@
 ==Rubric==
-Out of a total of 101 points:
+Out of a total of 100 points:
 * Basic simulator: 95: 10 test cases: We will test your code against 10 cases (9.5 points per case).  Points per case are allocated as follows:

@@ Line 287: / Line 287: @@
 ** 1.0: Correct portfolio value on the last day +-0.1%
 * author() method not implemented -20%
 ==Test Cases==

← Older revision		Revision as of 17:10, 20 June 2017
Line 1:		Line 1:
−	~~==DRAFT==~~
−
−	~~This assignment is under revision. This notice will be removed once it is final.~~
−
	==Overview==		==Overview==
	In this project you will create a market simulator that accepts trading orders and keeps track of a portfolio's value over time and then assesses the performance of that portfolio.		In this project you will create a market simulator that accepts trading orders and keeps track of a portfolio's value over time and then assesses the performance of that portfolio.

← Older revision		Revision as of 17:09, 20 June 2017
Line 257:		Line 257:

	Final Portfolio Value: 1051088.0915		Final Portfolio Value: 1051088.0915
−	~~</pre>~~
−
−	~~===<tt>orders3.csv</tt>===~~
−
−	~~Another sample file is <tt>orders3.csv</tt> that you can use to test your code, and compare with others.~~
−	~~<pre>~~
−	~~Data Range: 2011-01-10 to 2011-08-01~~
−
−	~~Sharpe Ratio of Fund: 1.03455887842~~
−	~~Sharpe Ratio of $SPX: 0.247809335326~~
−
−	~~Cumulative Return of Fund: 0.05016~~
−	~~Cumulative Return of $SPX: 0.0135380980508~~
−
−	~~Standard Deviation of Fund: 0.00560508094997~~
−	~~Standard Deviation of $SPX: 0.00840618502785~~
−
−	~~Average Daily Return of Fund: 0.000365289198877~~
−	~~Average Daily Return of $SPX: 0.000131224926273~~
−
−	~~Final Portfolio Value: 1050160.0~~
	</pre>		</pre>

@@ Line 242: / Line 242: @@
 <pre>
-Data Range: 2011-01-14 to 2011-12-14
+Data Range: 2011-01-10 to 2011-12-20
-Sharpe Ratio of Fund: 0.788982285751
+Sharpe Ratio of Fund: 0.552604907987
-Sharpe Ratio of $SPX: -0.177203019906
+Sharpe Ratio of $SPX: 0.0183389807443
-Cumulative Return of Fund: 0.0787526
+Cumulative Return of Fund: 0.0538411196951
-Cumulative Return of $SPX: -0.0629581516192
+Cumulative Return of $SPX: -0.0224059854302
-Standard Deviation of Fund: 0.00711102080156
+Standard Deviation of Fund: 0.00728172910323
-Standard Deviation of $SPX: 0.0150564855724
+Standard Deviation of $SPX: 0.0149716091522
-Average Daily Return of Fund: 0.000353426354584
+Average Daily Return of Fund: 0.000253483085898
-Average Daily Return of $SPX: -0.000168071648902
+Average Daily Return of $SPX: 1.7295909534e-05
-Final Portfolio Value: 1078752.6
+Final Portfolio Value: 1051088.0915
 </pre>

@@ Line 222: / Line 222: @@
 Data Range: 2011-01-10 to 2011-12-20
-Sharpe Ratio of Fund: 1.21540888742
+Sharpe Ratio of Fund: 0.997654521878
 Sharpe Ratio of $SPX: 0.0183389807443
-Cumulative Return of Fund: 0.13386
+Cumulative Return of Fund: 0.108872698544
 Cumulative Return of $SPX: -0.0224059854302
-Standard Deviation of Fund: 0.00720514136323
+Standard Deviation of Fund: 0.00730509916835
 Standard Deviation of $SPX: 0.0149716091522
-Average Daily Return of Fund: 0.000551651296638
+Average Daily Return of Fund: 0.000459098655493
 Average Daily Return of $SPX: 1.7295909534e-05
-Final Portfolio Value: 1133860.0
+Final Portfolio Value: 1106025.8065
 </pre>

@@ Line 165: / Line 165: @@
 The daily value of the portfolio (spaces added to help things line up):
 <PRE>
--01-05    1000000
+-01-05     997495.775
--01-06     999595
+-01-06     997090.775
--01-07    1003165
+-01-07    1000660.775
--01-10    1012630
+-01-10    1010125.775
--01-11    1011415
+-01-11    1008910.775
--01-12    1015570
+-01-12    1013065.775
--01-13    1017445
+-01-13    1014940.775
--01-14    1021630
+-01-14    1019125.775
--01-18    1009930
+-01-18    1007425.775
--01-19    1007230
+-01-19    1004725.775
--01-20     998035
+-01-20     993036.375
 </PRE>
@@ Line 197: / Line 197: @@
 <pre>
-Data Range: 2011-01-05 to 2011-01-20
+Data Range: 2011-01-10 to 2011-12-20
-Sharpe Ratio of Fund: -0.446948390642
+Sharpe Ratio of Fund: -1.00015025363
-Sharpe Ratio of $SPX: 0.882168679776
+Sharpe Ratio of $SPX: 0.0183389807443
-Cumulative Return of Fund: -0.001965
+Cumulative Return of Fund: -0.00447059537671
-Cumulative Return of $SPX: 0.00289841448894
+Cumulative Return of $SPX: -0.0224059854302
-Standard Deviation of Fund: 0.00634128215394
+Standard Deviation of Fund: 0.00678073274458
-Standard Deviation of $SPX: 0.00544933521991
+Standard Deviation of $SPX: 0.0149716091522
-Average Daily Return of Fund: -0.000178539446839
+Average Daily Return of Fund: -0.000427210193308
-Average Daily Return of $SPX: 0.000302827205547
+Average Daily Return of $SPX: 1.7295909534e-05
-Final Portfolio Value: 998035.0
+Final Portfolio Value: 993036.375
 </pre>

@@ Line 98: / Line 98: @@
 * Ending value of the portfolio
-==Part 2: Transaction Costs (5%)==
+==Part 2: Transaction Costs (up to 95% deduction if not implemented)==
 Note: We strongly encourage you to get the basic simulator working before you implement the transaction cost and leverage components of this project.  Ok, now on to transaction costs.

@@ Line 308: / Line 308: @@
 ** 1.4: Correct Sharpe Ratio +-0.1%
 ** 1.0: Correct average daily return +-0.1%
 * Leverage: 5: 5 test cases (1 point per case). Points per case are allocated as follows:
 ** 1.0: Correct portfolio value on the last day +-0.1%
 * Held back test case: 1 point