MC2-Project-2 - Revision history

Tucker: /* Rubric */

2016-03-25T14:35:14Z

Rubric

2016-03-25T14:33:47Z

Contents of the Report

2016-03-25T14:32:55Z

Updates/FAQs

2016-03-25T14:25:51Z

Updates/FAQs

2016-03-25T14:17:07Z

Required, Allowed & Prohibited

2016-03-25T14:15:48Z

Part 2: Your Strategy (60%)

2016-03-25T14:14:58Z

Part 1B: Bollinger Band Strategy Backtest (15%)

2016-03-25T14:12:56Z

Time Period and Stock for Testing

2016-03-22T19:51:25Z

Updates/FAQs

2016-03-22T19:51:13Z

Updates/FAQs

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 * Between 1.2 and 1.4: 2 points
 * Below 1.2: 0 points
 ==Required, Allowed & Prohibited==

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 ==Contents of the Report==
-Submit your report in PDF as <tt>report.pdf</tt>. Your report should contain the following elements:
+Submit your report in PDF as <tt>report.pdf</tt>. Use 11pt font and single spaced lines.  We expect that a complete report addressing all the criteria would be at least 3 pages.  It should be no longer than 6 pages including charts, tables and text.  To encourage conciseness we will deduct 2% for each page over 6 pages.  Your report should contain the following elements:
 Part 1:

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 '''2016/3/25''':
 * Q: Should I assess performance from Dec 31, 2007 to Dec 31, 2009? A: Feed the orders into your market simulator and assess it over the period from first trade to last trade only.  The time period of performance will therefore not exactly match Dec 31, 2007 to Dec 31 2009.  It will probably start later and end earlier.
 * Q: Can you clarify which code should create which output? A:

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 * Q: Do I have to use the provided data for this project? A: Yes, you must use the provided data.
-* Q: Can I use data before Dec 31, 2007? A: For Part 1, no, you can only use data from Dec 31, 2007 to Dec 31, 2009.
+* Q: Can I use data before Dec 31, 2007? A: No, you can only use data from Dec 31, 2007 to Dec 31, 2009.
 * Q: Should we use $SPX or SPY as the benchmark? A: $SPX.
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 '''2016/3/21''':
-* Q: Can we use util.py?  A: Yes, you can assume that util.py is available in the directory from which you run your code.
+* Q: Can we use util.py?  A: Yes, you can assume that util.py is available in the directory from which you run your code.  If you modify util.py or if you create additional supporting code files, submit them with the rest of your code.  We should be able to run your code by placing all of your .py files in a directory and running them.
 '''2016/3/22''':
 * Q: If I'm determining whether to go long or short on day t, can I use price or volume information from day t+1?  A: No, that is "peeking into the future."  You can only use information up to the date you are considering to trade.
 ==Overview==

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 * You may reuse sections of code (up to 5 lines) that you collected from other students or the internet.
 * Code provided by the instructor, or allowed by the instructor to be shared.
 Prohibited:

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 * In sample performance during the period December 31, 2007 to December 31, 2009.
 * Out of sample performance for the two subsequent years December 31, 2009 to December 31, 2011.
 ==Part 3: Performance (10%)==

← Older revision		Revision as of 14:14, 25 March 2016
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	Reuse your charting code to generate trades. Start with $10,000. For a long entry, BUY 100 shares and hold until the exit. For a short entry, SELL 100 shares and hold until the exit. Chart the performance of your fund over the time period described in "what to turn in" below.		Reuse your charting code to generate trades. Start with $10,000. For a long entry, BUY 100 shares and hold until the exit. For a short entry, SELL 100 shares and hold until the exit. Chart the performance of your fund over the time period described in "what to turn in" below.
		+
		+	Feed the orders into your market simulator and assess it over the period from first trade to last trade only. The time period of performance will therefore not exactly match Dec 31, 2007 to Dec 31 2009. It will probably start later and end earlier.

	==Example Results==		==Example Results==

← Older revision		Revision as of 14:12, 25 March 2016
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	We will use IBM and trade it from December 31, 2007 until December 31, 2009. Note that the first trade cannot occur until 20 days after December 31, 2007 because the first value for Bollinger bands is not available until then.		We will use IBM and trade it from December 31, 2007 until December 31, 2009. Note that the first trade cannot occur until 20 days after December 31, 2007 because the first value for Bollinger bands is not available until then.
		+
		+	You should evaluate the performance of your strategy from first trade to last trade. The time period of performance will therefor not exactly match Dec 31, 2007 to Dec 31 2009. It will probably start later and end earlier.

	==Part 1A: Bollinger Band Strategy Chart (15%)==		==Part 1A: Bollinger Band Strategy Chart (15%)==

← Older revision		Revision as of 19:51, 22 March 2016
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	* Q: Can we use util.py? A: Yes, you can assume that util.py is available in the directory from which you run your code.		* Q: Can we use util.py? A: Yes, you can assume that util.py is available in the directory from which you run your code.
		+
		+	'''2016/3/21''':
		+
		+	* Q: If I'm determining whether to go long or short on day t, can I use price or volume information from day t+1? A: No, that is "peeking into the future." You can only use information up to the date you are considering to trade.

	==Overview==		==Overview==