Spring 2020 Project 5: Marketsim

Due Date

03/08/2020 11:59PM Anywhere on Earth time

Revisions

This assignment is subject to change up until 3 weeks prior to the due date. We do not anticipate changes; any changes will be logged in this section.

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.

Template

Instructions:

• Download the appropriate zip file File:20Spring marketsim.zip
• Implement the compute_portvals() function in the file marketsim/marketsim.py.
• The grading script is marketsim/grade_marketsim.py. For more details see here: ML4T_Software_Setup#Running_the_grading_scripts

What to turn in

Be sure to follow these instructions diligently!

Via Canvas, submit as attachment (no zip files; refer to schedule for deadline):

• Project 5: Marketsim
  • Your code as marketsim.py (only the function compute_portvals() will be tested)

Unlimited resubmissions are allowed up to the deadline for the project.

Rubric

Report

No report

Code

Out of a total of 100 points:

• Basic simulator: 90 points: 10 test cases: We will test your code against 10 cases (9 points per case) without transaction costs. Points per case are allocated as follows:
  • 2.0: Correct number of days reported in the dataframe (should be the number of trading days between the start date and end date, inclusive).
  • 5.0: Correct portfolio value on the last day +-0.1%
  • 1.0: Correct Sharpe Ratio +-0.1%
  • 1.0: Correct average daily return +-0.1%
• Transaction costs: 10 points: 5 test cases: We will test your code against 5 cases as follows:
  • 2.0: Two test cases that evaluate commissions only (impact = 0)
  • 2.0: Two test cases that evaluate impact only (commission = 0)
  • 1.0: One test case with non-zero commission and impact.