We need someone to write functions/ scripts in Matlab to backtest trading ideas. This will form a general backtesting framework with ability to handle many different way of managing the position etc..
The project should include among others:
1) Build the position in a flexible way
- the positions stays in play until cancelled or is only cancelled after a certain period etc..
- implement stops and profit taking by value and %
- Optimal exit using trailing stop
- MAs crossover for entry and exit
- Optimization of entry and exit based on time (optimal time of entry/exit, e.g. 4 days to contract expiry)
2) Calculate the Pnl and performance
- Maximum drawdown, average drawdown
- sharp ratios
- PnL, Cumulative Pnl
- % Wins (losses)
- Average gain in $ terms given the preset size of 1R in $
- Standard deviation of returns