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525069 Matlab trading strategies back -testing framework

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

Beceriler: Her şey Kabul

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İşveren Hakkında:
( 1 değerlendirme ) London, United Kingdom

Proje NO: #2271008