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Investment Portfolio Backtest Script

want to back-test the investment strategy below. Will want max drawdown, standard deviation, compound annual growth rate, etc… for the time period that is specified. Should be able to choose a start and end date.

The securities to be utilized are as follows:

SPY, QQQ, DIA, IWM, SSO, QLD, DDM, UWM, TMF, VGLT, JNK.

Investment strategy is as follows:

ITEMS TO DEFINE:

– Is the TSI(40) indicator above zero for all four stock indexes (DOW, S&P 500, IWM, QQQ) (Yes or No)

– Which indexes (DOW, S&P 500, IWM, QQQ) have a TSI(40) above zero.

– What is the 3-month percentage performance of each of the indexes (DOW, S&P 500, IWM, QQQ)

– Is the TSI(40) indicator above zero for VGLT? (Yes or N)

– Is the TSI(40) Indicator above zero for JNK? (yes or No)

– What is the 3-month percentage performance of VGLT and JNK?

– Of the indexes with TSI(40) above zero, which two have outperformed in the past 3 months, percentage-wise? (Note, there may only be one index with a TSI(40) above zero.)

ENTRIES:

On the first trading day of each month, do this:

– If the TSI indicator is above zero for all four indexes, then invest 20% of the portfolio in the 2x ETF version of the two best performing stock indexes (over the past 3 months, percentage-wise) that have a TSI(40) above zero, and invest 20% in the 1x ETF version of the two best performing indexes with a TSI(40) above zero. (For a total of 80% of the portfolio.)

– If the TSI(40) indicator is above zero for some, but not all of the indexes, then invest 40% into the 1x version of the two top performing indexes (over the past 3 months, percentage-wise) with a TSI(40) above zero. (For a total of 80%)

– If there is only one index with a TSI(40) above zero, then invest 40% in the 1x version of that index. (For a total of 40% of the portfolio.)

– If the TSI(40) indicator is below zero for all of the indexes, then stay in cash.

For bonds:

If the TSI(40) indicator is positive for VGLT, then invest 20% in TMF.

If the TSI(40) indicator is not positive for VGLT, and the TSI(40) indicator is positive for JNK, then invest 20% in JNK.

If the TSI indicator is not positive for VGLT and TSI, stay in cash.

Exits:

During the month, if the TSI(40) indicator for the securities invested drops below zero, sell half the position. However, if the TSI indicator for all four major stock indexes drop below zero, then cash completely out of any stock index positions and JNK (if invested).

At the first trading day of the next month, re-evaluate per the instructions above.

Deliverables

Coder would deliver a script that produces the information requested above via HTML. Can use Pine script on [login to view URL] to generate the output, or other code, as long as a paid subscription is not required. This is for personal use.

Beceriler: Python, C# Programlama, Pine Script, Trading

İşveren Hakkında:
( 0 değerlendirme ) Paris, France

Proje NO: #32703314

Bu iş için 12 freelancer ortalamada €630 teklif veriyor

AwaisChaudhry

Hi, How are you? Upon reading brief details I believe its a doable job I have great experience doing projects with C# Programming, Pine Script, Trading and Python. I am confident about getting this done. While I believ Daha Fazla

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HarjitHundal91

Work can be done Anything in the ***PineScript*** or ***Python*** can be coded just need a good description of the concept Bid Price and Duration to Complete the Project Will be Revised after getting Full Descript Daha Fazla

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devbaloni1983

I have more then 15 year’ experienced in full stack .NET developer in ASP.NET Core / MVC / WinForm, C#, Razor, Jquery, HTML5, Telerik, DevExpress, SQL Server, MySQL, PostgreSQL. As i am expert, I can build it accord Daha Fazla

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tymchenkoserhii

I am professional strategy developer with more 10 years. I have good experience to deliver startegy with backtest perfomance information. I am using backtrader([login to view URL]) to implement that. If i made with backtrad Daha Fazla

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sapnathakur14

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abhishek2chikun

Hi, Please have a look at my Freelancer Portfolio for previous Backtesting Projects: https://www.freelancer.com/u/abhishek2chikun I'm a Python Developer, a Stock and Crypto enthusiast who have worked on and have stron Daha Fazla

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AbhishekSingh08

Hello I read about your project Investment Portfolio Backtest Script and I am aware with this so I can easily make for you. Lets connect and discuss more on it. Thanks

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ayesha0124

Hi there, I have read the brief details of the project u posted. I believe i can help u as I have great experience doing projects with Python, Pine Script, C# Programming and Trading. Please send msg to initiate the c Daha Fazla

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SocialMagnetic7

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rashidamjad

Hi there, I am Rashid, Hope you are doing great. Firstly about the Investment Portfolio Backtest Script that I have a great experience in it. I am very confident to pull it off once awarded. I am a Full stack developer Daha Fazla

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adzhoev

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