This project will be an ongoing research project where you will research, develop, test and assess systematic (Rules-Based) trading approaches in multiple asset classes of Financial markets, including.
- Interest rates( Cash, Futures, Curves, Convexity, Risk premia etc)
- Foreign Exchange
- Equity Indices( Futures)
You will also develop software tools and processes along the way for handling the different tasks.
All material will be covered by a non-disclosure agreement, and all ip-rights will be retained by me.
There will be different flows of gathering the methods/ models to be tested
- Research/ Data -Mining of the public domain(forums, chat boards, websites etc.)
- testing of ideas from articles/ books etc.
- traditional macro economic models
- pure statistical processing of data (Data-mining)
- original ideas from yourself or from me
The successful candidate will understand trading and the concept of trading models(rules based trading), descriptive statistics and performance evaluation( profit/ loss, Sharpe ratios, Max drawdown etc.), and have demonstrable skill with relevant testing software.
You will have programming ability, although the programming will be mainly in a supportive role, rather than the core of the project.
The testing process will be similar for most cases, and broadly will resemble the below.
- Conceptualization of Approach or strategy and Conversion to logical rules
- Summary report of approach for prioritization
- Gathering of relevant data (time-series) for test. (In this process I can help to provide the relevant data, and set up access to relevant providers, where necessary)
- scripting/programming of rules into test platform
- Thorough Test of rules on a portfolio of securities (about 50-100) or special markets targeted
- Delivery of relevant test report
Work will be compensated on a running basis, essentially / hour.
Except for the first batch of work which will be evaluated based on your success with 5 strategies, for which 10 hours will be allocated.
Your bid should be per hour of work
Please include as comment with bid the following information
- description of yourself
- your experience in the area
- number of hours you will be able to work / week.
- how long you will be available
- which software packages and process you expect to be using and have access to
- what data you have access to
Look forward to your bid,
Budget Clarification: The initial Budget listed here, is an approximate budget for the first phase of the project, i.e probably the first months, not an indication of what hourly rates I expect to pay:-)
Just thought I'd mention it.