Backtesting an investment strategy with EXCEL VBA

W Toku Opublikowano Nov 13, 2010 Płatność przy odbiorze
W Toku Płatność przy odbiorze

Hi, I have reposted the project under a different budget. I am paying 30 USD maximum as it does not take much time.

I have an investment strategy I need backtested, I will give you sample code with a downloader to download prices, the strategy is simple:

Buy when P > Metric(x)

Sell and move money into risk free when P < Metric(x)

I will provide several metrics and it needs to be done over different time frames: 10 months moving average, exponentially weighted 10 months moving average.

The metric must be user selectable, the user should also be able to select the time frame the metric continuously evaluates.

Several performance metrics of the investment strategy and a graph of the returns (+/-) over time must be done.

- Sharpe Ratio

- Volatility

- Annualized return

- Best and worst months (with the respective % return for each)

- the number of profitable months (successful buy signals)

- number of loss months (buy signals that turn out to be losses)

To explain when you buy, you automatically sell at the end of the month, i.e. if p at jan = 10$ then p at feb = 12$ the return is 2

while if p at feb = 12 and p march = 9 the return is -9

The total return will be needed to calculated.

When the price is less than the metric you "sell" by investing the money in the risk free asset at a user specifiable interest rate.

It needs to be completed prior to November 15th at 01:00 (1am) Paris time.

I will pay you through the freelancer site, (no western union!!!)

I will provide you with a sample of the problem done before.

Excel Visual Basic

Numer ID Projektu: #852439

O projekcie

2 ofert Zdalny projekt Aktywny Nov 13, 2010

Przyznany użytkownikowi:

mrbrave

Ready to start now..

$30 USD w 1 dzień
(255 ocen)
6.7

2 freelancerów złożyło ofertę za $30 w tym projekcie

anilkumarvem

Hi,sir please see pm.

$30 USD w ciągu 2 dni
(0 Oceny)
0.0