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simple backtest code in Python

I’m looking for programmer with experience in backtesting of trading strategies in Python.

simple description of the project:

read .csv into data frame; filter it by 4 parameters; calculate basic risk/return data using periodic returns (which need to be properly annualized); plot equity curve and return distribution

detailed description of the project:

data input will be the attached .csv (sample data only). it will consist of time series (spanning over 25 years) of option trades for various currency pairs (EURUSD, GBPUSD etc.), in 7 tenors (7, 14, 30, 90, 180, 270 and 360 days) and various strategies (straddle, strangle25 etc.)

I need 3 functions that will analyze this data:

FUNCTION #1 – single pair/single tenor backtest:

input:

1-ccy pair (i.e. ‘Pair’= EURUSD)

2-option type (i.e. ‘Strategy’=straddle)

3-tenor (i.e. ‘Tenor’=14)

4-period (i.e. from ‘Start Date’ >=1/1/2000 to ‘End Date’ <=1/1/2007)

output values:

annualized return

annualized standard deviation

information ratio

maximum drawdown

length of maximum drawdown in days

annualized return / maximum drawdown

 all output fields are based on respective period returns (column ‘Returns’) and have to be annualized

plot:

equity curve

return distribution

FUNCTION #2 – single pair/multiple tenor backtest:

input:

same 4 inputs as FUNCTION #1 but input ‘3-tenor’ can take list of tenors, i.e. ‘Tenor’ In (7,14,30,90,180,270,360 days)

output:

same as FUNCTION #1 but show it in tabular form where:

rows – output values

columns – tenors

plot:

all equity curves in one chart

FUNCTION #3 – multiple pair/single tenor portfolio backtest:

input:

same 4 inputs as FUNCTION #1 but input ‘1-ccy pair’ can take list of pairs, i.e. = (EURUSD,GBPUSD,USDJPY – portfolio of up to 45 pairs)

output:

same as FUNCTION #1 but on aggregated portfolio level across all pairs

plot:

portfolio equity curve

portfolio return distribution and basic stats (median, skew, kurtosis)

I believe this should be fairly simple to do for a person with appropriate experience and knowledge.

If you have any ideas how to better structure the backtest, drop me a message. It will certainly help me to pick the right person for this job.

Thank you!

Habilidades: Python

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Información del empleador:
( 8 comentarios ) Munich, Germany

Nº del proyecto: #10199900

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ramzitra

Hi, I am a Python developer working for more than 4 years. Actually, I have done several projects using python and I delivered many useful scripts for my customers. Your project seems to be interesting for me and Más

€170 EUR en 6 días
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sylar1015

hello, sir: c/c++/python expert worked for samsung & huawei maybe more details will be helpful a sample can be provided before hired. hope to get message from u ty

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Dutchstudent7750

Hi. I'm an experienced Python programmer and also have trading experience. Can complete your project in a couple of days.

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kliopk

<<<< Please chat first i can help you low budget >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> ((((((((((((((((((((((((((((((((((((((((((((((((((((((((((())))))))))))))))))))))))))))))))))))

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manish293

highly skilled in python and specialised in filters and before committing the project I would like to see the specifications

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heisenberg16

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