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[原创] Project to design a strategy with 5+ sharpe ratio

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发表于 2009-10-23 08:48 AM | 显示全部楼层 |阅读模式


Goal: to design a trading strategy with sharpe ratio 5+, or more.

Some personal preference and constraints:
Systematic trading, not necessarily need a automated trading system, but has to be model based and properly back tested.
asset class: cash equity, futures, options.
has to be suitable for retail trader, and leverage is not a desirable.

What I can offer:  coding skills, historical data, ideas
What I ask: who is interested to do it together with math/statistics/financial modeling background, or programming background, or just passion to contribute your thoughts.

pros: learn and understand how market works, test hypo, share knowledge, and eventually might be profit of a successful strategy.
cons: your time and effort

PS: recruitment will last about two weeks, afterward discussion about project will be limited to team member only. Results and Updates may be published periodically.

Express your interest,please.
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