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DAP Instructions Question 2024

The document outlines a task to analyze price data for three securities, focusing on predicting forward returns and developing a trading strategy to maximize profit while minimizing variance. It emphasizes the importance of creating a model based on current and historical prices, and includes a requirement for a plot of the strategy's profit and loss (pnl). Additionally, it requests a brief explanation of the strategy development process and the submission of a Jupyter notebook along with its PDF version for reproducibility.

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9 views1 page

DAP Instructions Question 2024

The document outlines a task to analyze price data for three securities, focusing on predicting forward returns and developing a trading strategy to maximize profit while minimizing variance. It emphasizes the importance of creating a model based on current and historical prices, and includes a requirement for a plot of the strategy's profit and loss (pnl). Additionally, it requests a brief explanation of the strategy development process and the submission of a Jupyter notebook along with its PDF version for reproducibility.

Uploaded by

qinjn.09
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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The attached file contains price data for three different securities.

Each row includes the


three prices for a new time interval. Assume that at any given time, you can trade (buy
or sell) any or all of the three securities at their current prices. Assume no trading costs
and no restrictions on going long or short. You may trade non-integer sizes.

1. Try to find signals based on the current prices and any of the preceding
data, and build a model to predict the forward returns of the securities. You
can try different prediction time horizons and test which one works best for
your strategy.
2. Design a trading strategy to trade based on your model from step 1, with
the objective of maximizing profit and minimizing variance out of sample.
Please include a plot of the pnl of your strategy in your submission. Please
do not spend too much time on this before you are happy with your result
from step 1. You can use the pnl of your strategy as a performance metric
to verify that your model is working.

Please explain briefly how you developed your strategy and provide a description or
code sufficient to reproduce it on out-of-sample data. Feel free to note any features of
the data that seem potentially important but which you didn't have time to incorporate or
fully explore.

If you are using python with jupyter notebook, you only need to submit the jupyter
notebook file AND its pdf version. Include necessary notation explaining your model,
strategy, future directions and the pnl plot of your strategy.

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