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PostPosted: Fri Mar 29, 2013 7:30 pm 
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Joined: Thu Mar 28, 2013 7:35 pm
Posts: 1
I am hiring for a short-term contract assignment. Send me a message if interested...

Project:
Backtest an equity intraday trading strategy over the S&P 500 universe since 2006 using pre-generated signals.

Scope:
- Engine: Consultant will use their own backtesting engine. Assumptions in the engine (fill rate, slippage, execution strategy, etc.) will be shared with client.
- Data: Consultant will provide their own tick or bar data. Preferably data provided is 2006 thru current day.
- Reporting: Consultant will generate a log of the daily portfolio value and shares traded log

Details:
- Client will provide a CSV file of "shares to own" (ticker, date, number of shares, and side). On each day this specifies the positions owned after all transactions.
- The "shares to own" can only be executed at the close. So you will assume market-on-close orders were placed to achieve the desired portfolio at the closing prices for that day.
- This "shares to own" CSV file will contain approximately 200 to 500 positions on any given day
- We need to test the effect of using profit stops intraday. Profit stops are specified as limit orders. Since we assumed entry via market-on-close, the profit stop for a given security = ( intraday-price - yesterdays close ) / yesterdays close >= profit % threshold. For example, a threshold might be 15 bps.
- We are looking for a realistic simulation accounting for partial fills and slippage
- At some specified time before the close (say 30 minutes), cancel all profit stops and wait for the close for the next round of market-on-close orders specified in the "shares to own" CSV file

Terms:
- Please propose a fixed-price for the project.
- 50% paid up-front and 50% paid upon successful completion.


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