Trading Strategy Assessment - Historical Market Data - R Programming - SQL - CSV

We are attempting to calculate the value of a ‘trading strategy’ within a market - thru looking at it's value thru historical data.

Our question: What would profit be, if we used this trading strategy? (below)

Trading Strategy:

Scenario 1:

1. If price > 'X' in any day, action = DO NOT BUY, DO NOT SELL

Scenario 2:

1. If price < ‘X’ in any day, action = BUY

2. If price > ‘Y’ in same day, action = SELL

Scenario 3:

1. If price < ‘X’ in any day, action = BUY

2. If price does not > ‘Y’ in same day, SELL at ‘Z’pm

Total Profit = Present Value of (total SELL price - total BUY price)

Our hope is to run the above strategy for 1000s of X (0-300, interval 1), Y (0-300, interval 1) and Z (12:00am - 11:30pm) values – resulting in over 3 billion unique combinations.

Because of sheer number of calculations - this project may require experience in AWS / EC2 instances.

Historical data on price can be found in attached document

Habilidades: Procesamiento de datos, Mathlab y Mathematica, Lenguaje de Programación R, SQL, Estadísticas

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Información del empleador:
( 1 comentario ) Moonee Ponds, Australia

Nº del proyecto: #11810166

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