Name		Name	Last commit message	Last commit date
compare		compare
figures		figures
images		images
literature		literature
raw_data		raw_data
result		result
2022_MCM_Problem_C.pdf		2022_MCM_Problem_C.pdf
EMA_signal.py		EMA_signal.py
GFTD_signal.py		GFTD_signal.py
MA_signal.py		MA_signal.py
README.md		README.md
backtest.py		backtest.py
backtesting.ipynb		backtesting.ipynb
bollinger_signal.py		bollinger_signal.py
code.ipynb		code.ipynb
final_report.pdf		final_report.pdf
momentum_signal.py		momentum_signal.py
position.py		position.py
rotation.ipynb		rotation.ipynb
rotation.py		rotation.py
tempCodeRunnerFile.py		tempCodeRunnerFile.py
test.ipynb		test.ipynb
test.py		test.py
test_portfolio.py		test_portfolio.py
util.py		util.py

Repository files navigation

Trading-Strategy

MCM/ICM2022: Trading strategy design for bitcoin and gold

Used traditional technical analysis, GFTD timing signal and rotation strategy to design basic trading strategies
Proposed dynamic fusion method from portfolio management science to optimize the weight allocation
Performed robustness checking and sensitivity analysis towards transaction costs

Results Overview

Rotation strategy:
GFTD signal hyperparameter grid search (bitcoin only) with RoMaD metric:
Dynamic strategy fusion pipline:
Proportion of individual strategy in the fused version:
Cumulative return of investors with different levels of risk preferences:
Effect of commission fee with portfolio terminal value
Commission fee ratio and transaction frequency

About

MCM/ICM2022: Trading strategy design for bitcoin and gold

2 stars

0 watching

Report repository

Releases

Packages

Contributors

Languages