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TODO
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1. Implement pairs trading analysis identifying trailing week and month pair trade performance:
Parameters:
a. Long and short contract
b. Hedge ratio (should be computed based on returns?)
Results of interest:
a. Return
b. Maximum drawdown
c. Volatility, standard deviation
2. Implement scanner that given a portfolio of assets, identifies the one with the greatest volume deviation from historical norms.
3. Event Risk analyzer: Given a specified recurring calendar event, calculate effects on returns, volume, and volatility. Construct a time series based on that recurring event.
a. Parse calendar schedule of a recurring event(s)
b. Specify time series window: from time of event to next occurrence or n-day window
c. Construct time series
d. Calculate properties of time series
e. Coordinate document release scheduling and parsing
4. Quote Monitor or just Portfolio Monitor. This would entail a WebSocket interface.