wmucheru / ackman Goto Github PK

Once all data has been collected, we will do some analysis on the effect on certain news on the market. This involves taking the date when the news occurred and performance of the market days, weeks and months after the news

Create dashboard to fetch data and display implied volatility of a certain asset class

• Build graph of high-low ranges over a period of time
• Compare two assets over time

• Risk Analysis
• Diversification
• Kelly Criterion
• Sharp ratio
• Returns Monitor with annualized returns

Create watchlist and notify when trade conditions are reached

• Create conditions table: id, condition, description, where condition could be:
• price_greater_than
• price_less_than
• price_equal_to
• Add cron job to monitor when conditions are met

Assess the following trading strategies and how to apply them with the data mined:

• Statistical Arbitrage
• Mean Reversion
• Liquidity Hunting
• Session Monitoring: US, London, Asia
• Weekly Highs / Lows
• Value Stocks monitoring

References:

• https://www.elliottmgmt.com/what-we-do/
• https://www.schonfeld.com/InvestmentStrategies
• https://www.schonfeld.com/Technology
• https://code.kx.com/q/
• https://www.adventcap.com/investment-philosophy/

• Correlations

Create journal to detail trades for future analysis

• Create table: id, assetid, contracttype (forex, option, stock, future), openprice, closeprice, positionsize, description, openedon, closedon, spread, broker, date
• Add journal interface
• Show trade chart
• Show pie-chart with different asset types to see diversification
• Profit/Loss statement