Mathematical Trading Strategies
Assignment 2
Description: Firstly established a lead lag relationship between NSEI and NDAQ indices. Concluded that NSEI is leading and it can be used to predict NDAQ. So NSEI is used to analyse using different indicators. Parameters of indices are optimised for better metric values. Finally, used the optimized parameters for trading NDAQ index. Following are the values of metrics we obtained by trading using given 3 indicators.
| MACD | Bollinger Bands | Keltner Channels | |
|---|---|---|---|
| Cumulative returns | 41.76% | 74.11% | 32.07% |
| Sortino Ratio | 2.23 | 1.56 | 1.824 |
| Max Drawdown | -29.4% | -36.9% | -14.8% |
Official repo for submission of assignments in Mathematical Trading Strategies Assignment 1
| DAX | NDAQ | ^BSESN | ^FTSE | ^GSPC | |
|---|---|---|---|---|---|
| Cumulative returns | 44.38% | 882.538% | 248.04% | 43.09% | 268.006% |
| Volatility | 22.13% | 25.23% | 16.77% | 16.05% | 17.51% |
| Sharpe Ratio | 0.165 | 0.669 | 0.449 | 0.05696 | 0.460 |
| Sortino Ratio | 0.207 | 0.913 | 0.577 | 0.0726 | 0.556 |
| Max Drawdown | -22.79% | -19.48% | -16.6% | -15.98% | -14.347% |
| HDFCBANK | TSLA | TYO | BA | IOC | |
|---|---|---|---|---|---|
| Cumulative returns | 983.5% | 10216.65% | -80.725% | 372.342% | 191.02% |
| Volatility | 23.63% | 57.38% | 19.88% | 36.3% | 36.30% |
| Sharpe Ratio | 0.760 | 0.864 | -0.674 | 0.42 | 0.322 |
| Sortino Ratio | 1.330 | 1.26 | -1.02 | 0.548 | 0.4866 |
| Max Drawdown | -18.19% | -40.87% | -30% | -28.684% | -31.78% |