ScireStone

This project aims to build a Quantitative Trading program, which is going to produce fund for SCIence REvolotion in the future.

In addition to serving as an abbreviation of Science Revolution, the word scire also means aquiring knowledge. That is another goals of this quant project – we hope to find the essence of the market, explore the causal-effect of financial market data, and invent an general intelligent algorithem to survive in the market to maximize the reward.

Research Plans

We adopt an agile way to realize this framework, i.e. we will first backtest the MACD strategy as far as possible regardless of whether the framework is generalizable. After reach the goal, we then modified the codes to make it more general through realizing more strategies.

general steps to construct the framework

Step 1. Data and visualization

We should build a case in which there is a window for interaction. We can set the target code and press a button, and then the framwork will acquire data and visualize it.

  • [ ] data acquirement
  • [ ] data visualization

Step 2. Local backtesting

We should build a case in which there is a window for interection. Given a strategy, we can set some parameters, push a button, and then the framework will backtest the strategy, showing the results, including sharp ratio, trading list or trading plot, return curve, etc., and save the results for further reporting.

  • [ ] simulated accounts
  • [ ] strategy backtesting

Step 3. Simulated trading

We should build a case in which there is a window for interection. Given a strategy, we can set some parameters, push a button, and then the framework will continuously execute the strategy in the specified simulated market.

basic funtions of algorithmic trading

  • [ ] Draw the standard reward curve, such as the reward curve of hs300 index.
  • [ ] Cross orders.
  • [ ] Record trading history and visulize it.
  • [ ] Account management.
    • [ ] AccountBacktest management
      • [x] Init and reset capital

strategy implementations

  • [ ] Implement the MACD strategy for a single target.
  • [ ] Implement the multi-factors stock picking strategies for all targets in hs300 market.
  • [ ] Implement the Turtle Trading strategy for all targets in hs300 market.