Conventure Take Home
This take home is for Conventure. Note: I don't have any experience or background in Finance. However, I did the best I can to learn the the concepts of finance to do this take home and try really hard to focus on the programming aspect of the take home.
Nevertheless, I have enjoyed this assignment. Learning the fundamentals of finance and getting reacquianted with data visualization libraries like Plot.ly was so much fun. Hopefully I will get to do more such projects in the future with Coventure!
If you have any questions or concerns or any bugs in the code, please contact me at [email protected]! Enjoy!
Part 1:
- Go to Yahoo Finance and download a csv file of daily historical data on AAPL from Jan 1, 2002-Jan 1, 2010.
- Build a moving average strategy that tests a 5-day and 20-day moving average crossover. The strategy should go long when the 5-day moving average crosses above the 20-day moving average and short when the 5-day moving average crosses below the 20-day moving average.
In the 'longorshort' column of the csv, the date as to whether to go 'long' or 'short' is given.
- Build another strategy that buys AAPL when it closes down 3 days in a row and then sells the stock 1, 5, and 10 days later.
Part 2: 4) Graph the equity curve of the strategies
- List each trade in the strategy
- What 3 metrics would you analyse to determine whether the strategy was good or bad (not including the overall PNL of the strategy)?
- The total return in percentage
- Volotality/Stablity of investment
- Risk Adjust Returns (Example: Sharpe's ratio)
- How would you allocate capital between the two strategies?
I would focus more on allocating capital on the long-short sale since in terms of absolute growth, that seems to be more profitable than going through 3-days of downward prices.