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Trading System Development

By Grant Espe, John Brennan Bieber, Stephen Andrews and Theodore James Bieber

Abstract

The goal of this project was to develop a trading system that achieves a greater return than alternatives, like the S&P 500. Over the past year, the inflation rate in the US was 2.1%. To counteract this, it is beneficial to identify a reliable investment vehicle. This team developed a system which achieved a 19.73% return on $400,000 initial capital when trading from April 7th, 2017 to April 4th, 2018, beating inflation by 17.63% and the S&P 500 by 9.3%. The system made 634 trades and earned $0.27 for every dollar it risked on a mix of stocks and forex. Its system quality was 2.85, and its sharpe ratio was 0.79. Since the system of systems achieved a higher system quality than its underlying systems, this team recommends that a system of systems be used rather than a single trading sytem

Publisher: Digital WPI
Year: 2018
OAI identifier: oai:digitalcommons.wpi.edu:iqp-all-2513
Provided by: DigitalCommons@WPI

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