Strategies On a Portfolio : Report Writing - Coursework Assignment

Internal Code : MAS3878

Coursework Assignment

 Report writing : Test four different short term investment strategies on a portfolio of at least 10 securities using quantstrat. The coursework should encompass the selection and rationale behind each strategy and should include a backtest of the strategy optimized over a previous period of 2 years and then tested against a forthcoming period of two years. The coursework is expected to be referenced against authoritative and/or academic papers. However, in the analysis of the results (both for the backtest and the actual implementation stage), your own reflections upon what went well and what did not go well (and why) should be stated. Word limit: 2,500 excluding tables, references and appendices The appendix should contain the list of shares included in the portfolio being tested and the summarized results of both the back test and the implementation stage.The report should include an executive summary at the start. A table of contents should not be included. Absolute word limit is 2,500 not including tables or appendices