qsoo / AlgorithmicTrading

AlgorithmicTrading

Dataset

We use ETF data for portfolio composition.

• Sheet1: Stock price of ETF
• Sheet2: Market cap of ETF
• Sheet3: Stop traiding (It is not used.)

ETF selelction criteria

Two ETFs were selected based on the following criteria:

1. As of the date of back testing, only ETFs listed over 5 years were considered (84 items remaining).
2. Excluding the top 25% volatility (63 items remaining).
3. Select the asset with the highest sharpe ratio.
4. Select the asset with the lowest correlation coefficient from the asset selected in 3.

Portfolio Composition Ratio

Risky assets: Risk-free asset = 0.85 : 0.15

Back Test

• Date: 2017.04.16 ~ 2019.04.16
• Window size: 3 / 4 (months)
• Start value: 10,000
• Allow shortsale: Y/N