Winter project under Finance and Analytics Club, in portfolio and risk management.
Learnt a lot about portfolio and risk management in the online sessions conducted by FAC.
- Learnt about options, and options pricing models
- Risk management strategies like hedging
- Building systems for algorithmic trading, building algorithms and backtesting them on historical data.
Description of Basic Assignment:
- Imported OHLCV data using the YahooFinance module
- Learned about portfolio optimization strategies
- Made a couple of portfolios, and compared them.
Description of Algotrading Assignment:
- Learned about different momentum and volume indicators
- Implemented a stochastic oscillator, accumulation-distribution line from scratch
- Learned about different options pricing models and then used the Black-Scholes model to implement the Implied Volatility indicator.
- Used these indicators to devise a trading strategy and then made a custom Backtesting Framework from scratch
- Made profits when using this strategy and backtesting it on various stocks using historical data (BTC data).