Technical Indicator Evaluation
Quantitative finance project implementing technical indicators (SMA, Bollinger Bands, RSI, MACD) and developing theoretically optimal trading strategies.
Overview
A quantitative finance project focused on implementing and evaluating technical indicators for trading. The project creates a Theoretically Optimal Strategy using perfect future knowledge as an upper bound, implements various technical indicators, and compares indicator-based strategies against benchmarks.
Technologies
Key Features
- ✓Technical indicators (SMA, EMA, RSI, Bollinger Bands, MACD)
- ✓Theoretically Optimal Strategy implementation
- ✓Market simulation with transaction costs
- ✓Performance metrics (Sharpe, Sortino, max drawdown)
- ✓Benchmark comparison analysis
- ✓Trading signal visualization
Challenges
Implementing numerically stable indicator calculations, avoiding look-ahead bias, properly accounting for transaction costs, and evaluating strategy performance with appropriate risk-adjusted metrics.
Results
Successfully developed and backtested trading strategies using technical indicators, demonstrating strong understanding of quantitative finance principles.