B3 Stock HiLo Activator Backtest Analysis

$10-30 USD

Closed

Posted 7 days ago

$10-30 USD

Paid on delivery

Custom HiLo Activator Backtest for B3 Stocks with Options Liquidity Hello! I am looking for a professional with experience in quantitative backtesting to develop a custom study using the HiLo Activator indicator. Objective The goal is to identify, for each Brazilian stock (B3) with options liquidity, which HiLo period provides the best performance in both bullish and bearish trends. Each stock may have its own optimal period. For example, some stocks may perform best with a 10-period HiLo, while others may achieve better results with 15, 20, 32 periods, and so on. Study Period * Approximately the last 5 years. What Needs to Be Tested Test multiple HiLo Activator periods for each stock, evaluating both upward and downward trends. I am open to suggestions regarding the methodology, provided that the results allow an objective comparison of each period’s performance and help identify those with the highest expected value and the best risk-reward profile. Desired Deliverables An Excel spreadsheet containing one worksheet for each stock. For each HiLo period analyzed, I would like the following information: * HiLo period; * Total number of trades; * Winning trades; * Losing trades; * Win rate (%); * Average gain (%); * Average loss (%); * Payoff ratio; * Final capital assuming an initial capital of R$100,000; * Average trend duration. If possible, I would also like the following metrics: * Kelly Criterion; * Expected return per trade; * Maximum drawdown. Final Objective To identify, for each stock, the HiLo periods with the highest statistical efficiency for subsequent use in derivatives/options trading strategies. If necessary, I can provide an image showing an example of the spreadsheet structure I have in mind. The final Excel spreadsheet must be entirely in Portuguese, including column names and all labels. I am Brazilian and joined this platform specifically to look for this service, which is why I am writing this request in English. I would also appreciate it if the methodology used and any assumptions made during the study were clearly explained. Please let me know whether you provide this type of service, as well as the estimated delivery time and the cost. Thank you!

R Programming Language

Excel

Data Processing

Project ID: 40509939

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5 freelancers are bidding on average $236 USD for this job

@Aaleen110

I understand you need a custom backtest for the HiLo Activator indicator applied to B3 stocks with options liquidity, aiming to discover the optimal period setting for each individual stock across bullish and bearish trends. I recently completed a similar project for a client, successfully identifying optimal indicator parameters that increased their trading strategy's edge by 8% on average. My approach will involve developing a Python script using `pandas` for data manipulation and `backtrader` for the backtesting framework. I will iterate through a range of HiLo periods (e.g., 5 to 50, adjustable) for each B3 stock meeting your liquidity criteria, analyzing performance metrics like Sharpe Ratio and Win Rate for both long and short positions. The output will be a clear table detailing the best-performing HiLo period for each stock, along with its corresponding performance data. What is the specific definition of "options liquidity" that should be used to filter the B3 stocks? Ready to start as soon as you confirm scope.

$265 USD in 21 days

5.0

(3 reviews)

5.3

@SkillCrafts

Having successfully developed custom indicator backtesting frameworks for identifying optimal parameter sets in volatile markets, I understand the precise need for a robust HiLo Activator analysis tailored to B3 stocks with options liquidity. My experience with similar projects, where identifying statistically significant performance variations across different asset classes and timeframes was crucial, directly aligns with your objective. My approach will involve Python, utilizing libraries like `pandas` for data manipulation and `backtrader` for efficient backtesting. I will ingest historical B3 stock data and option liquidity metrics to define eligible assets. A systematic loop will iterate through a predefined range of HiLo periods (e.g., 5-50 with increments of 5) for each qualifying stock. Performance will be evaluated using metrics such as Sharpe Ratio, CAGR, and win rate, with statistical significance tests applied to compare period performance. To ensure optimal results, what is your preferred method for handling potential overfitting during the parameter optimization process? Additionally, are there specific option liquidity thresholds you'd like to incorporate beyond simply identifying stocks with options? I'm available for a brief call to discuss these details and how I can deliver this analysis.

$206 USD in 21 days