Create a flexible and customizable arbitrage trading model (simultaneous sale of one commodity and purchase of another similar good at a discount) for the futures markets by using multivariable regression techniques. The best way to do this would probably be in VBA/Excel. Programmers should have a very good understanding of statistics.
The program will work as follows:
User will enter ticker symbols for 2-4 futures contracts as well as paramaters for contract length. The user may enter predefined ratios for the exchange of these futures, or may request the program to perform a regression in order to find the M variable (y=mX+b). The regression time will be variable and programmable (for example, the user may want to regress t-10, t-5 or t-2 days from present in order to find a projected value for t). The program should also account for commission costs, bid-ask spread (basically, the premium paid for buying and selling), fair value, cost of capital and other transaction costs
The program should be able to back-test these functions, come up with statistics for the STDEV of said returns, IRR, total return, largest drawdown (eg, largest losing streak, peak-trough), and should be able to incorporate a potential levereage amount in calculating said statistics.
Finally, (in a seperate module/program if neccecary), the program should be able to analyze live data and generate trade reccomendations based on the paramaters worked out above. When a signal is crossed, the program should send an automated email to a specified address containing the details of said trade.
The program should be able to fit the paramaters discussed in the papers attached, and effectively model them.
Additionally, you should research the best data source for this type of program and determine which is most effective/price efficient.
1) Complete and fully-functional working program(s) in executable form as well as complete source code of all work done.
2) Deliverables must be in ready-to-run condition, as follows (depending on the nature of the deliverables):
a) For web sites or other server-side deliverables intended to only ever exist in one place in the Buyer's environment--Deliverables must be installed by the Seller in ready-to-run condition in the Buyer's environment.
b) For all others including desktop software or software the buyer intends to distribute: A software installation package that will install the software in ready-to-run condition on the platform(s) specified in this bid request.
3) All deliverables will be considered "work made for hire" under U.S. Copyright law. Buyer will receive exclusive and complete copyrights to all work purchased. (No GPL, GNU, 3rd party components, etc. unless all copyright ramifications are explained AND AGREED TO by the buyer on the site per the coder's Seller Legal Agreement).
* * *This broadcast message was sent to all bidders on Thursday Sep 22, 2005 4:25:10 PM:
If you're still interested in this project, please look at the revised requirements and attached file, as well as the revised project price. It should not be very complicated for those that understand mathematics well.
VBA/Excel, access or other standalone platform, but open to suggestions otherwise