Darwinex and Hudson & Thames has provided the following skillset challenge to allow potential quants to gauge if they have the required skills to take part in the The Quant Accelerator Program.
The following assignment is an opportunity for you to highlight your skillset and show us what you are made of! It tests your ability to implement academic research, build investment products, and to do it in style!
Read the following paper: Enhancing a Pairs Trading strategy with the application of Machine Learning.
Note: The following textbook provides a deeper explanation of the technique.
In a Jupyter Notebook (python):
- Download and save your universe of stocks (use 200-300 shares) (Can use Yahoo finance to get shares data. Checkout the yfinance package.)(Else you can use Polygon)
- Implement Section III: Proposed Pairs Selection Framework (A and B, Section C if you really want to impress)
- Create a set of functions/class for the end-user to make use of.
- Make sure to add docstrings and follow PEP8 code style checks. Have plenty of inline comments, good variable names and don't over complicate things unnecessarily. It should be easy for the user to make use of.
- Showcase your new Pairs Selection Framework in a Jupyter Notebook and show us some visualizations of the clusters and pairs.
- Add an introduction, body, and conclusion showcasing your new implementation. (Use the correct style headers)
- Provide a writeup explaining your way-of-work, your design choices, and learnings.
- Make a Pull Request to this repo so that we can evaluate your work. (Create a new folder with your name)
- Bonus points if you add unit tests (in a separate .py file).
- Deadline: [DATE]
Being a good researcher is a multivariate problem that can't be reduced to a few variables. You need to be good at, mathematics, statistics, computer science, finance, and communication.
Pay close attention to detail and know that code style, inline comments, and documentation are heavily weighted.
The one consistent theme between all of our top researchers is their ability to go above and beyond what is asked of them. Please take the initiative to highlight your talent by going the extra mile and adding functionality that end users would love!
- Your code for the implementation should be contained in a .py file that you import into your notebook. Please don't have large chunks of code in your notebook.
- IDE Choice: Pycharm, NOT Spyder.
- Save your data with your PR so that we can evaluate it.
Engineer DARWIN Index Funds using sophisticated portfolio management techniques and attract investor capital
- 13 working days
- 1-3: introductory on-boarding + training (3 working days)
- 4-5: strategy ideation development (2 working days + weekend)
- 6-13: strategy implementation
- 3rd week Wednesday: Demo Day
- Max of 10 people per round
- Demo Day and internals will be explained after selection process ends.
- STEM background (or equivalent)
- Pre-existing knowledge of Python
- Proficiency in written and spoken English