Problem 45776. Algorithmic Trading - 1 (optimize simple trading strategy)

Created by jmac

Solve Later

{"parts":[{"partUri":"/matlab/document.xml","contentType":"application/vnd.mathworks.matlab.code.document+xml","content":"<?xml version=\"1.0\" encoding=\"UTF-8\"?><w:document xmlns:w=\"http://schemas.openxmlformats.org/wordprocessingml/2006/main\"><w:body><w:p><w:pPr><w:pStyle w:val=\"text\"/><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>This is the first of a series of problems on quant trading. Quant traders seek to optimize investment performance devising trading strategies (i.e. rules) that exploit patterns found in historical market data.</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"text\"/><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>Creative solutions, comments and suggestions for improvement of the problem are appreciated! Please respect basic courtesy guidelines: e.g. refrain from using Cody hacks to get a leading score.</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"text\"/><w:jc w:val=\"left\"/></w:pPr><w:r><w:rPr><w:b/></w:rPr><w:t>Goal</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>Trade one single security, based on one single trading signal (observed variable)</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>Use an all or nothing, fractional trading strategy, with no leverage nor short selling - each day invest either 100% of the funds at market open, or leave them all in cash)</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>Maximize the compound annual growth return (CAGR) of your investment, over the test period</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>Check</w:t></w:r><w:r><w:t> </w:t></w:r><w:hyperlink w:docLocation=\"https://en.wikipedia.org/wiki/Compound_annual_growth_rate\"><w:r><w:t>&lt;https://en.wikipedia.org/wiki/Compound_annual_growth_rate</w:t></w:r></w:hyperlink><w:r><w:t>&gt;</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"text\"/><w:jc w:val=\"left\"/></w:pPr><w:r><w:rPr><w:b/></w:rPr><w:t>You are given</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:rPr><w:b/></w:rPr><w:t>P</w:t></w:r><w:r><w:t>, a [n x 1] vector of daily prices of the traded security, at market open (always positive)</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:rPr><w:b/></w:rPr><w:t>S</w:t></w:r><w:r><w:t>, a [n x 1] vector of trading signals, calculated just ahead of market open (can take any real value)</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>These will serve both as training and test set</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"text\"/><w:jc w:val=\"left\"/></w:pPr><w:r><w:rPr><w:b/></w:rPr><w:t>Your function should return</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:rPr><w:b/></w:rPr><w:t>t</w:t></w:r><w:r><w:t>, a scalar threshold that determines this simple trading strategy: invest all the available funds in the security when S&gt;t, stay in cash otherwise</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"text\"/><w:jc w:val=\"left\"/></w:pPr><w:r><w:rPr><w:b/></w:rPr><w:t>Assumptions</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>You transact once per day at market open</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>You buy and sell the security instantaneously at market open</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>You can buy, sell, and hold fractional volumes of the security</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>You don't incur in transaction costs, nor do you receive any return on the funds left in cash</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"text\"/><w:jc w:val=\"left\"/></w:pPr><w:r><w:rPr><w:b/></w:rPr><w:t>Hints</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>The array of daily returns can be calculated by</w:t></w:r><w:r><w:t> </w:t></w:r><w:r><w:rPr><w:rFonts w:cs=\"monospace\"/></w:rPr><w:t>R = D.*(S(1:n-1)&gt;t)</w:t></w:r><w:r><w:t>, where D is the day-ahead price change, i.e.</w:t></w:r><w:r><w:t> </w:t></w:r><w:r><w:rPr><w:rFonts w:cs=\"monospace\"/></w:rPr><w:t>D=P(2:n)./P(1:n-1)-1;</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>You can assume there are 252 trading days/year, so your goal is to maximize</w:t></w:r><w:r><w:t> </w:t></w:r><w:r><w:rPr><w:rFonts w:cs=\"monospace\"/></w:rPr><w:t>CAGR = prod(1+D.*(S(1:n-1)&gt;t))^(252/n)-1;</w:t></w:r></w:p><w:p><w:pPr><w:pStyle w:val=\"ListParagraph\"/><w:numPr><w:numId w:val=\"1\"/></w:numPr><w:jc w:val=\"left\"/></w:pPr><w:r><w:t>You can find the solution by maximizing the sum of log returns or, more simply, maximizes</w:t></w:r><w:r><w:t> </w:t></w:r><w:r><w:rPr><w:rFonts w:cs=\"monospace\"/></w:rPr><w:t>sum(log(1+D.*(S(1:n-1)&gt;t)));</w:t></w:r></w:p></w:body></w:document>","relationship":null}],"relationships":[{"relationshipType":"http://schemas.mathworks.com/matlab/code/2013/relationships/document","target":"/matlab/document.xml","relationshipId":"rId1"}]}

<div style = "text-align: start; line-height: 20.44px; min-height: 0px; white-space: normal; color: rgb(0, 0, 0); font-family: Menlo, Monaco, Consolas, monospace; font-style: normal; font-size: 14px; font-weight: 400; text-decoration: none solid rgb(0, 0, 0); white-space: normal; "><div style="block-size: 743px; display: block; min-width: 0px; padding-block-start: 0px; padding-top: 0px; perspective-origin: 407px 371.5px; transform-origin: 407px 371.5px; vertical-align: baseline; "><div style="block-size: 42px; font-family: Helvetica, Arial, sans-serif; line-height: 21px; margin-block-end: 9px; margin-block-start: 2px; margin-bottom: 9px; margin-inline-end: 10px; margin-inline-start: 4px; margin-left: 4px; margin-right: 10px; margin-top: 2px; perspective-origin: 384px 21px; text-align: left; transform-origin: 384px 21px; white-space: pre-wrap; margin-left: 4px; margin-top: 2px; margin-bottom: 9px; margin-right: 10px; "><span style="block-size: auto; display: inline; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-end: 0px; margin-inline-start: 0px; margin-left: 0px; margin-right: 0px; margin-top: 0px; perspective-origin: 0px 0px; transform-origin: 0px 0px; ">This is the first of a series of problems on quant trading. Quant traders seek to optimize investment performance devising trading strategies (i.e. rules) that exploit patterns found in historical market data.</div><div style="block-size: 42px; font-family: Helvetica, Arial, sans-serif; line-height: 21px; margin-block-end: 9px; margin-block-start: 2px; margin-bottom: 9px; margin-inline-end: 10px; margin-inline-start: 4px; margin-left: 4px; margin-right: 10px; margin-top: 2px; perspective-origin: 384px 21px; text-align: left; transform-origin: 384px 21px; white-space: pre-wrap; margin-left: 4px; margin-top: 2px; margin-bottom: 9px; margin-right: 10px; "><span style="block-size: auto; display: inline; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-end: 0px; margin-inline-start: 0px; margin-left: 0px; margin-right: 0px; margin-top: 0px; perspective-origin: 0px 0px; transform-origin: 0px 0px; ">Creative solutions, comments and suggestions for improvement of the problem are appreciated! Please respect basic courtesy guidelines: e.g. refrain from using Cody hacks to get a leading score.</div><div style="block-size: 21px; font-family: Helvetica, Arial, sans-serif; line-height: 21px; margin-block-end: 9px; margin-block-start: 2px; margin-bottom: 9px; margin-inline-end: 10px; margin-inline-start: 4px; margin-left: 4px; margin-right: 10px; margin-top: 2px; perspective-origin: 384px 10.5px; text-align: left; transform-origin: 384px 10.5px; white-space: pre-wrap; margin-left: 4px; margin-top: 2px; margin-bottom: 9px; margin-right: 10px; "><span style="block-size: auto; display: inline; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-end: 0px; margin-inline-start: 0px; margin-left: 0px; margin-right: 0px; margin-top: 0px; perspective-origin: 0px 0px; transform-origin: 0px 0px; ">Goal</div><ul style="block-size: 100px; font-family: Helvetica, Arial, sans-serif; list-style-type: square; margin-block-end: 20px; margin-block-start: 10px; margin-bottom: 20px; margin-top: 10px; perspective-origin: 391px 50px; transform-origin: 391px 50px; margin-top: 10px; margin-bottom: 20px; "><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">Trade one single security, based on one single trading signal (observed variable)</li><li style="block-size: 40px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 20px; text-align: left; transform-origin: 363px 20px; white-space: pre-wrap; margin-left: 56px; ">Use an all or nothing, fractional trading strategy, with no leverage nor short selling - each day invest either 100% of the funds at market open, or leave them all in cash)</li><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">Maximize the compound annual growth return (CAGR) of your investment, over the test period</li><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">Check <a target='_blank' href = "https://en.wikipedia.org/wiki/Compound_annual_growth_rate">&lt;https://en.wikipedia.org/wiki/Compound_annual_growth_rate</a>&gt;</li></ul><div style="block-size: 21px; font-family: Helvetica, Arial, sans-serif; line-height: 21px; margin-block-end: 9px; margin-block-start: 2px; margin-bottom: 9px; margin-inline-end: 10px; margin-inline-start: 4px; margin-left: 4px; margin-right: 10px; margin-top: 2px; perspective-origin: 384px 10.5px; text-align: left; transform-origin: 384px 10.5px; white-space: pre-wrap; margin-left: 4px; margin-top: 2px; margin-bottom: 9px; margin-right: 10px; "><span style="block-size: auto; display: inline; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-end: 0px; margin-inline-start: 0px; margin-left: 0px; margin-right: 0px; margin-top: 0px; perspective-origin: 0px 0px; transform-origin: 0px 0px; ">You are given</div><ul style="block-size: 60px; font-family: Helvetica, Arial, sans-serif; list-style-type: square; margin-block-end: 20px; margin-block-start: 10px; margin-bottom: 20px; margin-top: 10px; perspective-origin: 391px 30px; transform-origin: 391px 30px; margin-top: 10px; margin-bottom: 20px; "><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">P, a [n x 1] vector of daily prices of the traded security, at market open (always positive)</li><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">S, a [n x 1] vector of trading signals, calculated just ahead of market open (can take any real value)</li><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">These will serve both as training and test set</li></ul><div style="block-size: 21px; font-family: Helvetica, Arial, sans-serif; line-height: 21px; margin-block-end: 9px; margin-block-start: 2px; margin-bottom: 9px; margin-inline-end: 10px; margin-inline-start: 4px; margin-left: 4px; margin-right: 10px; margin-top: 2px; perspective-origin: 384px 10.5px; text-align: left; transform-origin: 384px 10.5px; white-space: pre-wrap; margin-left: 4px; margin-top: 2px; margin-bottom: 9px; margin-right: 10px; "><span style="block-size: auto; display: inline; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-end: 0px; margin-inline-start: 0px; margin-left: 0px; margin-right: 0px; margin-top: 0px; perspective-origin: 0px 0px; transform-origin: 0px 0px; ">Your function should return</div><ul style="block-size: 40px; font-family: Helvetica, Arial, sans-serif; list-style-type: square; margin-block-end: 20px; margin-block-start: 10px; margin-bottom: 20px; margin-top: 10px; perspective-origin: 391px 20px; transform-origin: 391px 20px; margin-top: 10px; margin-bottom: 20px; "><li style="display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 20px; text-align: left; transform-origin: 363px 20px; white-space: pre-wrap; margin-left: 56px; ">t, a scalar threshold that determines this simple trading strategy: invest all the available funds in the security when S&gt;t, stay in cash otherwise</li></ul><div style="block-size: 21px; font-family: Helvetica, Arial, sans-serif; line-height: 21px; margin-block-end: 9px; margin-block-start: 2px; margin-bottom: 9px; margin-inline-end: 10px; margin-inline-start: 4px; margin-left: 4px; margin-right: 10px; margin-top: 2px; perspective-origin: 384px 10.5px; text-align: left; transform-origin: 384px 10.5px; white-space: pre-wrap; margin-left: 4px; margin-top: 2px; margin-bottom: 9px; margin-right: 10px; "><span style="block-size: auto; display: inline; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-end: 0px; margin-inline-start: 0px; margin-left: 0px; margin-right: 0px; margin-top: 0px; perspective-origin: 0px 0px; transform-origin: 0px 0px; ">Assumptions</div><ul style="block-size: 80px; font-family: Helvetica, Arial, sans-serif; list-style-type: square; margin-block-end: 20px; margin-block-start: 10px; margin-bottom: 20px; margin-top: 10px; perspective-origin: 391px 40px; transform-origin: 391px 40px; margin-top: 10px; margin-bottom: 20px; "><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">You transact once per day at market open</li><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">You buy and sell the security instantaneously at market open</li><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">You can buy, sell, and hold fractional volumes of the security</li><li style="block-size: 20px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 10px; text-align: left; transform-origin: 363px 10px; white-space: pre-wrap; margin-left: 56px; ">You don't incur in transaction costs, nor do you receive any return on the funds left in cash</li></ul><div style="block-size: 21px; font-family: Helvetica, Arial, sans-serif; line-height: 21px; margin-block-end: 9px; margin-block-start: 2px; margin-bottom: 9px; margin-inline-end: 10px; margin-inline-start: 4px; margin-left: 4px; margin-right: 10px; margin-top: 2px; perspective-origin: 384px 10.5px; text-align: left; transform-origin: 384px 10.5px; white-space: pre-wrap; margin-left: 4px; margin-top: 2px; margin-bottom: 9px; margin-right: 10px; "><span style="block-size: auto; display: inline; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-end: 0px; margin-inline-start: 0px; margin-left: 0px; margin-right: 0px; margin-top: 0px; perspective-origin: 0px 0px; transform-origin: 0px 0px; ">Hints</div><ul style="block-size: 126px; font-family: Helvetica, Arial, sans-serif; list-style-type: square; margin-block-end: 20px; margin-block-start: 10px; margin-bottom: 20px; margin-top: 10px; perspective-origin: 391px 63px; transform-origin: 391px 63px; margin-top: 10px; margin-bottom: 20px; "><li style="block-size: 42px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 21px; text-align: left; transform-origin: 363px 21px; white-space: pre-wrap; margin-left: 56px; ">The array of daily returns can be calculated by R = D.*(S(1:n-1)&gt;t), where D is the day-ahead price change, i.e. D=P(2:n)./P(1:n-1)-1;</li><li style="block-size: 42px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 21px; text-align: left; transform-origin: 363px 21px; white-space: pre-wrap; margin-left: 56px; ">You can assume there are 252 trading days/year, so your goal is to maximize CAGR = prod(1+D.*(S(1:n-1)&gt;t))^(252/n)-1;</li><li style="block-size: 42px; display: list-item; margin-block-end: 0px; margin-block-start: 0px; margin-bottom: 0px; margin-inline-start: 56px; margin-left: 56px; margin-top: 0px; perspective-origin: 363px 21px; text-align: left; transform-origin: 363px 21px; white-space: pre-wrap; margin-left: 56px; ">You can find the solution by maximizing the sum of log returns or, more simply, maximizes sum(log(1+D.*(S(1:n-1)&gt;t)));</li></ul></div></div>

This is the first of a series of problems on quant trading. Quant traders seek to optimize investment performance devising trading strategies (i.e. rules) that exploit patterns found in historical market data.

Creative solutions, comments and suggestions for improvement of the problem are appreciated! Please respect basic courtesy guidelines: e.g. refrain from using Cody hacks to get a leading score.

*Goal*

* Trade one single security, based on one single trading signal (observed variable)
* Use an all or nothing, fractional trading strategy, with no leverage nor short selling - each day invest either 100% of the funds at market open, or leave them all in cash)
* Maximize the compound annual growth return (CAGR) of your investment, over the test period
* Check <https://en.wikipedia.org/wiki/Compound_annual_growth_rate>

*You are given*

* *P*, a [n x 1] vector of daily prices of the traded security, at market open (always positive)
* *S*, a [n x 1] vector of trading signals, calculated just ahead of market open (can take any real value)
* These will serve both as training and test set

*Your function should return*

* *t*, a scalar threshold that determines this simple trading strategy: invest all the available funds in the security when S>t, stay in cash otherwise

*Assumptions*

* You transact once per day at market open
* You buy and sell the security instantaneously at market open
* You can buy, sell, and hold fractional volumes of the security
* You don't incur in transaction costs, nor do you receive any return on the funds left in cash

*Hints*

* The array of daily returns can be calculated by |R = D.*(S(1:n-1)>t)|, where D is the day-ahead price change, i.e. |D=P(2:n)./P(1:n-1)-1;|
* You can assume there are 252 trading days/year, so your goal is to maximize |CAGR = prod(1+D.*(S(1:n-1)>t))^(252/n)-1;|
* You can find the solution by maximizing the sum of log returns or, more simply, maximizes |sum(log(1+D.*(S(1:n-1)>t)));|

Solve

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Last Solution submitted on Jan 19, 2023

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3 Comments

3 Comments

Alfonso Nieto-Castanon on 23 Aug 2020

please fix testsuite

Tokdemir Ibrahim Kerem on 6 Oct 2020

my solution works well with test cases presented here when I run it on my computer, but it fails when I submit same solution

Dyuman Joshi on 2 Jan 2023

Please note that test suites of this problem series (Algorithmic Trading) are broken or rather incomplete.

They will be fixed on a temporary basis, soon, as only the author of the problem has an idea what they want to implement.

Solution Comments

Solution 3545440

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4 Comments

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T. Dunker on 4 Nov 2020

It seems that test 3 and 4 need some rework. Variables from test 2 are not available.

goc3 on 4 Nov 2020

@T. Dunker: Those test cases have been combined with test case 2 to overcome that scope problem. I re-scored your solution and it passed.

jmac on 22 Nov 2020

Test suite fixed

Michael Sisco on 19 Jan 2023 at 5:38

Test suite appears to be broken again.

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Problem 45776. Algorithmic Trading - 1 (optimize simple trading strategy)

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Problem 45776. Algorithmic Trading - 1 (optimize simple trading strategy)

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