The goal of this project was to develop a trading system that achieves a greater return than alternatives, like the S&P 500. Over the past year, the inflation rate in the US was 2.1%. To counteract this, it is beneficial to identify a reliable investment vehicle. This team developed a system which achieved a 19.73% return on $400,000 initial capital when trading from April 7th, 2017 to April 4th, 2018, beating inflation by 17.63% and the S&P 500 by 9.3%. The system made 634 trades and earned $0.27 for every dollar it risked on a mix of stocks and forex. Its system quality was 2.85, and its sharpe ratio was 0.79. Since the system of systems achieved a higher system quality than its underlying systems, this team recommends that a system of systems be used rather than a single trading sytem.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Espe, Grant
• Andrews, Stephen
• Bieber, John Brennan
• Bieber, Theodore James

Subject

• Industry

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-051518-233727

Keyword

• Stock exchanges
• Stocks

Advisor

• Hakim, Hossein
• Radzicki, Michael J.

Year

• 2018

Date created

• 2018-05-15

Resource type

• Interactive Qualifying Project

Rights statement

• In Copyright