TODO.md

compfipy todo / roadmap

Basic Code Modules

Calculator

• General finance calculations
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Models

• create stochastic models
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Asset

• OCLHV time series data storage
• OCLHV time series calculations
• OCLHV time series technical equations
• Performance measures
• Risk measures
• Market Comparisons
• Summary Asset
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Portfolio

• Aggregate specific Assets in Table
• Define 'holding' of each Asset
• Enter and Exit holding for one Asset
• Rebalance whole Portfolio
• Return weights
• Total Unrealized Performance measures (based on specific time)
• Total Unrealized Risk measures (based on specific time)
• Total Unrealized Market Comparisons (based on specific time)
• Total Realized Performance measures (based on holdings)
• Total Realized Risk measures (based on holdings)
• Total Realized Market Comparisons (based on holdings)
• Summarize Portfolio
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Market

• Aggregate of all Assets
• Aggregate by sector?
• Aggregate by cap?
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Events

• Define event as some parameter (price, SAM, MACD, etc.) passing a threshold
• Search an Asset for the event
• Return booleans of when the event happens
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Strategy

• Defines how a Events will affect a Portfolio
• Define Enter and Exit Positions based on one or more events
• Update Holdings of Portfolio based on the Strategy
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Overall Function and Flow

• create trend trading algorithm
• test trend algos on stochastic models, just for process completeness, not correctness at the moment
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Parameter Optimization

• get asset history
• design genetic algorithm to solve for stochastic model parameters to model asset history
• use multi-temporal windows of asset history to design parameters
• see how multi-temporal parameters change
• find general best fit parameters for stochastic models
• use genetic algorithm to train trending algos parameters, using some weighted combination of profit, volatility, risk, etc. as fitness function
• once trained on blind stochastic model run on historical asset data
• do this once for a simple case
• repeat for maximizing return
• repeat for minimizing risk
• define a way to combine the two
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