Here's the question: What can a small group of people do in 30 days?
So over @ QuantShare some of the users have created a newly founded group. Starting with Alex and Ivan, the group was created so QS users can privately exchange items like strategies, indicators, download plug-ins, money managment scripts, etc.
Yours truly joined in and had this idea: Let's develop a few strategies and get them into "production" in less than 30 days. In other words we would start paper-trading them 30 days later.
It's now 30 days later.
So what was achieved?
1. Code up and "customized" 10+ strategies from published or original ideas:
Grossman's rotation strategies
Permanent Portfolio with timing and custom performance-based re-balancing.
Minimum variance based AAA strategy with controllable margin.
Custom adaptive mean reversion strategy.
A couple of volatility based strategies.
Dr. W. Keller's FAA strategy.
These all include "attachable" money managment components that vary from a MinimumVariance Algo to risk parity, volatility targeting, margin control, equity curve feedback, etc. . Each strategy was assigned a lead developer and two "reviewers" to backtest and stress test.
2. Approved a group of strategies and came up with an initial allocation of funds between them.
3. Setup an Amazon EC2 instance in the cloud and all installed all necessary components/software including IB TWS, QS, etc.
4. Created, from scratch, a QS portfolio --> IBGateway submission process for N-strategies using IbAPI in C# as well as a IBGateway --> QS Portfolio submission process for reporting back into QuantShare.
5.Created a C# script to get daily N-strategy signals, distribute to members, log all details of systems to a shared GDrive.
So. it's up and running on an IB paper trading account. Ten End-Of-Day strategies.
Group members include both pros and retail investors coming from the U.S., Mexico, Slovakia, Germany, Switzerland and Greece.
Our cost so far: $0