CEU Electronic Theses and Dissertations, 2020
| Author | Margaryan, Petros |
|---|---|
| Title | Backtesting Remek! Momentum Pullback Strategy on U.S. Commodity and Treasury Futures |
| Summary | Within the capstone project as a graduate candidate, I have helped Remek! Trading Systems plans to find the optimal settings that would improve the chances of an entirely automated pullback strategy-based product’s success. To achieve this, I have used computer software (NinjaTrader8) to implement a series of backtests on U.S. futures contracts, focusing specifically on four instruments: Gold Futures; Crude Oil Futures; U.S. Treasury Bond futures; 10-Year U.S. Treasury Note futures. Making use of multiple ideas and variations of a pullback strategy, I aimed to find an edge, if any. |
| Supervisor | Szilagyi Peter; Meszaros Ferenc |
| Department | Economics MSc |
| Full text | https://www.etd.ceu.edu/2020/margaryan_petros.pdf |
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