Systematic Trading Strategy

A multi-portfolio, multi-asset trading model automated for end-to-end execution after back-testing and approval.

What I built

A systematic trading strategy and the infrastructure required to automate its complete execution across portfolios and asset classes.

How I built it

Co-designed and back-tested the strategy using Excel, VBA and C#, then designed and delivered the automation infrastructure.

Architecture

Desktop and command-line processing solution

Deliverables

Microsoft Excel workbook · .NET command-line application

Deployment

On-premises user desktops

Outcome

The strategy operated from April 2011 to May 2012 and returned 10% during significant market uncertainty before being discontinued after a key portfolio manager departed.

Technologies

C# · Microsoft Excel · VBA · ADO.NET · Sophis API · bespoke file-based database

Playful Systematic Trading Strategy illustration inspired by the build concept — Playful monochrome illustration inspired by Systematic Trading Strategy.