3. Preliminary Trading Strategies

Overview

After our preliminary timeseiries exploration, our next objective was to develop a trading strategy using the metaculus user data. We designed and tested a set of proof of concept trading strategies using python’s BackTrader. A complete write-up of our strategies and corresponding results can be found at Trading Strategies Guide. More details about the backtrading script and trading strategies code can be found at VXX_Metaculus_POC.py script and trading_strat.py script. At a high level, our proof of concept was partially successful in that our strategies were able to produce profits; however, despite that, our strategies were unable to generate positive sharpe ratios. Further work is required to amplify metaculus signal and produce an alpha-generating strategy.