Imagine that you are a strategy developer at a financial institution. Construct a quantitative investment strategy appli

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Imagine that you are a strategy developer at a financial
institution. Construct a quantitative
investment strategy applicable to Chinese financial market. It can
invest in the stocks, bonds, or
options. You may develop your own strategy or you can find one that
you think will work well in
practice. In your report, include the following:
1. (20 points) What is your strategy? Explain the details of the
strategy such as the financial
assets involved, conditions to trade, trading volumes, etc. Be as
specific as possible.
2. (50 points) Why do you propose the strategy? Evaluate the
historical performance of
the strategy using market data for at least one year. Explain what
data set you use for
the test and how you design the experiment. Explain the performance
of the strategy
quantitatively by including the statistics such as annual rate of
return, volatility, etc. For
better visualization, you are suggested to provide the return curve
graphically.
3. (20 points) What are the major risks associated with the
strategy? Based on the
historical performance in part 2, analyze the possible risks of the
strategy.
4. (10 points) List of references (if any) and data
sources.