Topic: The performance of a trading strategy with futures, options, and/or cash assets Content: You may encounter the fo

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Topic: The performance of a trading strategy with futures,
options, and/or cash assets
Content:
You may encounter the following metrics used in the empirical
studies:
Open interest, volume, short interest, order imbalance,
liquidity, rising versus falling market condition, restrictions
against short selling, margin requirement, distribution (trader
identity) of large positions, P/E ratio of the underlying asset,
Put call ratio, put/call price ratio (option price is proportional
to option implied volatility), momentum measures, Bollinger tunnel,
moving averages.
Number of pages: abstract/executive summary (1/2 – 1 page), the
strategy or algorithm (1 page), the logic behind the strategy or
algorithm (1-2 pages), summarize the historical performance of the
strategy under different market condition and across different
markets (5-6), and conclusion (1/2 – 1 page).