Produce heat-map of sharpe ratios for various profit-taking

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Problem

1. Fit the time series of dollar bars of E-mini S&P 500 futures to an O-U process. Given those parameters:

(a) Produce a heat-map of Sharpe ratios for various profit-taking and stop-loss levels.

(b) What is the OTR?

2. Repeat exercise 2, this time on a time series of dollar bars of

(a) 10-year U.S. Treasure Notes futures

(b) WTI Crude Oil futures

(c) Are the results significantly different? Does this justify having execution traders specialized by product?

Exercise 2

Fit the time series of dollar bars of E-mini S&P 500 futures to an O-U process. Given those parameters:

(a) Produce a heat-map of Sharpe ratios for various profit-taking and stop-loss levels.

(b) What is the OTR?

Reference no: EM131926775

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