The initial task I got in one of the interview and it looks like this:
Practical Assignment
Test an investment strategy of buying the Japanese index.
Imagine a scenario where an investor started purchasing the index every Monday at market open, beginning on 01/01/1990, investing the same amount in USD each time.
Answer the following questions:
- What would be the total return in USD by the last day of the available data?
- How much time would the investment spend in drawdown?
- Without drastically changing the investment method, apply a couple of techniques to increase the return and reduce drawdown duration.
Present your results in a Jupyter Notebook. Any additional analysis or results will be considered a plus.
DCA strategy have 393% investment return.
For improve this number I have created 3 strategy:
1. Buy more of the index during drawdowns (+353% IR)
2. Market seasonality strategy (+395% IR)
3. MA26 strategy (+422% IR)