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Design and backtest a trading strategy

OptiverSoftware Engineer · Technical Screen
HardSoftware EngineerTechnical ScreenAnalytics & Experimentation

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This question evaluates a candidate's ability to design and rigorously evaluate a minute-level mean-reversion trading strategy, encompassing quantitative finance competencies such as signal construction, risk controls, position sizing, transaction-cost modeling, reproducible backtesting, and statistical validation; it belongs to the Analytics & Experimentation category within financial time-series and backtesting. It is commonly asked because it tests both practical implementation skills (reproducible backtests and walk-forward validation) and conceptual understanding (overfitting, data-snooping, and statistical significance testing), requiring a mix of practical application and conceptual statistical reasoning.

Given minute-level OHLCV data for a single equity over 180 trading days, design and backtest a simple mean-reversion strategy: Specify entry/exit rules, risk controls, position sizing, transaction costs, and slippage; implement a reproducible backtest that outputs PnL, win rate, average trade, max drawdown, volatility, Sharpe ratio, and turnover; perform a hold-out or walk-forward validation to assess robustness; discuss overfitting risks and use an appropriate statistical test (e.g., bootstrap or reality-check) to evaluate whether performance is statistically significant.