Its finally done. After a long ardous journey, riddled with server configuration problems to optimization of code every way possible, the engine is done. It is not 100% accurate right now but that is due to the lack of out-of-sample data which will only be gathered as time goes on [and if I have the $$ to keep buying extra space].
This has been one of my most involved projects - and even though the value of this project will not be realized for a while, it is nevertheless one of the most intellectually challanging thing I have done.
If anyone is interested in getting the source code from me, please let me know.
For the next week, I ll take a break and learn about the CAPM and other applied quantitative models for finance.
