Feel free to ask me for my sample scripts and backtest results if you are interested. I am a final year student in Hong Kong Polytechnic University. I am currently working on my final year project with Dr Li Xun. My project is mean-variance portfolio selection to optimise different quantitative strategies and assets at the same time based on non-price data, including options payoff diagram, options chain,time value(covered call), realised, implied volatility spread, IV skew, call-put ratio, futures open interest average cost and OTM options.The strategies also have factors model, trend-following with volatility filters, Bayesian Theorem(filters) and equity curve trading.