Project -

Idea: How catch market trends?

Data:

-Sample? : Take aapl data for the period of 10 years (from 1 to 11 years back from now)

-Out­of­Sample:

1) one­year ? aapl? data (the last year period)

2) one­year ? goog? data (the last year period)

3) one­year ? msft? data (the last year period)

Strategies? :

1. Crossing n1­days moving average (MA) and n2­days moving average (n1>n2). When n2­days MA crosses n1­days MA, it is an indicator for the start of upward trend, and the other way around for downward trend. You may additionally include trading volume V as a parameter. Thus, the strategy has 3 parameters to calibrate: n1, n2, V.

2. Develop your own strategies, by analysing data. Your initial strategies should contain parameters, which are calibrated to the sample data.

Project steps:

1. Calibrate both strategies to sample data.

2. Run on out­of­sample, and calculate the following:

a. Annual log return r

b. Standard deviation of r

c. Build histogram for daily log returns and analyze it.

d. Describe the major risk, which is your strategy is subject to?

Attachment:- Assignment.rar