FINS5542 Find a time period

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于 2024-09-27 18:06:30 发布

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FINS5542 Assignment 1

Date Due: 11pm Friday 4 October, with electronic submission (pdf ﬁle) via the course website

1. Find a time period (approximately 9 to 12 months and avoiding stock split events) from one of the following assets aan1, aan2, aan3, aan4, aan5, aan6, aan7, aan8, aan9, aan10 (see over page) in which the technical indicator of when a 21 day moving average crosses a 85 day moving average was a strong indicator of the future movement in the asset price. You should aim for 4 to 5 strong correct signals and incorrect signals can weaken your answer, especially if they are of substantial magnitude. You should evaluate the signal 5 trading days after the signal occurs.

Display a graph to demonstrate your ﬁndings, in addition to de-scribing your ﬁndings. One should also print out the Ox computer code used to solve this problem. [10 marks]

(7 marks for time period, 1.5 marks for code, 1.5 marks for presenta- tion quality)

2. Find a time period (approximately 18 to 24 months and avoid-ing stock split events) from one of the following assets aan1, aan3, aan5, aan7, aan8, aan10, aan12, ann14, aan16, aan18 (see over page) in which the technical indicator of when a 42 day moving average crosses a 230 day moving average was a strong indicator of the future movement in the asset price. You should aim for 2 to 3 strong cor-rect signals and incorrect signals can weaken your answer, especially if they are of substantial magnitude. You should evaluate the signal 10 trading days after the signal occurs.

Display a graph to demonstrate your ﬁndings, in addition to de-scribing your ﬁndings. One should also print out the Ox computer code used to solve this problem. [10 marks]

(7 marks for time period, 1.5 marks for code, 1.5 marks for presenta- tion quality)

Variable

Name

aan1

aan2

aan3

aan4

aan5

aan6

aan7

aan8

aan9