Homework #2 Into to Auto Trading Systems Solved

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Problem 1 (Strategy Implementation). Download 1 miniute bar historical data using IB-Matlab for as far as you can (you may need to combine more downloads due to IB restrictions). Then write a function that can generate buy and sell signals using two moving averages MA(m) and MA(n) (m < n)of di⁄erent window length. Run your function on the historical data (you can choose m and n values) and display your trading pro t and loss curve.

Problem 4 (Optimization). Can you nd the “best” strategy by back testing for m = 1;2;3;:::;n 1; where n = 20:

Reading Assignments (Important!)

Problem 6. Read the complete article cited in the Topics and Notes.


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