Evaluate the performance of any two technical trading rules (Quantitative Analysis)

Project description

Quantitative Analysis

Group Project

Evaluate the performance of any two technical trading rules (e.g. MAC-O and TRB-O .. etc) using any market data for any recent period. (One excellent source of data on stock market performance is Yahoo Finance.)

To be presented in class and submitted (slides, analyst report, data and spread-sheet analysis)

You will be marked on the following tasks:

1.Justify your choice of trading rules based on their strengths and weaknesses; (20%)

2.Apply the trading rules correctly to the data; (20%)

3.Assess the performance of your trading strategy by comparing the average returns and the annualized returns from the chosen rules; for this exercise, you can ignore the costs of trading (e.g. commissions and tax); (20%)

4.Assess the performance of your trading strategy by comparing the risks from the chosen rules; (20%)

5.Produce a set of recommendations for investors based on your results. (20%)

Guidelines

Prepare a presentation covering tasks 1-4 and a professional technical analyst report covering task 5.

Work in groups of two

The presentation should contain no more than 6 slides including title slide and the analyst report should contain no more than 2 pages.

Perform your own calculations and analysis based on raw asset price data. Do not borrow the technical analysis from other sources (e.g. Yahoo Finance).

The work must be presented jointly by all group members in the classroom. Avoid reading from your notes while presenting. Along with the slides, you should show me your report on the screen as part of your presentation.

The final work (presentation slides, analyst report, data, and spread-sheet analysis) should be submitted online.

References (you are expected to read more than the following papers):

Brock, W, Lakonishok, J & LeBaron, B 1992, Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance, vol. 47, no. 5, pp. 1731-64.

Ratner, M & Leal, RPC 1999, Tests of technical trading strategies in the emerging equity markets of Latin America and Asia, Journal of Banking & Finance, vol. 23, no. 12, pp. 1887-1905.

Campbell, H.M. (2011) Simple Technical Trading Rules on the JSE Securities Exchange of South Africa, Part 2, Proceedings of the World Congress on Engineering 2011, Vol. I,

WCE 2011, July 6 – 8, 2011, London, UK.

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Referencing Requirements:

uploaded

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Added on 10.12.2014 12:10

Dear writer,

just to confirm

The presentation should contain no more than 6 slides including title slide and an analyst report should contain no more than 2 pages.

Quantitative Analysis

Group Project

Evaluate the performance of any two technical trading rules (e.g. MAC-O and TRB-O .. etc) using any market data for any recent period. (One excellent source of data on stock market performance is Yahoo Finance.)

To be presented in class and submitted (slides, analyst report, data and spread-sheet analysis)

You will be marked on the following tasks:

1.    Justify your choice of trading rules based on their strengths and weaknesses; (20%)

2.    Apply the trading rules correctly to the data; (20%)

3.    Assess the performance of your trading strategy by comparing the average returns and the annualized returns from the chosen rules; for this exercise, you can ignore the costs of trading (e.g. commissions and tax); (20%)

4.    Assess the performance of your trading strategy by comparing the risks from the chosen rules; (20%)

5.    Produce a set of recommendations for investors based on your results. (20%)

Guidelines

•    Prepare a presentation covering tasks 1-4 and a professional technical analyst report covering task 5.

•    Work in groups of two

•    The presentation should contain no more than 6 slides including title slide and the analyst report should contain no more than 2 pages.

•    Perform your own calculations and analysis based on raw asset price data. Do not borrow the technical analysis from other sources (e.g. Yahoo Finance).

•    The work must be presented jointly by all group members in the classroom. Avoid reading from your notes while presenting. Along with the slides, you should show me your report on the screen as part of your presentation.

•    The final work (presentation slides, analyst report, data, and spread-sheet analysis) should be submitted online.

References (you are expected to read more than the following papers):

Brock, W, Lakonishok, J & LeBaron, B 1992, ‘Simple Technical Trading Rules and the Stochastic Properties of Stock Returns’, Journal of Finance, vol. 47, no. 5, pp. 1731-64.

Ratner, M & Leal, RPC 1999, ‘Tests of technical trading strategies in the emerging equity markets of Latin America and Asia’, Journal of Banking & Finance, vol. 23, no. 12, pp. 1887-1905.

Campbell, H.M. (2011) “Simple Technical Trading Rules on the JSE Securities Exchange of South Africa, Part 2”, Proceedings of the World Congress on Engineering 2011, Vol. I,

WCE 2011, July 6 – 8, 2011, London, UK.