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Assignment Empirical Analysis of Stock Markets
  1. Strategy: Invest 100% if a signal is bullish; 0% if bearish. Bullish: fast technical indicator (TI) >=slow TI.
    Bearish: when not bullish.
    Exception: max investment on Mondays: 50%.
  2. Tis are assigned individually. If you have not been assigned a TI, contact us by email. You can select TI parameters yourself (we recommend defaults from stockcharts.com. There you can also find calculation formulas for TIs).
  3. Underlying stock: SPY (its an S&P 500 ETF). NB: This was not discussed in class.
  4. Investment timeframe: Jan 1, 2010 - Apr 1, 2017.
  5. Initial investment: $1,000,000.
  6. Calculate the signal 1 minute before the market close (c-1). Invest at market close (c) on a daily basis.