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%.
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).
Underlying stock: SPY (its an S&P 500 ETF). NB: This was not discussed in class.
Investment timeframe: Jan 1, 2010 - Apr 1, 2017.
Initial investment: $1,000,000.
Calculate the signal 1 minute before the market close (c-1). Invest at market close (c) on a daily basis.