Lecture4
Patternrecognition
FINA455PBuildingaProfitableTradingStrategy
(UsingTechnicalAnalysis)
Chapter15&16
Lets recap what we have
learnt so far:
Uptrend, downtrend and trading
range
Support, resistance lines and
zones
Pullbacks/throwbacks
Stops; entry,
College Level
Introduction
to Technical
Analysis
Lecture 3
Objectives
trend analysis
Trends The Basics
Indentify trends as paramount to profits in securities
l
Recognize an uptrend, downtrend and a trading range
l
Understand the concept of support a
Lecture10
RelativeStrength&Flowof
Funds
FINA455PBuildingaProfitableTradingStrategy
(UsingTechnicalAnalysis)
RelativeStrength
*Exceptions: Federal Reserve evaluation model, 3 steps and a
stumble.
One of the oldest approaches of technical analysis, and stil
Problem Set 4
1. (To be solved in a group) Consider the Black-Scholes model with stock returns following
dSt
= dt + dZt
St
Assume that the interest rate is r and the stock pays no dividends. Consider an Asian
call option on the stock paying
max(0, S T K)
Problem Set 2
1. (To be solved in a group) This problem illustrates how to extend a static model like
CAPM to a dynamic setting, allowing us to price risky streams of cash ows.
Time is discrete, t = 0, 1, 2, . Consider a project with free cash ows Ct foll
Problem Set 3
1. (To be solved in a group) Consider the Black-Scholes model for stock returns, with
constant interest rate r and constant drift and diusion of stock returns, and .
Your objective is to price and replicate an exotic European option with the
Problem Set 6
1. (To be solved in a group) Suppose we observe returns of N trading strategies over the
same time period, xn , n = 1, ., N , t = 1, ., T . We want to develop a test of the null
t
hypothesis that all n strategies produce the same average ret
Name _
Section _
ACCOUNTING
SUMMER 2004
FINAL EXAM
Exam Guidelines:
- You have 120 minutes to complete the exam. Please use your time efficiently.
- This exam contains 11 pages. Please make sure your copy is not missing pages.
- If necessary, make assumpt
The Economics of the Private Equity Market
Summary: The private equity market has become an important source of funds for startup firms, private middle-market firms, firms in financial distress, and public firms
seeking buyout financing. Between 1980 and
Problem Set 1
1. (To be solved individually) Consider a one-period model of the market. Assume there
are three possible states at time t = 1: 0, 1, and 2, all equally likely. There are two
assets traded in this market: the stock and the risk-free bond. A
Name _
Section _
ACCOUNTING
SUMMER 2004
FINAL EXAM
Exam Guidelines:
- You have 120 minutes to complete the exam. Please use your time efficiently.
- This exam contains 11 pages. Please make sure your copy is not missing pages.
- If necessary, make assumpt
Problem Set 5
1. (To be solved individually)
Consider a commodity with the price process Pt following
Pt P = (Pt1 P ) + t ,
t = 1, 2, ., T,
| < 1
2
where t are IID N (0, ) shocks.
You can trade in the risk-free asset with constant interest rate rf and in
Technical Strategy Development
using Backtesting BT<Go> - A Tutorial - v1.7
This page is intentionally blank
Page 2
WHAT IS BACKTESTING? . 5
BENEFITS OF USING A TRADING STRATEGY . 5
DEVELOPING A TECHNICAL TRADING STRATEGY . 5
RUNNING BT<GO> . 6
CREATING A