Consider the closing prices of QQQQ for the 50-business-day
period from March 1, 2004, up to May...

Question

Consider the closing prices of QQQQ for the 50-business-day
period from March 1, 2004, up to May 10, 2004. 

is the response of the 11-day EWMA filter
with In the literature on trading, D[n] is sometimes referred to as the “MACD
signal.” (See Section 7.5.) 

(b) Suppose that the stock is bought at the close on Day n
when the value of D[n] rises above zero, and then the stock is sold at the
close on Day n when D[n] falls below zero. Determine the days when there is a
buy and the days when there is a sell. 

(c) For each buy/sell signal found in part (b), determine
the loss or gain per share. (d) Using your result in part (c), determine the
net gain or loss per share over the 40-day period.

Baljit · Accepted Answer

a. Plot D(n) using matlab:
Matlab code:
c=csvread('QQQQ.csv',1,4,[1 4 50 4]);
b1=0.3;
a1=(1-b1)/(1-b1^11);
b2=0.7;
a2=(1-b2)/(1-b2^11);
i=1:11;
w1=a1*(b1.^(11-i));
w2=a2*(b2.^(11-i));
for n=11:50;
y1(n)=w1*c(n-10:n);
y2(n)=w2*c(n-10:n);
d(n)=y2(n)-y1(n);
end
n=11:50;
plot(n,d(n),n,d(n),'o')
grid
xlabel('Day(n)')
ylabel('D[n]')
Plot:- Plot D(n) vs Number of days
	
Importing the data value of data vs corresponding day
	Day
	D(n)
	Buy/Sell
	C(n)
	Loss/ Gain %
	Profit or loss
	Day 1 
	-0.584
	Sell
	36.94
	-1.58095
	Loss
	Day 2
	-0.54245
	Sell
	37.21
	-1.4578
	Loss
	Day 3
	-0.29662
	Sell
	36.92
	-0.8034
	Loss
	Day 4
	0.190177
	Buy
	35.99
	0.528415
	Profit
	Day 5
	0.376049
	Buy
	35.68
	1.053949
	Profit
	Day 6
	0.003584
	Buy
	36.53
	0.009811
	Profit
	Day 7
	0.104281
	Buy
	36.09
	0.

Consider the closing prices of QQQQ for the 50-business-day period from March 1, 2004, up to May 10, 2004. is the response of the 11-day EWMA filter with In the literature on trading, D[n] is...

Solution

Answer To This Question Is Available To Download

Related Questions & Answers

Submit New Assignment