8.3 End of chapter exerecise
- Evaluate the following RSI-based trading rule that
- Buy 1000 units under buy signal
- Sell all units under sell signal
where - Buy signal arises if RSI < 30 - Sell signal arises if RSI > 70
Redo the above using blotter package.
Evaluate the buy hold strategy that split inital equity equally between two stocks.
Evaluate trading rule without short-sell.
Evaluate trading rule with short-sell constraint. You may include short interest, borrowing constriant, and margin call.
Evaluate trading rule taking transaction costs into account (e.g., brokerage fee, stamp duty). You may consider deduct one percent of transaction from the proceeds.