FINS5542 Assignment 1
Date Due: 11pm Friday 26 June, with electronic submission (pdf file)
via the course website
1. Find a time period (approximately 9 to 12 months and avoiding
stock split events) for one of our assets (see over page) in which the
technical indicator of when a 20 day moving average crosses a 70 day
moving average was a strong indicator of the future movement in the
asset price. You should aim for 4 to 5 strong correct signals and
incorrect signals can weaken your answer, especially if they are of
substantial magnitude. You should evaluate the signal 5 trading days
after the signal occurs.
Display a graph to demonstrate your findings, in addition to de-
scribing your findings. One should also print out the Ox computer
code used to solve this problem.
[10 marks]
2. Find a time period (approximately 18 to 24 months and avoiding
stock split events) for one of our assets (see over page) in which the
technical indicator of when a 40 day moving average crosses a 240
day moving average was a strong indicator of the future movement
in the asset price. You should aim for 2 to 3 strong correct signals
and incorrect signals can weaken your answer, especially if they are
of substantial magnitude. You should evaluate the signal 10 trading
days after the signal occurs.
Display a graph to demonstrate your findings, in addition to de-
scribing your findings. One should also print out the Ox computer
code used to solve this problem.
[10 marks]
1
Variable Name
aan1 CISCO SYSTEMS INC
aan2 MICROSOFT CORP
aan3 INTEL CORP
aan4 TEXAS INSTRUMENTS INC
aan5 SPRINT CORP
aan6 AMGEN INC
aan7 INTERPUBLIC GROUP COS INC
aan8 MELLON BANK CORP
aan9 WARNER LAMBERT CO
aan10 BRISTOL MYERS SQUIBB CO
aan11 ENRON CORP
aan12 GENERAL ELECTRIC CO
aan13 TIME WARNER INC
aan14 EXXON CORP
aan15 DELL COMPUTER CORP
aan16 AMERICAN EXPRESS CO
aan17 SUN MICROSYSTEMS INC
aan18 CORNING INC
aan19 FORD MOTOR CO DEL
2