You are given 5 securities, Apple, Microsoft, Netflix, IBM, and Google, with Each of the Daily Price: Algorithmic Trading Assignment, UOE, Singapore

Assignment Brief:

You are given 5 securities, Apple, Microsoft, Netflix, IBM, and Google, with each of the daily price series given in an accompanying Excel spreadsheet. Each has daily prices at open and close as well as daily high and low prices.

Using the Simple Moving Average algorithm (you can use a simple 2 moving averages, one short 40 days and one long 100 days, crossover), you should evaluate the indicators for each price series as well as the trading signal when the short cross over the long. You do not have to use a signal line but can do so if you wish. Recall that the signal line is not a technical indicator by itself but can serve to reinforce the oscillator trigger of a normal MA series.

Starting with an initial investment of $100,000 evaluate the following assigned tasks.

1. Relying on these Simple Moving Average Crossovers, perform your trading strategy on each of the 5 securities. That is, perform 5 separate trading strategies one for each security using the same algorithm, i.e. use the same periods (40 days and 100 days) for all 5 securities. You will need to rank each security with the best performance in terms of the ending portfolio value for the period 2008 to 2018.
2. Your second assignment will only concern Apple stock. Instead of the 40 days and 100 days period used above, can you recommend the best selection of the periods to be used? In other words, which short period and long period selection would generate the best profit. Naturally, there are many possibilities and you do not need to exhaustively test all of them. Just give a short and long period selection that would outperform the 40/100-day initial default choice. State your profit on $100,000 using your recommended short/long period choice compared to the 40/100 days.

You are given an excel file with the daily prices of the 5 stocks. Only use the daily close prices to evaluate your algo.