Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
18 shown
M04 Systematic trading research and swing trading 18
- P1 The golden cross as a return filter ★ Check
- P2 EMA and MACD weights ★★ Check
- P3 Sign rules under Gaussianity ★★
- P4 RSI by hand ★ Check
- P5 Overlapping returns ★★ Check
- P6 Lo–MacKinlay with two stocks ★★ Check
- P7 Momentum's beta after a bear market ★★ Check
- P8 Breakeven win rate with Indian costs and gaps ★ Check
- P9 PSR and minimum track record ★★ Check
- P10 Survivorship ★ Check
- P11 Cost drag and rebalancing frequency ★★ Check
- P12 Annualising with autocorrelation ★★ Check
- P13 Exact expected maxima ★★★ Check
- P14 Deflating a backtest ★★ Check
- P15 Indian momentum: a replication plan ★★
- P16 Case analysis: pre-registering a data-snooping test ★★
- P17 Multiple testing by hand ★★ Check
- P18 More on Benjamini–Hochberg ★★★