Then answer the questions.
a.) A summary of the process and findings from your back-tests, with a clear explanation of the meaning and optimum values of the parameters, and a clear rationale for your choice of the single rule to be used in trading.
b.) a post mortem evaluation of how the chosen rule would have performed in the prediction set (2021-22), including benchmarking against plausible alternative uses of the client's funds, and possible interventions during this period. The technical rule was selected as MACD (Moving Average Convergence Divergence)
All the findings of the rules are as follows
Scenario. It is January 1, 2021. A UK based hedge fund has asked you to find a simple technical trading rule to manage their position in one UK equity over the coming 1-2 years. The aim of the technical trading rule is to outperform a simple buy-and hold strategy. Typical clients of the fund are high net worth individuals and small investment funds. Your group will be allocated at random a security to trade - either commodity or currency ETFs, or shares that were tipped on the Motley Fool website at the end of 2020. All are listed on the London Stock Exchange. Your Technical Expert will send you details of backtests of three technical trading rules on this instrument, but no other information. The trading rules will be among those described in Appendix 1. These tests have been conducted using the Metastock System Tester package. The assumptions that are made in the backtests, and a guide to the interpretation of the Metastock output, is in Appendix 2. This tracks the UK share RIO.L, over an earlier time period. Based on the backtest results, you must choose ONE technical trading rule to manage the fund position in the equity over the next two years. The fund has now been trading with the rule since 1 January 2021. Your Technical Expert will send you a report on the performance of the rule in the period 1 January 2021 - 31 May 2022. Look at the way the rule has worked in "real time" during 2021 and 2022. Has it been successful? Realistically, could the fund have intervened to improve the performance of the rule during this neriod? The technical trading rule was selected as MACD (Moving Average Convergence Divergence) The sample report The initial starting back test result of trading rule MACD MACD testing lest MACD Training Set Now after choosing the MACD rule the commodiles are then traded for 1 year the results are as below Scenario. It is January 1, 2021. A UK based hedge fund has asked you to find a simple technical trading rule to manage their position in one UK equity over the coming 1-2 years. The aim of the technical trading rule is to outperform a simple buy-and hold strategy. Typical clients of the fund are high net worth individuals and small investment funds. Your group will be allocated at random a security to trade - either commodity or currency ETFs, or shares that were tipped on the Motley Fool website at the end of 2020. All are listed on the London Stock Exchange. Your Technical Expert will send you details of backtests of three technical trading rules on this instrument, but no other information. The trading rules will be among those described in Appendix 1. These tests have been conducted using the Metastock System Tester package. The assumptions that are made in the backtests, and a guide to the interpretation of the Metastock output, is in Appendix 2. This tracks the UK share RIO.L, over an earlier time period. Based on the backtest results, you must choose ONE technical trading rule to manage the fund position in the equity over the next two years. The fund has now been trading with the rule since 1 January 2021. Your Technical Expert will send you a report on the performance of the rule in the period 1 January 2021 - 31 May 2022. Look at the way the rule has worked in "real time" during 2021 and 2022. Has it been successful? Realistically, could the fund have intervened to improve the performance of the rule during this neriod? The technical trading rule was selected as MACD (Moving Average Convergence Divergence) The sample report The initial starting back test result of trading rule MACD MACD testing lest MACD Training Set Now after choosing the MACD rule the commodiles are then traded for 1 year the results are as below
