Technical Analysis/Backesting through Metastock
The task given was the following:
1. 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.
2.Your Technical Expert (i.e. the Professor) will send you details of backtests of three
technical trading rules on this instrument, but no other information. Backtesting for 1274 and 604 days for each of the trading rule.
3. Based on these results, have chosen Stochastic technical trading rule to manage the
fund position in the equity over the next two years.
4. What ask to be done is the following, –
– A summary of the process and findings from your back-tests(create summary table of the most important factors from backtests, not all, but main ones:
Profit
Performance
Annualized Perfomance
Total Trade
Trade Efficiency
Average Proft/Average loss
Reward/Risk Index
Overdrafts
And more if you find other factors important
– Clear explanation of the meaning and optimum values of the parameters
-Clear rationale for the choice of choosing Stochastic the rule to be used in trading, rather than Moving Average and RSI. Compare backtests, and show why Stochastic trading rule is best based on backtests. The backtests you can find in GBUS.zip.
