Problem 45890. Algorithmic Trading - 4 (two thresholds)

This is the fourth of a series of problems on quant trading. It builds on earlier problems 45776, 45860, and 45884
Similar to problem 45884, with an additional degree of freedom in the fractional trading strategy
  • Use two thresholds to define 3 possible states of the trading signal, and establish a different level of exposure (between -2 and +3) to the traded security for each state
You are given
  • P, a n x 1 vector of daily prices of the traded security, at market open (always positive)
  • S, a n x 1 vector of trading signals, calculated just ahead of market open (can take any real value)
  • These will serve both as training and test set
Your function should return
  • T, a 2 x 1 vector, with T(1) <= T(2), which determines the state of signal S
  • E, a 3 x 1 vector of security exposures in each state, i.e., invest a fraction E(k) of the available equity when S(i) < T(k), for k = 1 + (S(i)<=T(1)) + (S(i)<=T(2)), with -2 <= E(k) <= 3, for any k

Solution Stats

50.0% Correct | 50.0% Incorrect
Last Solution submitted on Nov 06, 2020

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