FE570 Homework Assignment #3
Due Date: In class on April 23 (Tuesday).
Data Files: Datasets are available from the course website onMoodle.
Problem 1 Consider the daily stock close price for Back of America(BAC) from August 21, 2009 to August 20, 2010 in the filesp500hst.txt.
(1) Build a momentum trading strategy based on the Moving AverageConvergence/Divergence (MACD) method. Note that you need to use thefast EMA (12 days) and the slow EMA (26 days) for thisassignment.
(2) Build a momentum trading strategy based on the RelativeStrength Index (RSI) method. Note that you need to use N=14 daysfor this assignment, and use overbought and oversold marketparameter
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