Developing an automated trading strategy in MS Excel
The aim of this assignment is to construct a trading strategy using the international stock market indices data (from the database provided in the class).
The strategy will be based on the returns transmission effects across stock and other asset markets in different geographical zones worldwide. In particular, it will focus on the �meteor showers� effects of Engle, Ito and Lin.
We will estimate the parameters of the econometric model using MSExcel OLS techniques for the Swiss Stock Exchange and the Dow Jones Industrial Average.
Those results will serve as the base for the construction of a trading strategy and generation of signals for hypothetical trading transactions.
1- Discuss the econometric model, which you have chosen (we choose SHANGHAI Stock Market) to use for your trading strategy, and the relationships between various stock market indices, which it explains.
2- Calculate overall return from your strategy for the entire period of the experiment (in sample)
3- Comment on the obtained results: assess the profitability of the strategy, the stability of the returns etc.
3- Comment on the obtained results: assess the profitability of the strategy, the stability of the returns etc.
