代写FRE-GY 6921 ALTERNATIVE INVESTMENTS SPRING 2025 Homework 2代做Python语言

ALTERNATIVE INVESTMENTS

 FRE-GY 6921

SPRING 2025

Homework 2

Due by Sunday February 16^th

TRADING STRATEGIES

Consider the daily opening and closing prices of SPY (S&P 500) starting January 2^nd, 2022until September 20^th,  2024. You can download the prices from Yahoo Finance.

You have $100,000 capital to start with. For each trade the size of your trade in absolute terms should be as close but not more than the available capital at the time of the trade

1.  Mean Reversion Strategy

 Consider the following strategy

If S_i-2 > S_i-1 > S_i buy SPY at the open on day i+1 and sell it at the closing price of that day.

If S_i-2 < S_i-1 < S_i  sell short SPY at the open on day i+1 and buy it back at the closing price of that day.

Do nothing otherwise

For this strategy:

a) Plot daily Profit & Loss (P&L)

b) Plot cumulative P&L

c) What is maximum daily draw down

d) For days that you have traded, what is the mean and standard deviation of your return (annualized)

2.  Momentum Strategy (Trend following)

 Consider the following strategy

If S_i-2 > S_i-1 > S_i  sell short SPY at the open on day i+1 and buy it back at the closing price of that day.

If S_i-2 < S_i-1 < S_i  buy SPY at the open on day i+1 and sell it at the closing price of that day.

Do nothing otherwise

For this strategy

a) Plot daily Profit & Loss (P&L)

b) Plot cumulative P&L

c) What is maximum daily draw down

d) For days that you have traded  what is the mean and standard deviation of your return (annualized)

3- Do the above for Nvidia   (NVDA)