代写CORPFIN 7055 – Fintech and Disruption in Financial Services Semester 1, 2024代写留学生Matlab语言

CORPFIN 7055 - Fintech and Disruption in Financial Services (M)

Trading Strategy in Crypto

Individual Assignment for Semester 1, 2024

Due Date: 11pm, Sunday April 7th  (end of week 6)

Instructions:

1.   You are to write a report on the profitability of trading strategy using crypto.

2.   The maximum possible mark is 25%. It will be based on the report that you wrote along with the Excel file where you conduct the technical analyses.

3.   The report uses font type: Times New Roman (12pt & 1.5 spacing) and must not exceed five pages (excluding title page, references and appendix).

4.   Any relevant appendices can be attached at the back of the report.

5.   Reference list is to be placed after the report and before the appendix.

6.   The report and excel file should be submitted electronically via the Turnitin on MyUni before the due date.

The main objective of this assignment is to compare the profitability of a trading strategy using a crypto currency with the buy-and-hold strategy using the stock market index. For the stock market, you are going to use the S&P500 SPDR ETF (ticker: SPY). You are free to choose any single crypto currency. The sample period in consideration is from January 1, 2023 to December 31, 2023.

You can download the historical SPY daily close data from your standard sources (Yahoo! Finance,

Refinitiv Workspace, Datastream, etc.). Daily 90-day US Treasury bill can be collected from https://fred.stlouisfed.org/series/DTB3. Historical crypto daily close price is to be downloaded from the following website: https://www.cryptodatadownload.com/data/. Being part of the

Asia Pacific region, we will use Binance as the exchange of interest. You will find various cryptos pegged to various currencies. We want to focus on cryptos pegged to the stablecoin

Tether (USDT), e.g., BTC/USDT. You are free to choose any one crypto for this assignment.

For this assignment, you are going to apply a trading strategy based on ONE of the following technical analyses; the Moving average convergence divergence, Bollinger band, or the Relative strength index. We assume there are no transaction costs involved. Your tasks are listed below.

Task 1:  To assess the performance of stock market buy-and-hold strategy, we want to open a position at the beginning of the period and close it at the end of the period.  Compute the cumulative return for the period, the standard deviation for the period, and the Sharpe ratio of this strategy. To do this, make sure you convert the daily standard deviation into standard deviation for the period by multiplying daily stdev by √n , where is the number of days in the period. Report them as Table 1.

Task 2:  For the crypto trading, explain your motivation for selecting a particular crypto and the trading strategy you employ (MACD, Bollinger Band, or RSI). Provide discussion of your trading strategy (e.g., when did you start the strategy? how often do you open and close positions? etc.)

Task 3: To assess the performance of crypto trading, compute the cumulative return over the trading period, standard deviation over the trading period, and the Sharpe ratio. Report them as Table 2. Compare this performance with the stock market performance from Task 1. Which is more superior? Why?

Task 4: Plot the cumulative returns for the SPY and your crypto as Figure 1. Provide a reflection of your crypto trading strategy. What would you have done differently?

Task 5: Construct an optimal portfolio consisting of the S&P500 SPDR ETF and your crypto of choice using the Excel Solver functionality. You can only place a maximum of 5% of your total investment on your crypto. Given this condition, what would be the weight of each asset in your optimal portfolio and what is its Sharpe ratio. Report these results as Table 3. Provide a discussion whether you recommend such asset allocation.

After completing the above tasks, you should have three tables and one figure in total. Make a written report of your findings addressing the above tasks, one page for each task. This report is to be written professionally, and effort should be made to explain and substantiate your findings using various references. This written report is to be submitted through Turnitin on MyUni before the due date. Your Excel file is to be submitted alongside your written report.

The marking criteria is provided on the next page. The accuracy of your analysis in the Excel spreadsheet will be considered in the marking.

Marking criteria - Individual report

Task	Mark	Description
Task 1 - Discussion	0 1 2 3 4 5	No answer is provided Wrong answer is provided Answers lacking detail (1-2 sentences) Descriptive answer (simply describing the outputs) Providing attempt to interpret the output Clear discussion and interpretation of outputs
Task 2 - Discussion	0 1 2 3 4 5	No answer is provided Wrong answer is provided Answers lacking detail (1-2 sentences) Descriptive answer (simply describing the outputs) Providing attempt to interpret the output Clear discussion and interpretation of outputs
Task 3 - Discussion	0 1 2 3 4 5	No answer is provided Wrong answer is provided Answers lacking detail (1-2 sentences) Descriptive answer (simply describing the outputs) Providing attempt to interpret the output Clear discussion and interpretation of outputs
Task 4 - Discussion	0 1 2 3 4 5	No answer is provided Wrong answer is provided Answers lacking detail (1-2 sentences) Descriptive answer (simply describing the outputs) Providing attempt to interpret the output Clear discussion and interpretation of outputs
Task 5 - Discussion	0 1 2 3 4 5	No answer is provided Wrong answer is provided Answers lacking detail (1-2 sentences) Descriptive answer (simply describing the outputs) Providing attempt to interpret the output Clear discussion and interpretation of outputs
Max	25