Alternative Investments - Adv Portfolio Management
Case
simple moving averages: buy or sell the stock with the indicator
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Course
Alternative Investments - Adv Portfolio Management
Institution
Universidad Carlos III De Madrid (UC3M)
1 page document describing a 2 moving averages, one calculated with 10 days of data, the other with 45 days of data. It indicates how many signals of whether to buy or to sell.
Alternative Investments - Adv Portfolio Management
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Course: Advanced Portfolio Management
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Solution Case Study – SMAs
1. How many trading signals do you get by applying a Two SMA system to the provided data?
There are 13 signals generated by this double SMA strategy.
2. How many are “buying” signals? And how many “selling” signals?
As seen in the graph, there are 7 buy signals (shown as “B”) and 6 sell signals (shown as “S”). The
signal will be B as long as the 10-day SMA is above the 45-day SMA. The signal will be S as long as the
10-day SMA is below the 45-day SMA
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