Into to Auto Trading Systems Lecture Notes c Yuewu Xu
Homework #3 Into to Auto Trading Systems Due date: October 1, 2020 (in class)
[email to dedicated address: autotrading50@gmail.com]
Important Note: All home works should be handed in hard copies. No late homework will be accepted. Answers should contain both the Matlab program, PLUS screen snap shorts to demonstrate correct running of the program.
Problem 1 (Information Input). Pick a futures contract (say, ES) on CME (these are the contracts that we have access to historical data via API. [Currently we can not do this for stock using our Fordham paper trading account due to IB restrictions.] Write a matlab code that can download 1 miniute bar (open/close/high/low) historical data using IB-Matlab for the past two days. (You may need to combine more downloads due to IB restrictions of 2000 bar each time).
Problem 2 (Information Processing ñtrading signal). Use the data downloaded in Problem 1 to do the following: Write a function that can generate the buy and sell signals based on the up-crossing and down-crossing based on the two moving averages MA(m) and MA(n) (m < n): Test run your function using the data in Problem 1. Note: you can choose m and n values, sam m = 3 and n = 10). Bonus: can you graph your proÖt and loss for trades made using the above strategy?
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Reading Assignment (Important!)
Problem3. ReadtheIB-MatlabGUIDE(chapter5and6),andtrythecommands. Note:ifthecommand does not work for stock/ETF due to IB restrictions, modify to using futures contracts.
School of Business, Fordham University - Spring 2018