程序代写代做代考 Rational distributed lag model

Rational distributed lag model
Koyck distributed lag model

Sizing
1. Stronger signal bigger position…
2. Standardized or normalized signals…
Assignment
Data: Stock Price
Signal/Filter: Technical indicator

Sizing:

Rule return:

ruleRet<-function(Price, m, r){ lnP<-ln(Price) X<-diff(lnP) rho<-acf(X,plot=FALSE, cov???)$acf gamma<- acf(X,plot=FALSE)$acf d<-f(…m,r.) mu.F<-sum(d*mean(X)) var.F<-…..gamma…d^2.. }