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Developing Your Trading Strategy

Strategic Management Assessment Report core competencies, generic strategies, mergers and acquisitions, alliances, CSR, blue ocean strategy
Strategic Management Assessment Report core competencies, generic strategies, mergers and acquisitions, alliances, CSR, blue ocean strategy

Trading Project for the Chevron corporation (CVX)
Data Required
For your approved stock, download the price data from Yahoo from January 1st, 2012 to December 31st, 2018. You should partition your data in the following manner:
Calibration Period: The data from January 1st, 2013 to December 31st, 2017 is used to develop the trading strategy and calibrate measures
Evaluation Period: The data from January 1st, 2018 to December 31st, 2018 is the period you use to evaluate the effectiveness of the model outside the sample period.
You will need the open, high, low and closing prices and volume for each trading day. You will not need the Adjusted closing prices, but you will have to download any ex dividend dates, dividends paid (if you stock pays a dividend) and any dates and characteristics of share splits.
The project will require a written submission describing the development of the strategy and its evaluation and attach an Excel workbook demonstrating your work. In addition, you will need to provide an oral presentation. All materials must be submitted electronically via Blackboard.
At a minimum, your analysis must include the following measures
Behavioral
You must evaluate support and resistance (e.g., horizontal channels), channels (e.g., linear high and low boundaries) and Fibonacci price and time predictions.
Momentum
EMA (Best Length) versus Close; EMA Crosses (Optimal Lengths)
Oscillator
Relative Stength (Optimal Upper and Lower Bounds). Moving Average Convergence-Divergence (Optimal Lengths), Generalized Stochastic (Optimal Lengths, Bounds) and Chaikin (Optimal Length)
Adaptive
Parabolic Stop and Reverse (Optimal minimum, maximum and step size) and Kaufman Adaptive Moving Average Crosses (Optimal Lengths_
You may elect to use other measures, but you must discuss why the measure was selected and what it provides in addition to the required measures above.
Numerical Conclusions
At a minimum, you must include the following evaluation of your selected strategy
1. The total gain from the passive strategy within the calibration period and extension to the evaluation period
2. The potential maximum total gain from a trading strategy within the calibration period and extension to the evaluation period
3. The total gain from your optimal trading strategy within the calibration period and extension to the evaluation period
4. The percentage of good trades, bad trades and zero trades from your optimal trading strategy within the calibration period and extension to the evaluation period
5. The average gain, standard deviation of the gain, skew of the gain and kurtosis of the gain from your optimal trading strategy within the calibration period and extension to the evaluation period
Remember that your selected strategy may be a combination of various measures!
Discussion
At a minimum, you must discuss the following:
1. Your process of developing your trading strategy and why you believe this strategy is the best
2. An assessment of the risk of employing the trading strategy
3. A recommendation as to whether the trading strategy should be used on the stock in question.
Note
These are minimum requirements and simply satisfying these will not mean you receive more than a passing grade.

Developing Your Trading Strategy

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