%% see attached file for EWMA filter definition and closing price for Q csv file%%
Using the closing prices for Q for the 50 business day period from March 1, 2004, up to May 10 2004,
a. For the 40 day time period 11 < n < 50, compute the difference D[n]=y1[n] - y2[n] where y1[n] is the response of the 11 day EWMA filter with b=0.7.
b. Suppose that the stock is bought at the close on Day n when the value of D[n] rises above zero, and then the stock is sold at the close on day n when D[n] falls below zero. Determine the days when there is a buy and the days when there is a sell.
c. For each buy/sell signal found in part (b.), determine the loss or gain per share.
d. using your results in part (c.) determine the net gain or loss per share over the 40 day period.© BrainMass Inc. brainmass.com October 9, 2019, 8:29 pm ad1c9bdddf
The solution is comprised of detailed Matlab codes for the analysis of the stock closing price using the EWMA filter.