This is the fourth of a series of problems on quant trading. It builds on earlier problems 45776, 45860, and 45884
Goal
Similar to problem 45884, with an additional degree of freedom in the fractional trading strategy
  • Use two thresholds to define 3 possible states of the trading signal, and establish a different level of exposure (between -2 and +3) to the traded security for each state
You are given
  • P, a n x 1 vector of daily prices of the traded security, at market open (always positive)
  • S, a n x 1 vector of trading signals, calculated just ahead of market open (can take any real value)
  • These will serve both as training and test set
Your function should return
  • T, a 2 x 1 vector, with T(1) <= T(2), which determines the state of signal S
  • E, a 3 x 1 vector of security exposures in each state, i.e., invest a fraction E(k) of the available equity when S(i) < T(k), for k = 1 + (S(i)<=T(1)) + (S(i)<=T(2)), with -2 <= E(k) <= 3, for any k
Solve

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Last Solution submitted on Sep 28, 2024

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Christian Schröder 埃博拉酱

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