Consider an investment strategy that buys S&P 500 futures when a price moving average with a short lookback exceeds a price moving average with a longer lookback.
Consider an investment strategy that buys S&P 500 futures when a price moving average with a short lookback exceeds a price moving average with a longer lookback. a Generate 1,000 times series of strategy returns by applying different combinations of i Short lookback ii Long lookback iii Stop-loss iv Profit taking v Maximum holding period … Read more