Author: Runar Oesthaug Date: 16/02/2020
This repository contains the notebook for exploring the 100 day simple moving average, the 100 day exponential moving average, as well as the moving average convergence divergence on a variety of assets and time frames.
First import apple stock data and plot two strategies for each of the three moving averages. Afterwards we generalize the code and run a variety of backtests displaying summary statistics for each strategy.
edit 07/03/2020: the edhec_risk_kit is a module with functions used to calculate a summary table of various measures such as annualized return, VaR, CVaR, etc. I haven't included it here because I didn't write it myself.