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BAFI3252 Modelling in Finance

Question

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Task

In this assignment you are asked to evaluate the strategy of buying on a cross up and selling on a cross down. You are given daily price information where you will calculate returns, moving averages and identify buy and sell signals. The analysis will be based on the given historical price information. You can use Excel formulas and create additional variables in the spreadsheet to assist you in completing the tasks. There are four worksheets in the file assignment2.xlsm. The main worksheet is where you interact with the users (for inputs and outputs). The data worksheet has daily stock price information required for the analysis. The two ‘free’ worksheets are provided if you want to use them to save the results. Do not add anymore worksheets in the file. 

Part A – Required features

1. Write a VBA subroutine to calculate daily stock returns (use simple returns)
2. Write a VBA subroutine to calculate 50 and 200-day simple moving averages 
3. Write a VBA subroutine(s) to identify the buy and sell signals based on the conditions for buy and sell signals discussed in the background information. At each buy and sell signals, calculate cumulative returns (sum of returns) of subsequent 5, 15 and 25 days. For example, the 5-day window is from the first day after a signal (not including) to the fifth day. 
4. Write a VBA subroutine to produce summary statistics as described in Table 2 and comment on the findings (write detail comments in the textbox). 

BAFI3252 Modelling in Finance

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Tellus molestie nunc non blandit massa enim nec dui. Tellus molestie nunc non blandit massa enim nec dui. Ac tortor vitae purus faucibus ornare suspendisse sed nisi. Pharetra et ultrices neque ornare aenean euismod. Pretium viverra suspendisse potenti nullam ac tortor vitae. Morbi quis commodo odio aenean sed. At consectetur lorem donec massa sapien faucibus et. Nisi quis eleifend quam adipiscing vitae proin sagittis nisl rhoncus. Duis at tellus at urna condimentum mattis pellentesque. Vivamus at augue eget arcu dictum varius duis at. Justo donec enim diam vulputate ut. Blandit libero volutpat sed cras ornare arcu. Ac felis donec et odio pellentesque diam volutpat commodo. Convallis a cras semper auctor neque. Tempus iaculis urna id volutpat lacus. Tortor consequat id porta nibh.

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