Research question
I am a Computer Engineering student. In my free time I started reading about quantitative finance, which is the idea of using math and code to look at market data instead of guessing from headlines. Sites like Quantpedia collect many of these rules in one place (Quantpedia, n.d.). I wanted to understand, at a beginner level, how a program actually turns a list of prices into a decision.
The question I am working with is: if I only use public daily prices, can a few old formulas — a simple moving average and the Relative Strength Index — produce a rule I can code, check, and explain? I am not trying to invent a hedge-fund strategy. I am trying to walk through the same building blocks that show up in textbooks and in catalogs of published rules (Brock, Lakonishok, and LeBaron, 1992; Faber, 2007).
The work is split the way a small study is usually split. Foundations is the math. Architecture is the software. Findings is what happened when I ran a long/cash moving-average rule on an illustrative price path. All of the charts on this site are built from that same generated series so the pictures match the formulas.
