1. I have created a python program in Colab that simulates betting on a coin fli
1. I have created a python program in Colab that simulates betting on a coin flip. https://colab.research.google.com/drive/1WkiDjaLvp…
We start with $25. We have a tip that the coin is unbalanced and lands on heads 60% of the time. This program uses the Kelly criterion to determine how much to bet on heads and tails for each bet. The program runs a sequence of 100 bets and determines the final bankroll. This is then repeated 100 times and the final results are summarized. A. You are to use this file to estimate what is the probability of losing money (finishing with less than $25 as a function of the number of bets. (10, 20, 40, 80, 100). Always repeat the run 100 times. B. Same as above but change the probability of heads to 75%
2. I have created a python program in colab that will load the statistics for an arbitrary stock and apply a trading strategy. https://colab.research.google.com/drive/18hjLCRlCc…
The strategy is to compute the Kelly fraction for the stock and then use it when buying and selling. The program uses momentum to decide to trade.
If the stock went up yesterday …it is on a roll. Buy.
If the stock went down yesterday … get out while you can. Sell. I gave an example in class of how Apple stock performed in 2022 and 2023.
Your goal is to find a stock in the S&P 500 that will do the best compared to a buy and hold strategy in each year. I have an idea of what stock is the best for each year, but I don’t know which is the best. That is your job. For 2022 and 2023 report the best stock, the value of buy and hold and the value of the trading bankroll.
Leave a Reply