Python and Statistics for Financial Analysis, Week-4

on

 




.Week- 4

1. Covariance can be affected by the variance of individual variables, but coefficient of correlation is rescaled by variance of both variables

2. From -1 to 1, -1 means perfect negative linear relationship and 1 means perfect positive linear                relationship

3. Yes, because the p value of b_1 is smaller than 0.05

4.0.829

5. Durbin Watson test

6. False

7.formula = ‘spy~aord+cac40+nikkei+dji-daxi’

8. arod

9. During the trading period, the maximum drop from the previous peak of your portfolio value is 3%

10. Define some metric for evaluating your strategy, eg Sharpe Ratio, maximum drawdown. Then split your data into train set and test set and check if your strategy can generate positive return using both train set and test set