Problem Solver Answers

The following lists the answers to the problem solver questions for each chapter.

Problem Solver, Chapter 3: Event Driven Analysis using the Query Wizard Market Events

Question

Create a query using the Query Wizard that shows what happens to the 30-year US Treasury Bond future contract 1 week and 2 weeks later when the close price is up extra big and the day before it made a new 52-week low.

Answer

   SHOW 
     t+1: percent_move from today to 1 week later  of US  
     t+2: percent_move from today to 2 weeks later  of US  
   WHEN 
     1 day ago 
       low of US is less than 52 week lowest of low of US  1 value ago  
     AND 
       1 value percent_move of US  is more than 
       (30 day average of 1 value percent_move of US   + 
        (3 * 30 day std_dev of 1 value percent_move of US  
        )
       )