2022年美赛C题翻译+题意理解好奇看了下今年的美赛C题，是⼀道关于在考虑交易佣⾦情况的求解⼀个交易费率的最⼤化问题
2022年美赛C题翻译+题意理解+思路
leaf的复数1、原题（Trading Strategies）
（1）Background
Market traders buy and ll volatile asts frequently, with a goal to maximize their total return. There is usually a commission for each purcha and sale. Two such asts are gold and bitcoin.
Source: London Bullion Market Association, 9/11/2021
金融时报英文版
数据源⾃纳斯达克
atmelfundamentalsSource: NASDAQ, 9/11/2021
（2）Requirement
You have been asked by a trader to develop a model that us only the past stream of daily prices to date to determine each day if the trader should buy, hold, or ll their asts in their portfolio. You will start with $1000 on 9/11/2016. You will u the five-year trading period, from
9/11/2016 to 9/10/2021. On each trading day, the trader will have a portfolio consisting of cash, gold, and bitcoin [C, G, B] in U.S. dollars, troy ounces, and bitcoins, respectively. The initial
state is [1000, 0, 0]. The commission for each transaction (purcha or sale) costs α% of the
αgoldαbitcoin
amount traded. Assume = 1% and = 2%. There is no cost to hold an ast.
Note that bitcoin can be traded every day, but gold is only traded on days the market is open, as
reflected in the pricing data files LBMA-GOLD.csv and BCHAIN-MKPRU.csv. Your model
should account for this trading schedule.
To develop your model, you may only u the data in the two spreadsheets provided:
LBMA-GOLD.csv and BCHAIN-MKPRU.csv.
Develop a model that gives the best daily trading strategy bad only on price data up
扇贝to that day. How much is the initial $1000 investment worth on 9/10/2021 using your
model and strategy?
Prent evidence that your model provides the best strategy.
Determine how nsitive the strategy is to transaction costs. How do transaction costs affect the strategy and results?
Communicate your strategy, model, and results to the trader in a memorandum of at most two pages.
Your PDF solution of no more than 25 total pages should include:
One-page Summary Sheet.
Table of Contents.
Your complete solution.
One- to two-page Memorandum.
Reference List.
Note: The MCM has a 25-page limit. All aspects of your submission count toward the 25-page
limit (Summary Sheet, Table of Contents, Reference List, and any Appendices). You must cite
the sources for your ideas, images, and any other materials ud in your report.
（3）Attachments
THE TWO DATA FILES PROVIDED CONTAIN THE ONLY DATA YOU SHOULD USE
FOR THIS PROBLEM.
balls是什么意思1. LBMA-GOLD.csv
2. BCHAIN-MKPRU.csv
（4）Data Descriptions
1. LBMA-GOLD.csv
Date: The date in mm-dd-yyyy (month-day-year) format.
USD (PM): The closing price of a troy ounce of gold in U.S. dollars on the indicated
poonadish
date.
2. BCHAIN-MKPRU.csv
Date: The date in mm-dd-yyyy (month-day-year) format.
Value: The price in U.S. dollars of a single bitcoin on the indicated date.
2、翻译(交易策略)&题意理解
（1）问题背景
市场交易中投资价格波动的资产的⽬的是实现回报的最⼤化，买卖过程中会产⽣交易佣⾦，以上两种资产分别为黄⾦和⽐特币：
图见上⽂（2016~2021 5年期间两种投资标的⽇价格）
（2）要求
开发⼀个交易模型，模型仅能够使⽤迄今为⽌的每⽇价格来确定当天是否应该买⼊ 平仓 或者清仓该类资产；给到的交易场景：
交易时间：2016年9⽉11⽇~2021年9⽉10⽇；
交易最⼤持仓：1000美⾦
交易费率：黄⾦为1% ⽐特币为2%
可以只有的资产种类： 现⾦ 黄⾦ ⽐特币 [C,G,B]，初始状态为[1000,0,0]
投资资产的交易特性：黄⾦：仅交易⽇交易（节假⽇不能亏），⽐特币：每⽇交易（每天都能亏）；
模型使⽤数据：只能⽤出题⽅给的数据；
要解决的问题&要求
开发⼀个交易模型，制定⼀个最有的交易策略，该策略在2021年9⽉10⽉资产价值是多少？
证明模型策略最佳；
探究策略的的敏感度，说明交易成本对策略与最终结果的影响
把策略、模型结果汇总为不超过2页的备忘录lockdownd
常规的写作要求
页数不超过25
⼀页摘要
⽬录
完整的解决⽅案
备忘录
参考⽂献列表
（3）附件
黄⾦与⽐特币近5年（2016~2021）数据
1. LBMA-GOLD.csv
2. BCHAIN-MKPRU.csv
物理化学学报（4）数据说明
1. LBMA-GOLD.csv
Date：mm-dd-yyyy（⽉-⽇-年）格式的⽇期。
USD (PM)：⼀⾦衡盎司黄⾦在指定⽇期的美元收盘价。
2. BCHAIN-MKPRU.csv - Date：mm-dd-yyyy（⽉-⽇-年）
格式的⽇期。
Value：指定⽇期单个⽐特币的美元价格。
