Algorithmic Trading with MATLAB - 2009 update

M-file scripts and Simulink models from webinar on 28 May 2009

Description

These are the files and some of the data that I used in my recent webinar on Algorithmic Trading. Data has been shortened for size reasons. Included are:
MARISA
Nearest Neighbour model
Trailing stop-loss code
an illustration of Takens Theorem

Also included are Simulink models showing:
Moving Average crossover model
Simple tracking of the FTSE 100 - intro to basket trading
A bollinger band model using Stateflow
A simple market making system based on a paper by Sanmay Das

• Required Products: Financial Toolbox; DSP System Toolbox; Simulink; Stateflow
• MATLAB release: MATLAB 7.8 (R2009a)

[Rob]

Please post the Webinar video. Your last one was great.

[Aly Kassam]

hi Rob

the webinar is available here:

http://www.mathworks.co.uk/company/events/webinars/wbnr34139.html?id=34139&p1=523845973&p2=523845982

I hope you enjoy it, and thanks for the comments.

aly

[Daronne Bonneau]

Hi Aly,

Can Matlab connect to TTAPI (trading technologies) ?

Thanks

[Nick]

does itwork properly and what's the return you make with this?

[Ted Teng]

 

[fan]

thanks aly, your are really kind and selflessness to share all this to us. i wonder if you could tell us your new contact way/

my email is [e-mail]

[Roji]

Dear Aly,

Thanks for this great work. Though, my fault, running callnnpiter with GBPdata1sShort, results are different as in the webinar. The PnL graph shows different (cummulative losses instead of continuous profits). Does someone know why?

[Roji]

 

[Roji]

Now I see... it does not use transaction costs: we sholud use:

pnl = ([0;x(2:end).*sig2(1:end-1)]);

instead of:

pnl = ([0;x(2:end).*sig2(1:end-1)-abs(diff(sig2))*0.000028]);

Wasn't it?

Thanks a lot

[Ankur Dani]

In strategyAnalysis.m , what does its parameters (t,p,pos,th,data(:,4)) stand for? Its giving me errors for undefined parameters?
Is there any other way to run this code as the above variables does nt seem to be present in the variable window.
Can these parameters be externally set n how do we set them ?

[Niall]

 

[Deniz Graf]

 

[Deniz Graf]

sorry .. was just reading the comments and came to the stars, then it made a submission .. of course 5 stars, great work and sorry

[Deniz Graf]

i'm playin around with the nnpiter function .. can anybody explain why the results vary from run to run (number of trades) and why i get completly different results if i change the parfor loop into a for loop?

[Adam]

I tried the 'callnnpiter' with parfor ...loop and for ... loop, and got quite different results. I then checked the nnpiter.m. and found it rely on the order of the loop (So parfor cannot be used). Is this a bug?

[Qipeng]

I recently came across your webinar on Algorithmic Trading in 2009 and it is a great one. However for the " simple market making system based on a paper by Sanmay Das" part, I am wondering which paper you are refering to and it seems that this system is not about market making but a directional bet system. Finally, would you please provide more resource on the code "callnnpiter" such as relevant papers? I really appreciate it and thank you in advance!