Algorithmic Trading with MATLAB - 2010

Files from the November 18, 2010 webinar.

Description

Files used in the webinar - Algorithmic Trading with MATLAB Products for Financial Applications broadcast on November 18, 2010. This webinar can be viewed at http://www.mathworks.com/wbnr52491.

The download includes an additional demo, not shown in the webinar, that shows how to generate C-code from MATLAB.

• Required Products: Financial Toolbox; Global Optimization Toolbox; Optimization Toolbox; Statistics Toolbox
• MATLAB release: MATLAB 7.11 (2010b)
• Other requirements: To run AlgoTradingDemo5.m you will also need a compatible compiler and Real-Time Workshop

[Fabrice]

Really Amazing !!

[Artik Crazy]

Great Webinar and usefull code.
Only how can I get the PP slides that were used in the webinar?

[zhang]

 

[Jorge]

I am having difficulty trying to load my own high frequency data in line 181 of AlgoTradingDemo1.m. I get the following error message:
??? Error using ==> movavg at 41
Lead and lag arguments must be positive <= 23.
I believe the error stems from line 39 of movavg.m:
r = length(asset);
somehow, input 'asset' is being passed as zero to function movavg. I notice that when bund1min.mat is loaded using the load function, it automatically generates a variable 'data'. When I load my own .mat file, it does not generate a 'data' variable. Could this be the problem?

[imad kachacha]

 

[Justinas Barauskas]

Hi is just wanted a sharpe question :)

%%
% Develop a trading signal and performance measures. We'll assume 250
% trading days per year.
s = zeros(size(BundClose));
s(lead>lag) = 1; % Buy (long)
s(lead<lag) = -1; % Sell (short)
r = [0; s(1:end-1).*diff(BundClose)]; % Return
sh = sqrt(250)*sharpe(r,0); % Annual Sharpe Ratio

Hi Stuart,

if I am to use minute data(NOT DAILY as used in the example) does that mean i have to adjust the sharpe annual scaling as well?

i.e. sqrt(250*60*11)

[Trader]

I was wondering the same thing, could someone please explain why he is multiplying by 60 and 11?

[Paul Wesson]

60 minutes in 1 hour.
11 trading hours of 1-minute data in a day.

[Paul Wesson]

http://quant.stackexchange.com/questions/2260/how-to-annualize-sharpe-ratio/2271#2271

[Ivan]

I have some problems with tradeSignal.m function

It seems to be a mistake there: le assume we have
 
pop = [ 1 0 0 1 0 0 0 0 1 1]
,which means not to use indicator1, and return True if indicator2 == 1 and indicator3 == 0

signals = [ 0 1 0], which must satisfy the conditions of pop.

Now, I run tradeSignal(pop, signals) and get 0.

So there is a mistake. I'm thinking of line 50 and 57. But first we should declare
line 46: filteredSignals = ind(:,ind2use);

line 51: A = eval(['(filteredSignals(:,1) == pop(r,',idxstr,'));']);
line 57: B = eval(['(filteredSignals(:,',num2str(i+1),') == pop(r,',idxstr,'));']);

Now, test of corrected function

signals =
[0 0 0;
0 0 1;
0 1 0;
0 1 1;
1 0 0;
1 0 1;
1 1 0;
1 1 1];
s = tradeSignal(pop, signals)
s =

     0
     0
     1
     0
     0
     0
     1
     0