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Highlights from
Algorithmic Trading with MATLAB - 2010

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Algorithmic Trading with MATLAB - 2010

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22 Nov 2010 (Updated )

Files from the November 18, 2010 webinar.

README.m

README.m

DISCLAIMER: THE SAMPLE FILES ENCLOSED IN THIS DOWNLOAD ARE FOR ILLUSTRATION PURPOSES ONLY. USE THE INFORMATION CONTAINED IN THIS DOWNLOAD AT YOUR OWN RISK.

Copyright 2010, The MathWorks, Inc. All rights reserved.

Contents

General information

The files contained in this dowload were used in the webinar titled: Algorithmic Trading with MATLAB Products for Financial Applications that originally aired on November 18, 2010. You can watch an archived version of this webinar from http://www.mathworks.com/webinars and look for the title webinar. It is recomended you watch this webinar as you walk through the code.

What you need to run these files

These files were developed and tested on R2010b. The products need to run all of the files are:

* MATLAB
* Statistics Toolbox
* Optimization Toolbox
* Global Optimization Toolbox
* Financial Toolbox
* Real-Time Workshop (and Simulink)
license('inuse')
distrib_computing_toolbox
financial_toolbox
gads_toolbox
matlab
real-time_workshop
simulink
statistics_toolbox

What's NOT included in this download

Files generated from AlgoTradingDemo5.m such as the moving average MEX file and all files generated using the emlc command (the C-Code source files). You will need Real-Time Workshop to generate these files.

Also not inlcuded is the powerpoint slides. You can find these on the registration page for the webinar.

Demos

dir('Algo*')
AlgoTradingDemo1.m  AlgoTradingDemo3.m  AlgoTradingDemo5.m  
AlgoTradingDemo2.m  AlgoTradingDemo4.m  

Published files

HTML formated versions with results for each demo can be found in the html folder.

dir('html\*.html')
AlgoTradingDemo1.html  AlgoTradingDemo3.html  AlgoTradingDemo5.html  
AlgoTradingDemo2.html  AlgoTradingDemo4.html  

MATLAB Code

Listing of the MATLAB code files. You can open this files in the editor and step through them using cell mode.

dir('*.m')
AlgoTradingDemo1.m  leadlag.m           publishall.m        
AlgoTradingDemo2.m  leadlagFun.m        readme.m            
AlgoTradingDemo3.m  marsi.m             rsi.m               
AlgoTradingDemo4.m  marsiFun.m          rsiFun.m            
AlgoTradingDemo5.m  marsiwprFun.m       wpr.m               
importfile.m        movavg2.m           wprFun.m            
isoplot.m           parameterSweep.m    

and the genetic programming files

dir('gaFiles\')
.                       initializePopulation.m  tradeSignal.m           
..                      locateConnectors.m      validRule.m             
crossover.m             mutation.m              
fitness.m               plotRules.m             

Data files

The data files (daily and 1 minute)

dir('Bund*')
BundDaily.xls  bund1min.mat   

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