Flipping Trade Signals

Version 1.1.0.0 (2.67 KB) by Han
Simulation to explore changing all long trade signals to short on a geometric brownian motion path.
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Updated 28 Jun 2011

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Generates GBM curve with specified drift and volatility parameters.

Trade entries are modeled through a zero-intelligence model assuming a Poisson arrival process for trades conditioned on a set number of trades on the GBM curve.

All credit for the GBM curve generator goes to http://www-math.bgsu.edu/~zirbel/sde/

This code is uploaded for this blog post:
http://hanwangquant.blogspot.com/2011/06/flipping-trade-signals.html

Cite As

Han (2024). Flipping Trade Signals (https://www.mathworks.com/matlabcentral/fileexchange/31948-flipping-trade-signals), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.1.0.0

Removed incorrect requirement
1.0.0.0