Statistical Backtest Toolbox

A Toolbox that allows the user to backtest trading strategies on the FTSE100.

Description

This toolbox allows the user to backtest trading strategies on the FTSE100.

Once strategy has been programmed in the following measures to evaluate the performance of the strategy.
 
       - Annualised Return = geometric average of rate of return
           during thetrading horizon
       - Annualised Volatility = volatility of rate of return during
           the trading horizon
       - SR = risk adjusted rate of return (Sharpe Ratio) during
           the trading horizon
       - p_in = proportion of in the market periods to the whole
           trading horizon
       - NumOfTrades = number of executed trades during the trading
           horizon

Each strategy is implemented using a Long only trading policy. This is used so strategy performance can be compared effectively with a benchmark buy & hold strategy. The benchmark is the FTSE100, bought on 1-Jan-2001, and held until 31-Dec-2010. This allows all strategies to be compared in terms of trading signals only.

Simple_Moving_Average_Algorithm.m offers a basic example, demonstrating implementation of a strategy and how performance is calculated.

Will be adding technical indicators in due course.

• Required Products: Financial Toolbox
• MATLAB release: MATLAB 7.14 (R2012a)

[Sayed]

 

[jack]

works perfectly, looking forward to seeing what else is added.