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Statistical Backtest Toolbox

5.0

5.0 | 2 ratings Rate this file 52 Downloads (last 30 days) File Size: 123 KB File ID: #39068
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Statistical Backtest Toolbox

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15 Nov 2012 (Updated )

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

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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)
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Comments and Ratings (2)
26 Nov 2012 Sayed  
16 Nov 2012 jack

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

Updates
20 Nov 2012

Added graph screenshot

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