Statistical Backtest Toolbox
15 Nov 2012
20 Nov 2012)
A Toolbox that allows the user to backtest trading strategies on the FTSE100.
function [Algo_Performance, Buy_Hold_Performance] = ...
% Given the results of a trading strategy, we can calculate 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
%% Algorithm Performance
Algo_Performance = struct ('Annualised_Rate_of_Return',,...
% Rate of return of the asset during a single period r_k is
% calculated at time T/N(k) from the asset prices at time T/N(k-1)
% and T/N(k) (P_k-1 and P_k respectively) as ln(P_k)-ln(P_k-1)
% Rate of return during the whole trading periods R is a sum of
% rates of return in each period, and a geometric mean of a single
% period return r is obtained by dividing R by the number of
% periods N.
r = log(P_n_L.exit_long_price) - log(P_n_L.enter_long_price);
Algo_Performance.Annualised_Rate_of_Return = sum(r) / n;
% The annualsied volatility (sigma) is the standard deviation of the
% instruments yearly logarithmic return. The generalised volatility
% sigma_T for time horizon T in years is expressed as:
% sigma_T = sigma * sqrt(T)
% Therefore, if the daily logarithmic returns of a stock have a
% standard deviation of sigma_SD and the time period of returns is P,
% the annualized volatility is:
% sigma = sigma_SD / sqrt(P)
% A common assumption is that P = 1/252 (there are 252 trading days
% in any given year). Then, if sigma_SD = 0.01 the annualized
% volatility is:
% sigma_annual = 0.01 / sqrt(1/252)
Algo_Performance.Annualised_Volatility = std(r)*sqrt(252);
Algo_Performance.Sharpes_Ratio = sharpe(r,0);
Algo_Performance.P_in = sum(P_n_L.exit_long_i - ...
Algo_Performance.NumOfTrades = length(P_n_L.enter_long_price);
%% Buy and Hold Performance
Buy_Hold_Performance = struct ('Annualised_Rate_of_Return',,...
r_b = ;
r_b(1) = 0;
for j = 2:length(C)
r_b(j) = log(C(j)) - log(C(j-1));
Buy_Hold_Performance.Annualised_Rate_of_Return = sum(r_b) / n;
Buy_Hold_Performance.Annualised_Volatility = ...
Buy_Hold_Performance.Sharpes_Ratio = sharpe(r_b,0);
Buy_Hold_Performance.P_in = 1;
Buy_Hold_Performance.NumOfTrades = 1;