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Statistical Backtest Toolbox

5.0 | 2 ratings Rate this file 23 Downloads (last 30 days) File Size: 123 KB File ID: #39068 Version: 1.3
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Statistical Backtest Toolbox



15 Nov 2012 (Updated )

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

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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

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 (3)
12 Aug 2015 Madeline Hayes

I can't watch this. Why?

Comment only
26 Nov 2012 Sayed

Sayed (view profile)

16 Nov 2012 jack

jack (view profile)

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

20 Nov 2012 1.3

Added graph screenshot

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