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updated 9 months ago

Pairs Trading by Hui Gong

This m-file will show you the dynamic pairs trading using the stochastic control approach. (pairs trading)

PT(S_1,S_2,z_0,mu_1,mu_2,sigma_1,sigma_2,delta,rho,beta,g...

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updated 12 months ago

Natural Gas Storage Optimization & Intrinsic Valuation by Ameya Deoras

Calculate optimal injection/withdrawal schedules for gas storage facility (energy trading)

Intrinsic Storage Optimization

Natural Gas Storage Optimization & Intrinsic Valuation

createConstraints(facility, N, daysInMonth, startVol, end...

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updated 1 year ago

Commodities Trading with MATLAB by Anshuman Mishra

Demos from the 'Commodities Trading with MATLAB' webinar - July 25, 2013. (algorithmic trading, automated trading, trading)

Commodities Trading with MATLAB - Backtesting with varyin...

Commodities Trading with MATLAB - Catch-up strategy acros...

Commodities Trading with MATLAB - Cross Sectional Momentum

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updated 22 days ago

Automated Trading with MATLAB - 2012 by Stuart Kozola

Files from the Automated Trading webinar showing X_Trader and QuickFIX/J integration. (x_trader, algorithmic trading, genetic programming)

Algorithmic Trading with MATLAB: Intraday trading

Algorithmic Trading with MATLAB: Moving Average Rule

Algorithmic Trading with MATLAB: Pairs trading

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updated almost 4 years ago

Algorithmic Trading with MATLAB - 2010 by Stuart Kozola

Files from the November 18, 2010 webinar. (algorithmic trading, trading, moving average)

Algorithmic Trading with MATLAB®: Evolutionary Learning

Algorithmic Trading with MATLAB®: More Signals

Algorithmic Trading with MATLAB®: Moving Average and RSI

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updated 11 years ago

TechTradeTool by Stephanos-George Papadamou-Stephanides

A toolbox for calculating and optimizing technical analysis trading systems. (finance, modeling, analysis)

[bestPerf, opt1, opt2, opt3, opt4]=optimizeSys2(menuIn, s...

[bestPerf, opt1, opt2]=optimizeSys(st, tsIn, lobIdays1, u...

[plRuin]=plotpruin(NT,MT,XWO,XPL,XRF,NR);

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updated 3 years ago

Trading strategy back tester by Donny Lee

This program shows the profit and lost of using different trading strategies on Singapore stocks. (algorithmic, trading, stochastic)

CSVconvert(thelist)

IndBol(s)

IndMA(s)

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updated almost 4 years ago

Backtesting Code for Algorithmic Trading Strategy by Moeti Ncube

Code to Backtest trading strategy (algorithmic trading, backtesting)

fbacktest(data,v1,pt,st,dd)

importfile(fileToRead1)

strategybacktest.m

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updated 1 year ago

Pairs Trading Strategy by tadeveloper

A pairs trading strategy implemented in MATLAB. (computational finance, trading, backtesting)

MATLAB pairs trading strategy

PairsTradingStrategy(sys)

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updated almost 2 years ago

Band Trading Strategy by tadeveloper

A band trading strategy implemented in MATLAB. (band trading, trading strategy, quant)

BandTrader(sys)

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updated almost 3 years ago

Probability of Informed Trading by Paolo Zagaglia

This package allows to compute the probability of informed trading from bilateral trades. (applied econometrics, empirical econometric..., market microstructure)

[likel_final]=likel_pin(params,n_trades)

example.m

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updated almost 7 years ago

A baby trading system by Dimitri Shvorob

(No, we don't trade babies!) (finance, modeling, analysis)

tradebot

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updated 8 years ago

Empirical Technical Trading Systems by Champ Mendis

Technical Trading System (finance, modeling, analysis)

AFR.m

DMAC(eIndex,stocktype,speriod,lperiod,mxargus)

OPC.m

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updated 8 months ago

BTC-e trade api by wout

This BTC-e trade api can be used to automatically trade on btc-e using their api. (btce, sha512, data export)

ActiveOrders(varargin)

CancelOrder(varargin)

GetInfo()

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updated 3 years ago

Flipping Trade Signals by Han

Simulation to explore changing all long trade signals to short on a geometric brownian motion path. (simulation, finance, demo)

geometric_brownian(N,r,alpha,T)

testGBM(GBMcurve,numTrades,alpha,ratio)

gbm_script.m

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updated 1 year ago

Options Expiration Friday Date Calculator by Jennifer GALPERIN

Calculates the date in a given month that options will expire (Friday). (finance, trading, options)

getExpiryFri( month )

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updated 1 year ago

Previous Working Day by Jennifer GALPERIN

Retrieves the previous working day for a given date and holiday schedule. (trading, options, dates)

previousWorkday( hDate,holidaySchedule )

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updated 3 years ago

Cointegration and Pairs Trading with Econometrics Toolbox by Stuart Kozola

Demo files from the webinar of same title. (cointegration, trading, pairs trading)

Demo 1: Cointegration

Intraday Pairs trading

README.M

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updated almost 5 years ago

Real or Simulated Stock Quote/Trade through MBTrading by Dan Rissacher

I wrote these .m files to connect to my MBTrading accounts for automated trading using matlab code. (stock trading forex f...)

ping_excel()

buy_SPY_market.m

buy_market.m

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updated 1 year ago

Algorithmic Trading with Bloomberg EMSX and MATLAB by Nicole Wilson

Files used in the webinar which can be viewed at http://www.optinum.co.za/webinars/contact_main.php (finance, demo, webinar)

Algorithmic Trading with MATLAB and Bloomberg EMSX: Onlin...

Algorithmic Trading with MATLAB: Intraday trading

Bloomberg EMSX API: Simple Examples

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updated 5 years ago

Algorithmic Trading with MATLAB - 2009 update by Ameya Deoras

M-file scripts and Simulink models from webinar on 28 May 2009 (algorithmic trading, high frequency, market making)

callnnpiter

ema(x,N)

emstd(X,N)

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updated almost 2 years ago

Download Yahoo Finance Data For Trading and Backtesting by tadeveloper

The script downloads 10 years of stock data from Yahoo Finance. (yahoo, finance, data)

getyahoo10(symbols, directory)

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updated almost 3 years ago

A Trade Classification Algorithm from Market Quotes by Paolo Zagaglia

This function computes the number of intradaily market trades that are buy- or sell-initiated. (finance, trading, financial market mode...)

[types_trades]=classify_trades(returns,trading_day);

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updated 1 year ago

Realtime trading with Matlab presentation files by Yair Altman

Realtime trading demo & presentation, presented at NYC Computational Finance Conference 23 May 2013 (finance, gui, data import)

findjobj(container,varargin)

tradingDemo

uisplitpane(varargin)

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updated 1 year ago

Three Red Candles Trading Strategy by tadeveloper

A MATLAB trading strategy based on a candle stick pattern. (trading, strategy, candle stick)

ThreeRedCandles(sys)

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updated 11 months ago

SMA, MACD, RSI (SMR) Trading Algorithm by Chad Smith

View a stock's buy/sell recommendations based on a synthesis of the indicators SMA, MACD, and RSI (stock, algorithmic trading, algorithm)

smr_strategy.m

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updated 1 year ago

Algorithmic Trading | Moving Average Crossover Strategy with WFAToolbox by WFAToolbox

The classical technical analysis strategy for an advanced algorithmic trading GUI - WFAToolbox (finance, gui, trading)

MAcross_strategy(x,price)

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updated 6 months ago

mForex/mForex.API.Matlab by mForex

Official mForex API binding for Matlab. (fx, algorithmic trading, api)

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updated 2 years ago

Real-Time Stock Viewer by Ameya Deoras

Plot and analyze live market data from Bloomberg or Yahoo. (finance, modeling, analysis)

Real-Time Stock Viewer

RTviewer(varargin)

bloomRT(obj,event,Conn,ticker)

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updated 2 years ago

Statistical Backtest Toolbox by Benjamin Heelan

A Toolbox that allows the user to backtest trading strategies on the FTSE100. (finance, backtesting, ftse)

...

Buy_only_trade_execution_algo(x,D,Buy_Signal,Sell_Signal)

Trade_Plots(C,D,n,P_n_L)

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updated almost 4 years ago

Energy Trading & Risk Management with MATLAB Webinar Case Study by Ameya Deoras

MATLAB code for the generation asset risk analysis case study (energy trading, risk, market risk)

Calibrating Simulating Natural Gas Spot Prices

Modeling Simulating Hourly Electricity

Modeling Simulating Hourly Temperature

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updated 10 years ago

Tradeguide by Nagi Hatoum

Gives best buy and sell signal to benchmark trading system. (finance, modeling, analysis)

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updated 9 years ago

ZigZag - Financial Indicator Wave by Olaf Marthiens

Read Yahoo Stock price and generate ZigZag Wave. (finance, modeling, analysis)

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updated almost 2 years ago

Black and Shcoles calculator by Hanan Kavitz

Graphical Black and Shcoles calculator for visualizing different sensetives (bls, black and shcoles, gui)

blscalculator(varargin)

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updated 4 years ago

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (finance, investments, portfolio management)

fm(varargin)

Asset

AssetUniverse

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updated 5 years ago

Download Forex News Calendar by Quant Fund Matlab Code Source

Automated Download of Forex News Calendar for select dates. (forex trading news ca...)

GetCurrencyCalendar(enddate)

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updated 4 years ago

Historical Volatility by Josiah Renfree

Calculates the annualized historical volatility for a stock over the previous N trading days. (historical volatility, volatility, stocks)

hist_vol(ticker, N)

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updated 2 years ago

Volume Weighted Average Price from Intra-Daily Data by Semin Ibisevic

Retrieves the VWAP from intra-daily data of Google Finance (volume, weighted, average)

getHistoricalIntraDayStockPrice(ticker,exchange,interval,...

getUniqueDayElements(dates, input)

getVWAP(price, volume, dates)

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updated almost 3 years ago

TA-Lib Mex Functions and OSLion binaries by Davide Onofrio

The TA-Lib Library is widely used by trading software developers. (talib, technical analysis, finance)

compileMex.m

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updated 1 month ago

Natural Gas Storage Valuation by Ameya Deoras

Demos and files from the webinar (energy trading, energy risk, commodities)

Import Analyze Natural Gas Futures Options Historical P...

Natural Gas Storage Valuation: 2. Intrinsic Spread-Optio...

Natural Gas Storage Valuation: 3. Model Calibration and V...

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updated 3 years ago

Electricity Load and Price Forecasting Webinar Case Study by Ameya Deoras

Slides and MATLABĀ® code for the day-ahead system load and price forecasting case study. (electricity, energy trading, model)

Electricity Load Forecasting using Neural Networks

Electricity Price Forecasting with Neural Networks

Load Forecasting using Bagged Regression Trees

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updated 1 year ago

South African Public Holidays by Nicole Wilson

Returns dates corresponding to non-trading days for the Johannesburg Stock Exchange in South Africa (finance, dates, function)

holidaysRSA(varargin)

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updated 2 years ago

converter by RAJKUMAR

XE Trade offers easy and transparent online quotes, competitive rates, and free international money (simulink)

conv1

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updated 5 years ago

Scrolling display by Dimitri Shvorob

(price/volume chart) (timer, event, listener)

Trade

TradeGenerator

TradeMonitor

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updated 6 years ago

Fixed-Point ATAN2 using CORDIC by Giorgia Zucchelli

This demo shows how a fixed-point cordic algorithm to calculate a phase from polar coordinates (arct (dsp, cordic atan atan2 arc...)

Fixed-Point ATAN2 using CORDIC

atan2_fixpt(im,re)

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updated almost 9 years ago

Weak form market efficiency tests by Anis Ben Hassen

market efficiency tests (finance, modeling, analysis)

averday.m

chow_test.m

momentum.m

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updated 1 year ago

Adaptive Arrival Price by Julian Lorenz

Efficient frontier of single update arrival price model (finance, optimization, mathematics)

EV(k0, k, mu, t, I)

OptimizeSingleUpdate(I, kstatic, mu, t)

arrivalprice_singleupdate.m

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updated almost 4 years ago

Connecting to Interactive Brokers via ActiveX API by Jev Kuznetsov

Basic code that should help you get started with Interactive Brokers API. (finance, interactive brokers, api wrapper)

CListener

CSymbolData

CTws

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updated 2 years ago

Get Stock Information from Yahoo by ted p teng

This function allows you to pull stock information from Yahoo with Yahoo! Query Language in Matlab. (finance, yahoo, yql)

getStockInformation(tickers)

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updated 15 years ago

MCSpreadOption.m by Espen Haug

Monte Carlo Simulation Spread Options (finance, modeling, analysis)

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