SDE Framework: Perform Quasi-Monte Carlo simulation
You can perform Quasi-Monte Carlo simulation using the name-value arguments for
MonteCarloMethod and QuasiSequence for the
following stochastic differential equation (SDE) objects and their associated
methods:
| Class Names | Methods Supporting Quasi-Monte Carlo Simulation |
|---|---|
sde | simByEuler |
bm | simByEuler |
gbm | simByEuler,
simBySolution |
merton | simBySolution |
bates | simByTransition, simByQuadExp |
hwv | simBySolution |
heston | simByTransition, simByQuadExp |
cev | simByEuler |
cir | simByEuler,
simByTransition, simByQuadExp |
sdeddo | simByEuler |
sdeld | simByEuler |
sdemrd | simByEuler |
Backtesting Framework: Backtesting enhancements
The backtesting framework has the following enhancements:
Specify time varying cash rates of return.
The backtestEngine name-value arguments for
RiskFreeRate and
CashBorrowRate support a
timetable data type.
Control how the backtesting framework handles missing rebalance dates.
The backtestEngine name-value argument for
'DateAdjustment' enables you to control the date
handling behavior for rebalance dates that are missing from the asset
prices timetable. If a rebalance date falls on a holiday, you can
specify the "Next" or "None"
option for the name-value argument for
'DateAdjustment'.
Include NaN values in their asset price data.
The backtest framework supports NaNs in the
assetPrices timetable and NaNs
and <missing> in the signalData
timetable.
Backtesting Framework Example: Backtest with Deep Learning strategies
The Backtest Strategies Using Deep Learning example shows how to construct trading strategies using a Deep Learning Toolbox™ model and then backtest the strategies using the backtesting framework.
Portfolio Management: Manage a risk parity portfolio
There are two functions for managing a risk parity portfolio:
The portfolioRiskContribution function enables you to
compute individual asset risk contribution to the overall portfolio
volatility.
The riskBudgetingPortfolio function enables you to compute
risk budgeting portfolios.
The following examples demonstrate using portfolioRiskContribution and riskBudgetingPortfolio to manage a risk parity portfolio:
The Risk Budgeting Portfolio example
demonstrates how to use riskBudgetingPortfolio to create a risk budgeting
portfolio and portfolioRiskContribution to compute the risk
contribution of the assets in the portfolio.
The Backtest Using Risk-Based Equity Indexation example shows how to use backtesting for a risk parity or equal risk contribution strategy.
The Create Hierarchical Risk Parity Portfolio example shows how to use a hierarchical risk parity (HRP) technique for a risk parity allocation strategy.
Portfolio Management: Portfolio enhancements
There are the following enhancements:
The new name-value argument 'InitialDelta' is added
to setSolverMINLP and setSolver for the
solver option 'TrustRegionCP'.
The new name-value argument 'TolX' is added to
estimateMaxSharpeRatio
to expose fminbnd stop tolerance for
the 'iterative' method.
Data Transformation: Negative prices example
The Financial Toolbox™ functions tick2ret and ret2tick support negative prices.
This capability has been available since the release of these functions. The Returns with Negative Prices example shows how the
functions mathematically treat negative price inputs. Also, the example shows how to
interpret results from computations involving negative prices.