Statistical Backtest Toolbox

A Toolbox that allows the user to backtest trading strategies on the FTSE100.
ダウンロード: 2.5K
更新 2012/11/20


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.


Benjamin Heelan (2024). Statistical Backtest Toolbox (, MATLAB Central File Exchange. 取得済み .

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作成: R2012a
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Added graph screenshot