Statistical Backtest Toolbox
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
horizon
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.
引用
Benjamin Heelan (2026). Statistical Backtest Toolbox (https://jp.mathworks.com/matlabcentral/fileexchange/39068-statistical-backtest-toolbox), MATLAB Central File Exchange. に取得済み.
