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PortfolioEffectHFT - High Frequency Trading Toolbox

version 1.5.0.0 (7.2 MB) by Aleksey Zemnitskiy
PortfolioEffect MATLAB interface for intraday portfolio analytics with high frequency market data

14 Downloads

Updated 11 Feb 2016

GitHub view license on GitHub

MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization

Cite As

Aleksey Zemnitskiy (2020). PortfolioEffectHFT - High Frequency Trading Toolbox (https://www.github.com/PortfolioEffect/PE-HFT-Matlab), GitHub. Retrieved .

Comments and Ratings (2)

Huahua Wu

Why is the main function empty?

Peter Jones

Great toolbox for intraday backtesting. I like built-in access to HF historical data. Could you provide more examples of portfolio optimization for strategy portfolios?

Updates

1.5.0.0

- Added "resultsNAFilter" to portfolio_settings()

1.4.0.0

- Improvements in estimates precision
- Fixed a number of bugs that occurred only under high load
- Improvements in server-side data caching
- Output "NaN" for missing values, computational errors, warm-up periods and possible artifacts

1.2.0.0

- Updated optimization_goal method with new parameters

1.2.0.0

Updated licensing information with a BSD license

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux

PortfolioEffectHFT

PortfolioEffectHFT/@optimizer

PortfolioEffectHFT/@portfolioContainer

PortfolioEffectHFT/@portfolioPlot

demo