Setting entry and exit position in Matlab and computing returns for backtesting purposes

I have to backtest a mean-reverting strategy that use the spread z and goes:

• long when the indicator z > -2;
• short-sell when the indicator z < 2;

The exit point is when the absolute value of z is equal to one.

How can I compute the returns using Matlab given those entry and exit position?

Answer 1

[Vitali Avagyan]

Hi Quantopic,

I guess you need these simple statements.

Bid=-10+20*rand();%depends on your data
Ask=-10+20*rand();%depends on your data
z=Bid-Ask;
if z>-2 && z~=abs(1) 
    outcome='long'
elseif z<2 && z~=abs(1)
    outcome='short'
elseif z==abs(z)
    outcome='exit'
end

[Josh Perry]

how is a strategy like this backtested in matlab.... HELP PLEASE!