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Walk-Forward Analysis (WFA) - Files for WFA webinar

version 1.0.0.2 (18.5 KB) by MathWorks Quant Team
The files are designed for walk-forward analysis of pair trading strategy using Bollinger Band

1.6K Downloads

Updated 01 Feb 2018

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The files are designed for walk-forward analysis of pair trading strategy using Bollinger Band as entry and exit rules. In this example, you will see 5 pair of stocks tested over the period of 3 years. Performance analytic part includes profit/loss, Sharpe ratio, and maximum drawdown. I really hope that you will find this file as a starting point for backtesting your investment ideas. Definitely, you need to customize the file if you would like to add new rules, trading strategies, or market data. I would also recommend to watch the webinar on this topic.

Cite As

MathWorks Quant Team (2021). Walk-Forward Analysis (WFA) - Files for WFA webinar (https://www.mathworks.com/matlabcentral/fileexchange/58316-walk-forward-analysis-wfa-files-for-wfa-webinar), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
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