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

Version 1.0.0.2 (18,5 KB) von MathWorks Quant Team
The files are designed for walk-forward analysis of pair trading strategy using Bollinger Band
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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.

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MathWorks Quant Team (2024). 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. Abgerufen.

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Erstellt mit R2016a
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Version Veröffentlicht Versionshinweise
1.0.0.2

Change data source from Yahoo! Finance to Google Finance.
Remove one pair of stocks because prices are not completely available in the new data source.
1.0.0.1

Updated license
Updated license
1.0.0.0

Add copyright statement