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
4.9
(7)
1.8K Downloads
Updated 1 Feb 2018

View License

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 (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. Retrieved .

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
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