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

2014 8 27
1 个回答
更新时间：2015 7 18
110 次查看（30 天）

0 个投票

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?

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回答（1 个）

Vitali Avagyan
Vitali Avagyan 2014-8-27
编辑：Vitali Avagyan 2014-8-27

0 个投票

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

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Quantopic
Quantopic
2014-8-27

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Josh Perry
Josh Perry
2015-7-18

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