If you are certain that there is no overlap in variables in all those files, then you can use
for i = 1:300
load(['W_star_',num2str(i),'.mat'])
end
but if some of the variables overlap, you'll need to load them into separate structures, to ensure that later loads don't overwrite earlier ones.
for i = 1:300
S{i} = load(['W_star_',num2str(i),'.mat'])
end
Then you'll need to extract the variables from the structures.
