Trading strategy matlab




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Trading strategy matlabtrading system in MATLAB

I am trying to write a program which will find the total # of pips (price gained) with a strategy.

Basically, the strategy is whenever the stock price is 5. and we will start trading and we will continue trading as long as the stock price is higher than 2 and lower than 9. meaning in the range (2,9). When the price hits 2 or 9. we stop trading.

When I run the program it doesn't execute correctly, it does not enter the second while loop. What is missing?

% total. the total # of pips gained with a strategy % diff: the difference of the stock price btw 2 consecutive dates % Sheet1: a data matrix loaded from excel, where the first column is date and second one is stock stock price

A dummy trading strategy implemented by Matlab

The following is a paper trading result on the historical data of SPY using simple strategy. Since the trade is based on entirely random decision, the performance of the portfolio gives a low end benchmark. It is implemented by Matlab.

Given initial capital 7BV_%7B0%7D+%3D+20000%7D&bg=ffffff&fg=000000&s=0" /% at starting date, we follow the strategy of this below. In the morning of each Monday, we do following transactions: Toss a coin. If the outcome is face-up, then half of the total wealth will be invested to risky asset. Otherwise, we clear all risky position. Following the above strategy on the period (29-Jan-1993 to 21-Jun-2013), the annualized return rate is approximately 0.00641.

The implementation is completed by Matlab programing by semi-automatically. First, using the Datafeed toolbox, download SPY historical price from Yahoo Finance server. The downloaded data is saved to spy130622.mat file.

(Download ) Then, one can run this Matlab code trade1.m. ( Download )