Backtesting
There are two issues with the Pearson type IV distribution: (I) the complex gamma function entering the normalization constant in the probability density function (pdf) and (II) the complex Gauss hypergeometric function entering the cumulative distribution function (cdf). For the complex gamma...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (45): In sample Value at Risk and backtesting with the Pearson type IV distribution Download |
I wrote this code because I wanted to incorporate a new distribution in the model, not availiable in Matlab or OxMetrics. In this sample the input is a return series, it uses a Garch(1,1) model with a constant in mean in the returns, and calculates the maximum likelihood estimator (mle) for the...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (44): In sample value at risk and backtesting Download |
JArbitrager is a fully automated trading system (ATS) that can trade various types of market securities during the trading day without user monitoring. All aspects of trading, such as obtaining market prices, analyzing price patterns, making trading decisions, placing orders, monitoring order...
Platforms: Mac
License: Freeware | Size: 2.1 MB | Download (50): JArbitrager Download |
Wall Street Analyzer is an advanced technical analysis charting system for financial markets, that will help you trading and take beter investment decision. It provides a broad set of technical analysis indicators (up to 30), customizable environment, it includes backtesting capabilities on your...
Platforms: Windows
License: Freeware | Size: 1.92 MB | Download (891): Wall Street Analyzer Download |
Stock charting and technical analysis software with a user-friendly interface targeted for stock investors and realtime traders. Supported dataproviders are Yahoo and Interactive Brokers. With the easy to use script language, you can create your own backtests, indicators, screener, real-time...
Platforms: Linux
License: Freeware | Size: 31.08 MB | Download (518): TickInvest Free Edition for Linux Download |
About Trade Strategist
A Technical Analysis package with facilities for charting and trading strategy design. By combining the 90 built-in financial indicators into rules for buying and selling stock, Trade Strategist users can build mechanical trading strategies. These strategies can be used in...
Platforms: Mac
License: Freeware | Size: 2.9 MB | Download (53): Trade Strategist Download |
The Toolbox forecasts the volatility of a (mxn) vector of data and from a variety of in-built / non-in-built GARCH models with various distributions, as well as the univariate RiskMetrics. The toolbox also estimates a number of Volatility Forecast Loss Functions and if selected Value-at-Risk for...
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (45): Volatility Forecast Toolbox Download |
In this set of files, I propose a simple CPPI (Constant Proportion Portfolio insurance) implementation. One can run the backtesting of such a strategy, playing with the parameters of the strategy such as Multiplier (Risk Exposure), or Smoothing factor.A set of slides brifly reminf the basics of a...
Platforms: Matlab
License: Freeware | Size: 4.15 MB | Download (46): A simple CPPI strategy in MATLAB Download |