A baby trading system (Scripts) Publisher's description
from Dimitri Shvorob
The code may help one think about the technical requirements that a real trading system has to meet.
..but build a primitive, stylized automated trading system operated by a fixed-rate timer and handling retrieval, storage and analysis of data; a 'strategy' guides rebalancing the portfolio at each iteration, and basic output is displayed in a front-end GUI.
The code may help one think about the technical requirements that a real trading system has to meet. It may also be retooled for one's own data-retrieval-storage-and-dynamic-GUI-display exercise. (An OOP re-design would be a clear improvement).
PS. The 'strategy', of long-short variety, focuses on choosing, at each timer-triggered 'epoch', five stocks with the largest (simulated) next-period return, and five with lowest. Choice is driven by simple interpolation, with a moving average calculated for individual return series. Epochs 1-3 are used for 'training', i.e. to get the initial averages.
System Requirements:MATLAB 7.5 (R2007b)
Program Release Status: Major Update
Program Install Support: Install and Uninstall