Description: One using MATLAB rebar futures arbitrage high frequency trading strategies. This strategy is mainly used moving average (Moving Average)+ RSI index trading strategy determination. The basic idea is a clear trend to go for MA strategy is better, while RSI strategy for market shocks, the two signals generated after synthesis strategy has a strong ability to resist risks. Practical experience, in the pair. Practical experience, in the pair. Actual experiment, in the initial price signals to be processed and the data back through the previous test, get the best according to backtesting, get the best combination of parameters, the strategy to achieve an average annual rate of return of 23.6 2, the Sharpe ratio of 2.05.
To Search:
File list (Check if you may need any files):
RB MATLAB CODE\analysis.m
..............\Demo2.m
..............\Drawdown.m
..............\greturn.m
..............\importfile.m
..............\isoplot.m
..............\leadlag.m
..............\leadlagFun.m
..............\marsi.m
..............\marsiFun.m
..............\movavg2.m
..............\parameterSweep.m
..............\publishall.m
..............\RBMAIN.m
..............\rsi.m
..............\rsiFun.m
..............\RU1mindata.mat
RB MATLAB CODE
Download