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Matlab

Fuzzy Logic Optimization -The “WOO-FOO-SMASH-EFIS-MEE-COPT” model

September 17, 2012 by sanz prophet Leave a Comment

Fuzzy Logic pt.3: Auto-generate model parameters I often tire of reading these complicated academic papers that are filled with impossible jargon only to make my life harder. I have found that often times the difficult terminology only hides the simple concepts that lie behind. So here I will use a difficult term myself,  just to sound smarter …

Read moreFuzzy Logic Optimization -The “WOO-FOO-SMASH-EFIS-MEE-COPT” model

Filed Under: Amibroker, Matlab, strategy development

Trading with Fuzzy Logic

September 10, 2012 by sanz prophet 3 Comments

The case for Fuzzy Logic in Trading The more I backtest strategies the more I feel the need for robustness in a system. There is no point to optimize return. One should optimize certainty of positive return. Most strategies that do really well in the past are over complicated and over-fitted and tend to loose money. One …

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Filed Under: fuzzy logic, Matlab, strategy, strategy development

Matlab for Amibroker Users – Backtesting Functions for Matlab

July 31, 2012 by sanz prophet 1 Comment

The point of this post is to provide some basic functions to non professional Matlab users that may help backtest a simple long only system the way Amibroker (and  most other software) backtest. If you are an Amibroker user you are used to something this easy: sma9=ma(close,9); sma21=ma(close,21); buy=Cross(sma9,sma21);   sell=Cross(sma21,sma9);  Wish you could do …

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Filed Under: Amibroker, Matlab, Stock

Basic Backtest Function for Matlab

July 31, 2012 by sanz prophet Leave a Comment

[pnl,pnlvector, sh]= backtestlongAmount(data,signal,buyprice,delay,amount$$); This is a very basic function for backtesting a strategy in Matlab.All you need is a vector with 1s for Buy, -1’s for Sell and 0’s for Hold. To use it we need1. A vector of prices,i.e. SPY close prices2. Signal: A vector of  1 for BUY, -1 for SELL and 0 …

Read moreBasic Backtest Function for Matlab

Filed Under: Matlab, Stock

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