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398 Minutes of Personalized Content
25 Lectures
1 Assignments
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Backtesting Trading Strategies With MATLAB

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4.0
( 1 ratings) 2 students enrolled
Created by E.P. Chan & Associates Last updated 8/2018

Description

Backtesting is the process of feeding historical data to an automated trading strategy and see how it would have performed. This course will study various common backtest performance metrics.

Backtest performance can easily be made unrealistic and un-predictive of future returns due to a long list of pitfalls, which will be examined in this course. The choice of a software platform for backtesting is also important, and criteria for this choice will be discussed. Illustrative examples are drawn from a futures strategy and a stock portfolio trading strategy.

This is a pre-recorded workshop conducted in Adobe Connect by Ernest Chan.

The focus of this course is on discovering and avoiding various pitfalls during the backtesting process that may degrade performance forecasting. Illustrative exercises are drawn from a futures strategy and a stock portfolio trading strategy using MATLAB. Free MATLAB trial licenses will be arranged for extensive in-class exercises.

Pre-requisites

No prior knowledge of MATLAB is needed, but some experience with programming is necessary. The math requirement is basic college-level statistics.

Topics

  • Backtesting
  • MATLAB
  • Strategy Refinement
  • Historical Financial Data
  • Live Trading vs. Backtesting

Requirements

  • Programming
  • Basic Trading
  • Familiarity With MATLAB
  • College-Level Statistics

Target Audience

  • Traders
  • Financial System Programers
  • Financial Analysts
Expand All 26 items06:38:17

Curriculum

1 Overview
266 1. Lecture 1 - Introduction
267 2. Lecture 2 - What Is Backtesting
268 3. Lecture 3 - Importance of Backtesting
269 4. Lecture 4 - Limitations Of Backtesting
2 Choosing a Backtest Platform
271 6. Lecture 1 - Platform Choosing Criteria
272 7. Lecture 2 - Pros And Cons Of A Platform
3 MATLAB Tutorial
273 8. Lecture 1 - Why MATLAB
274 9. Lecture 2 - Survey Of Syntax
275 10. Assignment 1 - Building Utility Functions
276 11. Lecture 3 - More On MATLAB
4 Backtesting A Single Instrument Strategy
5 Performance Measurement
278 13. Lecture 1 - The Equity Curve
279 14. Lecture 2 - Excess Returns And Sharpe Ratio
280 15. Lecture 3 - Transaction Costs
6 Choosing A Historical Database
282 17. Lecture 2 - Survavorship Bias
283 18. Lecture 3 - Future Data
7 Backtesting A Portfolio
284 19. Lecture 1 - Introduction
286 21. Lecture 3 - Strategy Refinement
8 Bias Detection And Elimination
287 22. Lecture 1 - Lookahead Bias
288 23. Lecture 2 - Out Of Sample Testing
289 24. Lecture 3 - Parameterless Trading
290 25. Lecture 4 - Live Trading vs. Backtest
9 Epilogue
291 26. Lecture 1 - Epilogue

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