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PortfolioEffectHFT - High Frequency Trading Toolbox

version 1.5.0.0 (7.2 MB) by Aleksey Zemnitskiy
PortfolioEffect MATLAB interface for intraday portfolio analytics with high frequency market data

9 Downloads

Updated 11 Feb 2016

GitHub view license on GitHub

MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization

Cite As

Aleksey Zemnitskiy (2020). PortfolioEffectHFT - High Frequency Trading Toolbox (https://github.com/PortfolioEffect/PE-HFT-Matlab), GitHub. Retrieved .

Comments and Ratings (2)

Huahua Wu

Why is the main function empty?

Peter Jones

Great toolbox for intraday backtesting. I like built-in access to HF historical data. Could you provide more examples of portfolio optimization for strategy portfolios?

Updates

1.5.0.0

- Added "resultsNAFilter" to portfolio_settings()

1.4.0.0

- Improvements in estimates precision
- Fixed a number of bugs that occurred only under high load
- Improvements in server-side data caching
- Output "NaN" for missing values, computational errors, warm-up periods and possible artifacts

1.2.0.0

- Updated optimization_goal method with new parameters

1.2.0.0

Updated licensing information with a BSD license

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux

PortfolioEffectHFT

PortfolioEffectHFT/@optimizer

PortfolioEffectHFT/@portfolioContainer

PortfolioEffectHFT/@portfolioPlot

demo