Initial Commit
MATLAB Toolbox to PortfolioEffect Quant service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. PortfolioEffect is a cloud-based service, which is free to use with your own market data, but also has an integrated (optional) access to high frequency prices for all major US Equities (8,000+ symbols).
Features:
- Auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments), price fractality (long memory) and was designed to give tick-resolution analytics.
- Over 40+ portfolio and position-level metrics to compute intraday risk and performance from modern and post-modern portfolio theory.
- Single-period constraint portfolio optimization (classic Markowitz and extensions for tail risk) with scalar, vector-based and user-defined functional constraints.
- Multi-period constraint portfolio optimization that accounts for previous portfolio rebalancing (trading strategy optimization).
- Transactional costs were also implemented in this release.