PortfolioEffectHFT - High Frequency Trading Toolbox
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- 9 downloads
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)
Updates
| 1.5.0.0 | - Added "resultsNAFilter" to portfolio_settings() |
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| 1.4.0.0 | - Improvements in estimates precision
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| 1.2.0.0 | - Updated optimization_goal method with new parameters |
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| 1.2.0.0 | Updated licensing information with a BSD license |
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PortfolioEffectHFT
PortfolioEffectHFT/@optimizer
PortfolioEffectHFT/@portfolioContainer
PortfolioEffectHFT/@portfolioPlot
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Huahua Wu (view profile)
Why is the main function empty?
Peter Jones (view profile)
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?