SR-BLITS

Version 1.0.0.0 (5.18 KB) by Shahid Abdulla
Calculates Buy/Sell decision in a Security based on Backward-Looking Sharpe Ratio
0.0
(0)
40 Downloads
Updated 27 Feb 2018

View License

Kindly refer to the (likely) article in IIM Bangalore Management Review, 2018, titled "SR-BLITS: Sharpe Ratio’s Backward-Looking Improvement as a Trading Strategy". Code is uploaded here as an adjunct to the manuscript review process. Run the code using SRBLITS_SCRIPT, which calls other modules (also uploaded). Most steps are commented and liberal MIT License is granted hereby.

Cite As

Shahid Abdulla (2025). SR-BLITS (https://uk.mathworks.com/matlabcentral/fileexchange/66220-sr-blits), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2017b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Transaction Cost Analysis in Help Center and MATLAB Answers
Tags Add Tags

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

SRBLITS_Companion_Files/

Version Published Release Notes
1.0.0.0

Title is updated to obtain shorter link