Trading Algorithms Using Signal Processing in MATLAB* 2nd Ed

This book was written to aid in research into signal processing algorithms with application to trading.
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Updated Thu, 02 Nov 2023 19:26:56 +0000

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The text is organized into 5 chapters. Chapter 1 Signal Processing presents filters that mitigate the effects of noise. Filters use fixed and adaptive methods. Chapter 2 Indicators has oscillators that utilize the various filter structures of Chapter 1. Most of the popular oscillators are represented. Chapter 3 Scalping Indicators show some of the approaches that may be applied to short time frames (1 to 30 minute sample rates). Chapter 4 Ehler’s Filters and Indicators is dedicated to the many contributions of John F. Ehlers. Chapter 5 Backtest and Partial Optimization of an Algorithm is intended to explain an approach to backtesting and partial optimization of a trading strategy. Backtesting and selection of parameters through testing or optimization (improvement) are critical to the success of any trading approach. Some ideas are reviewed and shown by two examples.
The author drew heavily from https://www.tradingview.com/, which has thousands of scripts written in their proprietary Pine Script language. Also, there is a large listing of indicator ideas on the link https://docs.google.com/document/d/15AGCufJZ8CIUvwFJ9W-IKns88gkWOKBCvByMEvm5MLo/edit, which is titled LazyBear Custom Indicators for TradingView.

Cite As

Steve Rogers (2024). Trading Algorithms Using Signal Processing in MATLAB* 2nd Ed (https://www.mathworks.com/matlabcentral/fileexchange/80434-trading-algorithms-using-signal-processing-in-matlab-2nd-ed), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2022a
Compatible with any release
Platform Compatibility
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matlab/Chapter1 - signalProc

matlab/Chapter3-Scalper

matlab/Chapter4-Ehlers

matlab/chapter2 Indicators

matlab/chapter5-optim

Version Published Release Notes
1.0.8

Corrected link to text.

1.0.7

The link to the book is given at the end of the description.

1.0.6

This is updated to include files generated during writing the 2nd edition.

1.0.5

Corrected error in Schaff Trend Cycle

1.0.4

Scrubbed for divide by zero errors

1.0.3

Fixed divide by zero in KAMA.m

1.0.2

Added Gaussian filter to Chapter 1

1.0.1

Included more files in zip

1.0.0