主要内容

Conduct Back Test on Portfolio

This example shows how to conduct a back test on a set of stocks using transaction cost analysis from the Kissell Research Group.

  • Analyze the implementation of an investment strategy on a specific day or date range.

  • 估计指定历史日期的历史市场影响成本和相应的美元价值。

  • Analyze the trading costs of different orders on various dates.

To access the example code, enter编辑KRGBackTestingExample.mat the command line.

Retrieve Market-Impact Parameters and Load Historical Data

Retrieve the market-impact data from the Kissell Research Group FTP site. Connect to the FTP site using theftp使用用户名和密码函数。导航到MI_Parametersfolder and retrieve the market-impact data in theMI_Encrypted_Parameters.csv文件。miData包含加密的市场影响日期，代码和参数。

f = ftp('ftp.kissellresearch.com','用户名','pwd'）；mget(f,'MI_Encrypted_Parameters.csv'）；关闭（f）midata =可读取（'MI_Encrypted_Parameters.csv','delimiter',。。。'，','ReadRowNames'，错误的，'ReadVariableNames',true);

Create a Kissell Research Group transaction cost analysis objectk。Specify initial settings for the date, market-impact code, and number of trading days.

k = krg(miData,datetime('today'),1,250);

Load the example dataTradeDataBackTest从文件krgexampledata.mat, which is included with the Datafeed Toolbox™.

loadKrgexampledataTradeDataBackTest

有关示例数据的描述，请参见Kissell Research Group Data Sets。

Prepare Data for Back Testing

Determine the number of stocksnumRecordsin the portfolio.

numRecords = length(TradeDataBackTest.Symbol);

Preallocate the output data tableo。

o = table(TradeDataBackTest.Symbol,TradeDataBackTest.Side,。。。TradeDataBackTest.Date,NaN(numRecords,1),NaN(numRecords,1),。。。'VariableNames'，{'象征','Side','Date','MI','MIDollar'});

Ensure that the number of shares is a positive value using theabsfunction.

TradeDataBackTest.Shares = abs(TradeDataBackTest.Shares);

Convert trade time trade strategy to the percentage of volume trade strategy.

TradeDataBackTest.TradeTime = TradeDataBackTest.TradeTime。。。。* TradeDataBackTest.ADV; TradeDataBackTest.POV = krg.tradetime2pov(TradeDataBackTest.TradeTime,。。。TradeDataBackTest.Shares);

通过估计历史市场影响成本来进行返回测试

Estimate the historical market-impact costs for each stock in the portfolio on different dates usingmarketImpact。Convert market-impact cost from decimal into local dollars. Retrieve the resulting data in the output data tableo。

forii = 1：numRecords k.midate = tradeDataBackTest.date（ii）;K.Micode = TradeDataBackTest.Micode（ii）;o.mi（ii）= marketImpact（k，tradeDataBackTest（ii，:)）;Midollars =（TradeDataBackTest.Shares（ii） * TradeDataBackTest.Price（ii））。。。* o.mi（ii）/10000 *交易databacktest.fxrate（ii）;o.midollar（ii）= midollars;end

显示前三行输出数据。

o(1:3,:)
ans = Symbol Side Date MI MIDollar ______ ____ __________ ____ ________ 'A' 1.00 '5/1/2015' 1.04 103.91 'B' 1.00 '5/1/2015' 3.09 3864.44 'C' 1.00 '5/1/2015' 8.545335.03

The output data contains these variables:

  • Stock symbol

  • Side

  • 历史交易日期

  • Historical market-impact cost in basis points

  • Historical market-impact value in local dollars

参考

[1] Kissell, Robert. “Creating Dynamic Pre-Trade Models: Beyond the Black Box.”Journal of Trading。卷。6，第4号，2011年秋季，第8-15页。

[2] Kissell, Robert. “TCA in the Investment Process: An Overview.”Journal of Index Investing。卷。2, Number 1, Summer 2011, pp. 60–64.

[3] Kissell, Robert.算法交易和投资组合管理科学。马萨诸塞州剑桥：Elsevier/Academic Press，2013年。

[4] Chung, Grace and Robert Kissell. “An Application of Transaction Costs in the Portfolio Optimization Process.”Journal of Trading。卷。11, Number 2, Spring 2016, pp. 11–20.

See Also

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