Enhancing Trading Strategies through Optimization: A Back-Testing and Live Market Implementation

Enhancing Trading Strategies through Optimization: A Back-Testing and Live Market Implementation

Engineering

Adam Barton

2023

In the ever-evolving financial markets, the capability to test and validate trading strategies before their real-world application has become paramount. This research project has designed a robust back testing program utilizing MATLAB, a platform known for its computational efficiency and vast analytical capabilities. The core objective was to simulate historical trading to evaluate the potential profitability and risk of a general trading strategy. Following successful simulations, the results and insights gained from the backtesting were employed to craft a live trading system, designed using the python programming language and connecting to both “paper” and real markets using broker provided API’s (application programming interfaces). Preliminary findings indicate the effectiveness in strategy
development and this research underscores the importance of backtesting in trading strategy development and the seamless integration of such tools in the trading ecosystem.