I want to build a strategy tester by Matlab; I hope this tester can test any strategy according to stocks' data; and the strategy can give signal---'buy/sell/close' according to the data; How shall I build this strategy tester better? Or is there some proper function on Matlab to do this?
As far as I know, Matlab does not have a specific function to test strategy. I have some idea to test a strategy, the detail is here http://www.elitetrader.com/et/index...s-machine-learning.296651/page-3#post-4224235
http://www.mathworks.com/matlabcent...testing-code-for-algorithmic-trading-strategy Also, I believe Ernie Chan distributes Matlab code at his workshops. http://www.epchan.com/workshops/