Flipping Trade Signals
Simulation to explore changing all long trade signals to short on a geometric brownian motion path.
You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
Generates GBM curve with specified drift and volatility parameters.
Trade entries are modeled through a zero-intelligence model assuming a Poisson arrival process for trades conditioned on a set number of trades on the GBM curve.
All credit for the GBM curve generator goes to http://www-math.bgsu.edu/~zirbel/sde/
This code is uploaded for this blog post:
http://hanwangquant.blogspot.com/2011/06/flipping-trade-signals.html
Cite As
Han (2026). Flipping Trade Signals (https://au.mathworks.com/matlabcentral/fileexchange/31948-flipping-trade-signals), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.1.0.0 (2.67 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
