Create metrics by analyzing all asset classes and data
Evaluate dance-type investment strategies

MathWorks announced today a new backtesting framework for its Financial Toolbox, which will allow investment managers, risk managers, and traders to better utilize the toolbox for risk, investment, and portfolio management.
The framework can analyze results and generate performance metrics for strategies derived from historical or simulated market data. The toolbox supports custom transaction costs, extended or rolling lookback windows, margin trading, and long/short portfolios.

The Financial Toolbox provides functions for mathematically modeling and statistically analyzing financial data. You can analyze, backtest, and optimize investment portfolios by considering deposit turnover, transaction costs, semi-continuous constraints, and defined minimum or maximum asset counts. Financial professionals use it to estimate risk, model credit scores, analyze yield curves, fixed income instruments and European options, and measure investment performance.

“The Financial Toolbox enables investment managers, risk managers, and traders to evaluate investment strategies across all asset classes and all data sources, including alternative data sets, while continuing to work in a familiar, fully transparent, yet customizable MATLAB environment,” said Stuart Kozzola, Financial Product Line Manager.