Matlab Functions
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R - Cointegration Test using Augmented Dicky Fuller, Takes exports from Multicharts
This is a co-integration test that uses the ADF method. It takes daily time frame exports from multicharts, it requires 2 instruments that have been exported over the same time frame. The threshold here for significance is <5% or 95% confidence in co integration/ mean reversion.

It provides you with the following output

Date range
Assumed hedge ratio Beta
ADF p-value
is your pairs mean reverting in text.
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Details: R - Cointegration Test using Augmented Dicky Fuller, Takes exports from Multicharts

March 15th, 2013
Size: 2.24 KB
Downloaded: 39 times
Cycles - Hilbert Huang Transform (HHT) 5 *
My research into the theory of Cycles leads me to believe that the Hilbert Huang Transform is one of the best methods that currently exists for teasing cycles out of data. It is a bit complicated but certainly not beyond many of the great minds here at BMT

I am including nearly my entire library of HHT material for your convenience. In addition to the Matlab .m files there are a number of scholarly papers. Several are by Huang, several from other authors.

I cannot use the Matlab scripts as they stand. My sincere hope is that the awesome talent here on BMT will convert the scripts to Ninja for the benefit of all. I believe it will be a bit of a project but I believe it will be worth the effort.

Please contact me via PM if you acquire an interest in this material and want to get something going. We can start a thread and see where it goes. I ask for the PM because I will not be able to conveniently see when a new thread on this topic is started - and I hope to watch it play out !!
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Details: Cycles - Hilbert Huang Transform (HHT)

July 31st, 2012
Size: 29.67 MB
Downloaded: 94 times
ALGLIB mathematical library for NinjaTrader, version 3.5.0

This is the entire ALGLIB 3.5.0 library packaged into a single NinjaTrader "indicator".


It doesn't actually "indicate" anything, but its routines are exposed via the "ALGLIB" namespace, and can be called from NinjaTrader indicators and strategies.

To use, you need a "using" statment in your code. i.e.:

using ALGLIB;

For usage examples, see my "CADF" indicator posted in the elite downloads section.
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Details: ALGLIB

May 16th, 2012
Size: 629.94 KB
Downloaded: 115 times
Downloading IB quotes with R 5 *
Ok, not very MatLab, but MatLab, R, ...
This simple script download historical data from IB (360 days, 1 minutes bar) for all SP500 stocks, without risking the "Pace violation ..." from IB. The files are wrote in the user home directory.
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Details: Downloading IB quotes with R

May 17th, 2010
Size: 3.16 KB
Downloaded: 269 times

Keywords: ib tws r historical


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