Rebar Futures Wave Range Breakout Strategy

MATLAB 10.99M 249 views 0 downloads 1 credits
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Resource Overview

MATLAB implementation of a wave range breakout strategy for rebar futures, featuring strategy optimization and out-of-sample testing with performance metrics including annualized return, average win rate, and maximum drawdown

Detailed Documentation

This article presents a trading strategy based on price fluctuations in rebar futures markets. We developed a wave range breakout strategy using MATLAB, incorporating optimization techniques to enhance performance. The implementation involves calculating dynamic support and resistance levels based on price volatility, with entry/exit signals generated when prices breach these thresholds. To validate the strategy's effectiveness, we conducted rigorous out-of-sample testing, evaluating key performance indicators such as annualized return, average win rate, and maximum drawdown. These metrics provide comprehensive insights into the strategy's behavior and establish a reliable foundation for future trading decisions. The MATLAB code utilizes financial toolbox functions for data processing and incorporates custom algorithms for wave identification and breakout detection.

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