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I need cointegration and correlation script available in matlab to be converted to code to run on linux server. Data shall be from mysql database. Database with data will be provided by me. Refer these links for matlab code
Additional tools / scripts may be used by freelancer to complete the project. Output should be similar to the application at www dot pairtradefinder dot com.
Main requirements are correlation and cointegration scripts to run on the webpage in realtime.
time series analysis – performing Correlations test on the dataset after selecting suitable pairs, back test a trading strategy
return standard deviation from the mean for the highly correlated stocks
to isolate cointegrated pairs (ADF-stationary test, Granger coint test) The cointegration analysis needs to be robust and able to the following at a minimum determine if the series are cointegrated long term but also based on existing GUI (add chart)
• after selecting suitable pairs, back test a trading strategy which uses combination of the spread, historical volatility, delta ratio and a used-defined threshold as to generate signals for buy/sell entry points with fixed stop loss and take profit levels
• The code should also include a REPORT generating function, showing the backtesting results with P& L, max drawdown, number of trades and other performance measures.
• Estimating GARCH models
• Forecasting Volatility
• Estimating Value-at-Risk
I would like to be able to give an input stream of data to this script in real time (from mysql database). The script should be able to input the data and output buy/sell/neutral signals accordingly.