Reproducibility Package for: Experimental Evaluation of an Algorithmic Trading Strategy Against the S&P 500 Benchmark
收藏DataCite Commons2026-05-06 更新2026-05-07 收录
下载链接：
https://zenodo.org/doi/10.5281/zenodo.20046912
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资源简介：
This repository contains the full reproducibility package for the research paper titled "Experimental Evaluation of an Algorithmic Trading Strategy Against the S&P 500 Benchmark".
The package includes:- MetaTrader 5 backtest reports- Python scripts for Monte Carlo simulation- Extracted trade datasets- Generated performance charts- Benchmark comparison data
The study evaluates a Donchian Channel-based trend-following strategy applied to the US100 index from January 2023 to April 2026 under multiple risk configurations.
Monte Carlo simulation and stress testing are included to assess the robustness of both fixed-risk and dynamic-risk models.
提供机构：
Zenodo
创建时间：
2026-05-06
