I want to share with you a trading tool that I built in MATLAB. I find it quite useful for backtesting a statistical arbitrage strategy on a particular spread. For example, take the spread 4*FDX-5*UPS. Here it is in Spread Analyzer.
The code takes inputs like entry levels, exit levels, and stop-losses. The output is a graph that looks like this, where the blue line is the level of the spread, the green line is a moving average, and the red line is the cumulative P&L of the strategy:
Using this tool allows you to test your parameters to see which entry levels, exit levels, and stop-losses as well as which lookback periods perform the best on each spread. It can also be embedded in a script so you can run it on a portfolio of spreads for the same parameters. This would allow you to analyze your parameters quickly over a larger group of spreads.
What do you think? Would you want to have access to this tool? Anything else you would want this tool to perform?