36 lines
951 B
Matlab
36 lines
951 B
Matlab
clear;
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load('inputDataOHLCDaily_stocks_20120424', 'tday', 'stocks', 'op', 'cl');
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e=load('earnannFile', 'earnann', 'tday');
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[tday idx1 idx2]=intersect(tday, e.tday);
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op=op(idx1, :);
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cl=cl(idx1, :);
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earnann=e.earnann(idx2, :);
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lookback=90;
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retC2O=(op-backshift(1, cl))./backshift(1, cl);
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stdC2O=smartMovingStd(retC2O, lookback);
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positions=zeros(size(cl));
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longs=retC2O >= 0.5*stdC2O & earnann;
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shorts=retC2O <= -0.5*stdC2O & earnann;
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positions(longs)=1;
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positions(shorts)=-1;
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ret=smartsum(positions.*(cl-op)./op, 2)/30;
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cumret=cumprod(1+ret)-1;
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plot(cumret);
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fprintf(1, 'Avg Ann Ret=%7.4f Sharpe ratio=%4.2f \n',252*smartmean(ret), sqrt(252)*smartmean(ret)/smartstd(ret));
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fprintf(1, 'APR=%10.4f\n', prod(1+ret).^(252/length(ret))-1);
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[maxDD maxDDD]=calculateMaxDD(cumret);
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fprintf(1, 'Max DD =%f Max DDD in days=%i\n\n', maxDD, round(maxDDD));
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% Avg Ann Ret= 0.0667 Sharpe ratio=1.49
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% APR= 0.0680
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% Max DD =-0.026052 Max DDD in days=109 |