79 lines
2.3 KiB
Matlab
79 lines
2.3 KiB
Matlab
clear;
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lookback1=30;
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lookback2=40;
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load('inputDataOHLCDaily_20120504', 'syms', 'tday', 'cl');
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cl=cl(:, strcmp('CL', syms));
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% longs= cl < lag(cl, lookback1) & cl > lag(movingAvg(cl, lookback2), 1);
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% shorts=cl > lag(cl, lookback1) & cl < lag(movingAvg(cl, lookback2), 1);
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% longs= cl > lag(cl, lookback2);
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% shorts= cl < lag(cl, lookback2);
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longs= cl < backshift(lookback1, cl) & cl > backshift(lookback2, cl);
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shorts=cl > backshift(lookback1, cl) & cl < backshift(lookback2, cl);
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% longs= cl < lag(cl, lookback1) ;
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% shorts=cl > lag(cl, lookback1) ;
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positions=zeros(size(cl));
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positions(longs)=1;
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positions(shorts)=-1;
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% ret=lag(positions, 1).*(cl-lag(cl, 1))./lag(cl, 1);
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ret=backshift(1, positions).*(cl-backshift(1, cl))./backshift(1, cl);
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ret(isnan(ret))=0;
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plot(cumprod(1+ret)-1, 'r'); % Cumulative compounded return
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dateaxis('X', 12, datenum(num2str(tday(1)), 'yyyymmdd'));
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hold on;
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fprintf(1, 'APR=%f Sharpe=%f\n', prod(1+ret).^(252/length(ret))-1, sqrt(252)*mean(ret)/std(ret));
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% APR=0.117600 Sharpe=1.100368
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% Momentum only
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longs= cl > backshift(lookback2, cl);
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shorts=cl < backshift(lookback2, cl);
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positions=zeros(size(cl));
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positions(longs)=1;
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positions(shorts)=-1;
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ret=backshift(1, positions).*(cl-backshift(1, cl))./backshift(1, cl);
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ret(isnan(ret))=0;
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plot(cumprod(1+ret)-1, 'g'); % Cumulative compounded return
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% Reversal only
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longs= cl < backshift(lookback1, cl);
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shorts=cl > backshift(lookback1, cl);
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positions=zeros(size(cl));
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positions(longs)=1;
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positions(shorts)=-1;
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ret=backshift(1, positions).*(cl-backshift(1, cl))./backshift(1, cl);
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ret(isnan(ret))=0;
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plot(cumprod(1+ret)-1, 'k'); % Cumulative compounded return
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legend('Combo', 'Momentum', 'Reversal');
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longs= cl < backshift(lookback1, cl) | cl > backshift(lookback2, cl);
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shorts=cl > backshift(lookback1, cl) | cl < backshift(lookback2, cl);
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% longs= cl < lag(cl, lookback1) ;
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% shorts=cl > lag(cl, lookback1) ;
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positions=zeros(size(cl));
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positionsL=zeros(size(cl));
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positionsS=zeros(size(cl));
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positionsL(longs)=1;
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positionsS(shorts)=-1;
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positions=positionsL+positionsS;
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% ret=lag(positions, 1).*(cl-lag(cl, 1))./lag(cl, 1);
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ret=backshift(1, positions).*(cl-backshift(1, cl))./backshift(1, cl);
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ret(isnan(ret))=0;
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plot(cumprod(1+ret)-1, 'c'); % Cumulative compounded return
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legend('ComboAND', 'Momentum', 'Reversal', 'ComboOR');
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hold off;
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