33 lines
1.1 KiB
Matlab
33 lines
1.1 KiB
Matlab
clear;
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% 1 minute data on EWA-EWC
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load('inputData_ETF', 'tday', 'syms', 'cl');
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idxG=find(strcmp('GLD', syms));
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idxU=find(strcmp('USO', syms));
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x=cl(:, idxG);
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y=cl(:, idxU);
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lookback=20; % Lookback is set arbitrarily
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ratio=y./x;
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ratio(1:lookback)=[]; % Removed to have same test set as price spread and log price spread strategies
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x(1:lookback)=[];
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y(1:lookback)=[];
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plot(ratio);
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%
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% Apply a simple linear mean reversion strategy to GLD-USO
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numUnits=-(ratio-movingAvg(ratio, lookback))./movingStd(ratio, lookback); % units invested in the portfolio. movingAvg and movingStd are functions from epchan.com/book2
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positions=repmat(numUnits, [1 2]).*[-ones(size(x, 1), 1) ones(size(x, 1), 1)]; % positions in dollar invested
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pnl=sum(lag(positions, 1).*([x y]-lag([x y], 1))./lag([x y], 1), 2); % daily P&L of the strategy
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ret=pnl./sum(abs(lag(positions, 1)), 2);
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ret(isnan(ret))=0;
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figure;
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plot(cumprod(1+ret)-1); % Cumulative compounded return
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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=-0.141522 Sharpe=-0.746663
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