...
| Code Block |
|---|
function dailyReturn = dailyReturns ( closingPrices )
n = size(closingPrices , 2);
dailyReturn = zeros(n, 1);
for i = 2:n
dailyReturn(i)= closingPrices(i)-closingPrices(i-1);
end
end |
d)
| Code Block |
|---|
plot(1:10,dailyReturns(closingPrices); |
e)
| Code Block |
|---|
function res = isGoingUp ( n, i, dailyReturn )
res = true ;
for j = i: -1: max (1, i-n +1)
if ( dailyReturn (j) < 0)
res = false ;
return ;
end
end
end |
f)
| Code Block |
|---|
function returns = momentum ( startAmount , n, closingPrices )
dailyReturn = dailyReturns ( closingPrices );
cash = startAmount ;
invested = 0;
for i = n: size ( closingPrices , 2)
invested = invested * closingPrices (i) / closingPrices (i -1) ;
if ( is_going_up (n, i, dailyReturn ))
% Buy
invested = invested + cash ;
cash = 0;
else
% Sell
cash = cash + invested ;
invested = 0;
end
end
returns = cash + invested ;
end
|
g)
| Code Block |
|---|
function res = isGoingDown ( n, i, dailyReturn )
res = true ;
for j = i: -1: max (1, i-n +1)
if ( dailyReturn (j) > 0)
res = false ;
return ;
end
end
end |
h)
| Code Block |
|---|
function res = isGoingDown ( n, i, dailyReturn )
res = true ;
for j = i: -1: max (1, i-n +1)
if ( dailyReturn (j) > 0)
res = false ;
return ;
end
end
end |
| Code Block |
|---|
function returns = contrarian ( startAmount , n, closingPrice )
dailyReturn = dailyReturns ( closingPrice );
cash = startAmount ;
invested = 0;
for i = n: size ( closingPrice , 2);
invested = invested * closingPrice (i) / closingPrice (i -1) ;
if ( is_going_down (n, i, dailyReturn ))
% Buy
invested = invested + cash ;
cash = 0;
else
% Sell
cash = cash + invested ;
invested = 0;
end
end
returns = cash + invested ;
end |