写论文第六天：MATLAB之leadlag函数

function varargout = leadlag(P,N,M,scaling,cost)%LEADLAG returns a trading signal for a simple lead/lag ema indicator%Leadlag函数返回一组交易信号，这组信号分别是以lead、lag为移动均线指标。ema：Exponential Moving Average，即指数平均数指标。%   LEADLAG returns a trading signal for a simple lead/lag exponential%   moving-average technical indicator.%%   S = LEADLAG(PRICE) returns a trading signal based upon a 12-period%   lead and a 26-period lag.  This is the default value used in a MACD%   indicator.  S is the trading signal of values -1, 0, 1 where -1 denotes%   a sell (short), 0 is neutral, and 1 is buy (long).%S返回一组基于12日的交易日的lead和一个26日lag均线，这是空缺值时应用的MACD指标。S是一组交易信号，它由-1,0,1组成，-1代表卖出，0代表中性，1代表买入。%   S = LEADLAG(PRICE,N,M) returns a trading signal for a N-period lead and%   a M-period lag.%PRICE输入数据，N、M分别为两个周期，前者小于后者。%   [S,R,SH,LEAD,LAG] = LEADLAG(...) returns the trading signal S, the%   absolute return in R, the Sharpe Ratio in SH calcualted using R, and%   the LEAD or LAG series.%LEADLAG函数返回交易信号S、绝对收益R、夏普收益SH、LEAD和LAG%   EXAMPLE:%   % IBM%     load ibm.dat%     [s,~,~,lead,lag] = leadlag(ibm(:,4));%     ax(1) = subplot(2,1,1);%     plot([ibm(:,4),lead,lag]);%     title('IBM Price Series')%     legend('Close','Lead','Lag','Location','Best')%     ax(2) = subplot(2,1,2);%     plot(s)%     title('Trading Signal')%     set(gca,'YLim',[-1.2 1.2])%     linkaxes(ax,'x')%例子：载入IBM数据%求解：交易信号S、lead、lag%第一幅图：数据、lead、lag%第二幅图：交易信号%set函数：绘图，详细请见set函数%linkaxes函数：同比例调整大小%   % Disney%     load disney%     dis_CLOSE(isnan(dis_CLOSE)) = [];%     [s,~,~,lead,lag] = leadlag(dis_CLOSE);%     ax(1) = subplot(2,1,1);%     plot([dis_CLOSE,lead,lag]);%     title('Disney Price Series')%     legend('Close','Lead','Lag','Location','Best')%     ax(2) = subplot(2,1,2);%     plot(s)%     title('Trading Signal')%     set(gca,'YLim',[-1.2 1.2])%     linkaxes(ax,'x')%%   See also movavg, sharpe, macd%%% Copyright 2010, The MathWorks, Inc.% All rights reserved.%% Process input argsif ~exist('scaling','var')    scaling = 1;end%如果不存在scaling，给其赋值1if ~exist('cost','var')    cost = 0;end%如果不存在cost，给其赋值0if nargin < 2    % defualt values    M = 26;    N = 12;elseif nargin < 3    error('LEADLAG:NoLagWindowDefined',...        'When defining a leading window, the lag must be defined too')end %if%nargin用来判断变量个数，详细请见：http://blog.csdn.net/colddie/article/details/6447159%如果变量小于2，则M=26，N=12%如果变量等于2，报错%% Simple lead/lag ema calculationif nargin > 0    s = zeros(size(P));    [lead,lag] = movavg(P,N,M,'e');    s(lead>lag) = 1;    s(lag>lead) = -1;    r  = [0; s(1:end-1).*diff(P)-abs(diff(s))*cost/2];    sh = scaling*sharpe(r,0);    %如果变量大于0，s为维度与P（带入值）相同的元素全部为0的矩阵%lead，lag日线值分别求出并保存变量，这里用到了movavg函数，详细请见movavg函数%短期大于长期为1，反之为-1，r为实际收益减去成本%sh为年化夏普变量，scaling为日期值    if nargout == 0 % Plot        %% Plot results        ax(1) = subplot(2,1,1);        plot([P,lead,lag]); grid on        legend('Close',['Lead ',num2str(N)],['Lag ',num2str(M)],'Location','Best')        title(['Lead/Lag EMA Results, Annual Sharpe Ratio = ',num2str(sh,3)])        ax(2) = subplot(2,1,2);        plot([s,cumsum(r)]); grid on        legend('Position','Cumulative Return','Location','Best')        title(['Final Return = ',num2str(sum(r),3),' (',num2str(sum(r)/P(1)*100,3),'%)'])        linkaxes(ax,'x')%nargout：返回函数输出参数的数量，详细请见：http://blog.sina.com.cn/s/blog_4c0cc1150100mnq0.html    else        for i = 1:nargout            switch i                case 1                    varargout{1} = s;                case 2                                        varargout{2} = r;                case 3                    varargout{3} =  sh;                case 4                    varargout{4} = lead;                case 5                    varargout{5} = lag;                otherwise                    warning('LEADLAG:OutputArg',...                        'Too many output arguments requested, ignoring last ones');            end %switch        end %for    end %ifelse%输出5个位置的变量，第一个为交易信号、第二个为收益、第三个为夏普收益率、第四第五为lead、lag    %% Run Example    example(1:2)end %if%% Examplesfunction example(ex)for e = 1:length(ex)    for e = 1:length(ex)        switch ex(e)            case 1                figure(1), clf                load ibm.dat                [s,~,~,lead,lag] = leadlag(ibm(:,4));                ax(1) = subplot(2,1,1);                plot([ibm(:,4),lead,lag]);                title('IBM Price Series')                legend('Close','Lead','Lag','Location','Best')                ax(2) = subplot(2,1,2);                plot(s)                title('Trading Signal')                set(gca,'YLim',[-1.2 1.2])                linkaxes(ax,'x')            case 2                figure(2),clf                load disney                dis_CLOSE(isnan(dis_CLOSE)) = [];                [s,~,~,lead,lag] = leadlag(dis_CLOSE);                ax(1) = subplot(2,1,1);                plot([dis_CLOSE,lead,lag]);                title('Disney Price Series')                legend('Close','Lead','Lag','Location','Best')                ax(2) = subplot(2,1,2);                plot(s)                title('Trading Signal')                set(gca,'YLim',[-1.2 1.2])                linkaxes(ax,'x')        end %switch    end %forend %for