Code covered by the BSD License

# Algorithmic Trading with MATLAB - 2010

### Stuart Kozola (view profile)

22 Nov 2010 (Updated )

Files from the November 18, 2010 webinar.

marsi(price,N,M,Mrsi,thresh,scaling,cost)
```function varargout = marsi(price,N,M,Mrsi,thresh,scaling,cost)
% MA+RSI in function call
%%
% Copyright 2010, The MathWorks, Inc.
if length(Mrsi) == 1
Mrsi = [15*Mrsi Mrsi];
end

[srsi,~,~,ri,ma,thresh] = rsi(price,Mrsi,thresh,scaling,cost);

s = and((sma+1)/2,(srsi+1)/2)*2-1;
r  = [0; s(1:end-1).*diff(price)-abs(diff(s))*cost/2];
sh = scaling*sharpe(r,0);

if nargout == 0
figure
figure
rsi(price,Mrsi,thresh,scaling,cost);

figure
ax(1) = subplot(3,1,1);
['Mov. Avg.',num2str(Mrsi(1))])
title(['MA+RSI Results, Sharpe Ratio = ',num2str(sh,3)])
ax(2) = subplot(3,1,2);
plot([ri,thresh(1)*ones(size(ri)),thresh(2)*ones(size(ri))])
grid on
legend(['RSI ',num2str(Mrsi(2))],'Lower Threshold','Upper Threshold')
title('RSI')
ax(3) = subplot(3,1,3);
plot([s,cumsum(r)]), grid on
legend('Position','Cumulative Return')
title(['Final Return = ',num2str(sum(r),3),' (',num2str(sum(r)/price(1)*100,3),'%)'])
else
%% Return values
for i = 1:nargout
switch i
case 1
varargout{1} = s; % signal
case 2
varargout{2} = r; % return (pnl)
case 3
varargout{3} = sh; % sharpe ratio
case 4
varargout{4} = ri; % rsi signal
case 5
varargout{5} = ma; % moving average
otherwise
warning('RSI:OutputArg',...
'Too many output arguments requested, ignoring last ones');
end %switch
end %for
end
```