Calibrate 3 Models

Example script used to calibrate parameters for the leadlag, rsi, and
wpctr models.

Copyright 2010-2012, The MathWorks, Inc. All rights reserved.

Contents

• Load in data and setup parameters
• leadlag
• rsi
• wpctr
• Parameter summary

Load in data and setup parameters

load oilData
LCO = double(brent);
clearvars -except LCO

LCOClose = LCO(:,4);
cost     = 0.01;     % Bid/ask spread

ts  = generateSpacedInts(1, 420, 25);

% Use all the cores on my laptop
if matlabpool('size') == 0
    matlabpool local
end

leadlag

seq = generateSpacedInts(1, 200, 25);

range = {seq,seq,ts};
annualScaling = sqrt(250*7*60);
llfun =@(x) leadlagFun(x,LCOClose,annualScaling,cost);

tic
[~,param,sh,xyz] = parameterSweep(llfun,range);
toc

leadlag(LCOClose(1:param(3):end),param(1),param(2),...
        sqrt(annualScaling^2/param(3)),cost)
xlabel(['Frequency (',num2str(param(3)),' minute intervals)'])
figure
isoplot(xyz, sh)
[N,M,T] = deal(param(1),param(2),param(3));

Elapsed time is 38.866156 seconds.

rsi

seq2 = generateSpacedInts(1, 100, 10);
range = {seq,seq,80,T};
rfun = @(x) rsiFun(x,LCOClose,annualScaling,cost);

tic
[~,param,sh,xyzt] = parameterSweep(rfun,range);
toc

rsi(LCOClose(1:param(4):end), [param(1) param(2)], param(3), ...
    sqrt(annualScaling^2/param(4)), cost);

[P,Q,thresh] = deal(param(1),param(2),param(3));

Elapsed time is 0.571701 seconds.

wpctr

seq = generateSpacedInts(4, 500, 25);
range = {seq,T};
wfun = @(x) wprFun(x,LCO(:,2:4),annualScaling,cost);

tic
[maxSharpe,param,sh,xy] = parameterSweep(wfun,range);
toc

wpr(LCO(1:param(2):end,2:4),param(1),sqrt(annualScaling^2/param(2)),cost)
xlabel(['Frequency (',num2str(param(2)),' minute intervals)'])

%{
sweepPlotMA(xy{1}, xy{2}, sh)
xlabel('W%R window')
ylabel('Frequency (minutes)')
title('Sharpe ratio as a function of W%R parameters')
%}
R = param(1);

Elapsed time is 0.665918 seconds.

Parameter summary

disp([N M T P Q thresh R])

     1   129   153    22    14    80    24

Published with MATLAB® 7.14