% Develop a trading signal and performance measures. We'll assume 250
% trading days per year.
s = zeros(size(BundClose));
s(lead>lag) = 1; % Buy (long)
s(lead<lag) = -1; % Sell (short)
r = [0; s(1:end-1).*diff(BundClose)]; % Return
sh = sqrt(250)*sharpe(r,0); % Annual Sharpe Ratio
if I am to use minute data(NOT DAILY as used in the example) does that mean i have to adjust the sharpe annual scaling as well?
This is a lot of stuff in very compact form. Thanks for this good example.
Just one comment: If you publish examples you should take the work to make them correct or even tell the user that it is delivering wrong results and can not be used (see Javier comment).