Cody

# Problem 45884. Algorithmic Trading - 3 (short selling and leverage)

Solution 3561545

Submitted on 6 Nov 2020 by 埃博拉酱
• Size: 44
• This is the leading solution.
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### Test Suite

Test Status Code Input and Output
1   Pass
filetext = fileread('algo_trading_03.m'); filetext(find(filetext == '%', 1, 'last') : end) = []; assert(isempty(strfind(filetext, '&gt;')), 'File handling is forbidden.'); assert(isempty(strfind(filetext, 'eval')), 'Eval forbidden.'); assert(isempty(strfind(filetext, 'regexp')), 'Regexp forbidden.'); assert(isempty(strfind(filetext, '!')), 'Shell commands are forbidden.'); assert(isempty(strfind(filetext, 'mlock')), 'mlock is forbidden.'); assert(isempty(strfind(filetext, 'munlock')), 'munlock is forbidden.'); assert(isempty(strfind(filetext, '@')), 'Anonymous functions are forbidden.');

2   Pass
P = [111.03 112.59 112.97 113.10 113.78 114.64 115.27 114.90 114.63 114.37 114.82 113.21 113.39 112.96 113.83 113.83 111.92 112.67 114.25 114.36 114.20 114.30 112.82 111.83 110.96 112.15 112.06 112.78 111.81 109.96 108.83 109.75 110.45 109.99 110.04 109.10 109.65 109.27 109.62 109.81 110.27 111.85 112.24 112.87 112.86 112.71 113.13 112.09 112.98 114.70 114.86 113.79 114.35 113.22 114.02 114.00 113.83 113.63 113.20 113.77 114.75 114.39 113.84 113.45 113.92 114.53 112.94 112.88 111.89 112.22 111.44 111.73 111.78 111.86 111.52 110.80 110.71 110.24 111.64 109.58 109.88 108.96 108.75 109.77 110.10 110.57 110.84 111.07 110.21 110.20 108.40 106.85 107.00 108.38 108.16 106.98 107.19 108.30 108.91 110.03 109.71 110.48 110.20 110.35 111.10 111.10 111.45 110.53 111.11 111.32 112.58 112.12 112.86 112.58 112.48 113.06 113.43 113.66 112.80 113.14 113.15 112.47 112.96 111.55 110.95 111.46 110.75 111.28 111.84 111.76 113.65 113.84 113.90 114.68 113.45 112.51 112.97 112.53 111.54 110.64 111.26 111.68 110.74 110.52 111.24 109.99 109.86 111.54 112.88 113.22 113.20 113.51 113.55 114.98 116.55 117.28 117.11 116.88 116.97 117.86 118.79 118.73 117.88 118.58 118.74 117.42 117.98 118.16 118.44 118.35 117.81 117.89 119.23 119.33 119.25 119.21 118.10 118.79 119.21 119.33 120.37 120.79 120.88 120.81 119.44 119.47 120.39 120.68 120.77 120.52 121.18 121.36 121.13 120.87 120.30 118.83 118.01 118.61 118.44 119.00 118.18 118.57 117.62 118.24 119.47 118.22 117.50 116.78 116.55 116.88 117.23 117.43 117.43 118.16 118.91 119.27 118.96 120.23 120.07 120.21 119.31 119.74 120.77 120.68 121.13 121.21 120.23 120.39 118.60 119.45 120.24 121.43 120.63 121.23 121.17 121.22 122.73 122.79 122.33 120.97 121.24 120.39 121.14 120.14 119.12 119.36 118.54 118.10 116.90 117.00 117.14 117.31 116.53 118.18 117.96 117.43 117.63 118.19 118.60 119.24 118.00 118.09 118.70 117.30 115.77 114.15 114.50 115.41 113.80 116.01 115.57 116.33 115.20 115.65 114.20 115.75 116.40 116.60 117.50 117.46 117.09 117.82 116.60 117.24 115.95 115.72 116.80 117.58 118.79 119.29 119.12 119.78 119.50 119.41 120.05 120.25 119.48 120.50 120.76 120.15 120.04 120.13 119.91 120.48 120.20 120.58 120.86 121.09 121.40 121.36 121.40 121.47 121.57 119.86 118.98 119.15 120.15 119.83 119.18 119.53 120.49 119.48 119.95 121.32 121.94 122.26 122.43 122.91 122.84 122.35 123.02 123.44 122.72 123.54 123.19 123.34 123.79 124.57 123.74 123.65 124.39 124.72 123.72 122.88 122.65 123.39 123.33 123.82 123.06 123.82 122.21 122.20 122.19 122.47 122.47 122.24 121.15 121.59 120.76 121.69 121.05 122.58 122.49 122.27 123.70 123.91 123.50 124.60 124.35 123.66 123.21 123.15 123.50 123.09 122.05 120.91 121.34 121.44 121.58 121.55 121.67 122.66 123.04 122.60 121.22 119.63 119.20 119.61 118.60 118.43 117.50 117.43 118.67 119.11 117.82 119.78 117.67 118.13 119.96 119.72 119.37 118.10 119.80 120.13 120.49 121.75 122.27 122.11 122.23 122.23 122.39 123.34 123.76 123.69 123.24 123.49 124.64 125.13 125.76 126.30 127.03 127.13 126.23 126.09 125.41 126.69 126.85 126.58 126.82 126.08 126.00 126.33 126.45 127.31 127.81 127.44 126.36 125.71 125.83 126.03 126.69 126.76 125.47 125.75 125.19 124.51 126.70 127.30 127.38 128.44 128.77 128.90 129.31 128.80 128.68 128.33 127.82 128.31 125.97 126.42 126.55 126.66 127.36 128.54 128.44 127.50 128.39 126.90 126.27 126.60 125.48 126.62 126.41 126.64 126.41 127.75 128.20 129.16 128.81 128.49 129.27 129.08 129.41 129.46 128.23 129.37 129.36 128.76 128.17 127.97 128.24 127.38 128.59 128.83 130.18 130.76 131.03 130.62 130.41 129.59 130.38 130.11 130.21 130.02 129.22 130.03 129.80 129.83 129.73 130.56 131.01 130.87 129.54 129.74 128.64 128.88 128.71 128.66 130.70 130.95 131.13 131.15 130.91 130.37 130.40 131.03 131.47 130.40 131.38 130.89 131.36 132.52 132.36 132.62 132.55 130.95 129.24 129.50 129.31 126.85 126.21 127.10 126.13 125.17 126.17 127.73 128.38 126.10 127.51 128.73 129.00 127.12 126.81 125.86 125.75 125.35 123.99 122.55 123.50 126.12 124.65 123.67 124.09 125.01 124.46 124.44 124.99 123.91 124.75 127.27 127.28 127.80 127.07 127.44 126.61 126.85 127.41 126.05 124.00 123.52 123.34 123.97 125.69 124.83 123.95 126.21 126.66 126.83 126.71 127.98 127.85 127.22 128.08 128.42 128.20 127.90 127.41 126.98 127.37 127.01 127.11 128.63 129.70 130.03 130.69 130.13 130.12 129.76 129.65 129.81 130.43 130.58 130.66 130.64 131.42 131.67 130.51 129.91 130.28 130.41 131.69 132.22 132.23 131.96 132.14 131.81 132.51 131.87 131.47 132.48 133.58 133.74 133.69 133.58 133.08 133.36 134.92 135.18 135.01 135.09 135.27 135.11 136.28 136.63 136.84 136.41 136.59 136.81 136.84 137.47 137.88 138.35 138.78 137.91 137.81 137.79 136.86 136.78 136.54 138.08 138.61 138.91 138.18 138.24 138.58 139.62 140.02 140.38 140.42 140.50 140.64 140.92 140.35 138.42 139.02 140.47 140.53 140.22 141.29 141.90 141.78 141.16 141.42 141.83 141.72 141.87 143.12 142.34 141.95 142.22 142.14 141.62 140.75 141.58 142.51 142.21 141.62 141.37 141.67 140.54 141.19 141.07 141.54 142.16 143.24 142.96 143.02 142.54 142.82 142.38 142.80 143.95 142.26 142.13 142.05 142.79 143.75 144.61 144.81 144.85 144.89 145.21 145.02 143.94 143.45 144.66 145.61 145.80 145.73 146.04 145.98 145.87 145.30 145.17 139.50 140.93 140.51 138.67 137.35 139.70 139.56 140.74 140.78 140.99 138.25 139.28 139.47 138.53 140.20 140.97 143.29 143.18 143.39 143.20 142.86 141.82 141.97 142.00 142.16 143.69 143.85 144.24 144.44 144.61 144.02 144.66 145.32 146.70 147.09 147.27 147.23 148.62 148.06 148.12 149.48 149.65 149.53 148.29 148.67 149.54 150.35 150.92 150.95 150.75 151.16 149.58 150.86 150.53 150.57 151.60 151.30 152.62 152.54 152.42 152.44 151.06 151.69 152.24 153.48 153.32 154.08 154.10 153.49 151.84 149.10 151.04 151.30 149.65 151.89 152.86 153.07 152.89 153.27 151.14 151.98 150.55 149.83 148.29 150.40 150.38 150.43 151.79 152.34 152.18 152.98 153.10 150.92 151.99 154.39 154.85 154.83 154.75 154.47 155.07 153.50 153.97 151.30 151.61 148.02 145.11 147.38 145.72 146.43 147.60 143.80 146.21 147.77 149.83 145.39 144.71 145.23 143.01 141.04 142.10 144.71 144.64 144.93 146.65 146.52 148.33 146.95 143.72 146.54 146.15 147.59 149.08 147.79 148.13 146.07 145.79 147.49 147.87 148.91 148.90 148.10 152.46 153.36 152.28 151.97 151.69 151.39 152.19 153.09 152.58 154.30 154.09 153.78 154.02 155.85 155.02 156.48 156.22 155.47 156.33 155.01 153.78 154.25 153.69 149.67 150.54 151.76 151.48 151.84 153.62 154.13 153.06 154.65 151.03 151.20 150.05 152.07 147.91 147.16 145.14 143.70 148.08 147.67 145.54 145.79 143.76 144.64 141.68 144.13 140.95 142.57 147.13 147.18 148.66 147.68 146.36 148.81 150.94 150.91 152.08 147.91 149.37 149.06 147.17 145.07 145.88 145.88 146.80 148.13 149.23 149.55 147.67 147.30 146.21 144.93 144.86 141.31 141.19 138.91 140.37 141.29 140.15 141.28 138.17 136.98 133.43 132.06 130.72 133.86 134.99 133.04 135.24 135.91 134.91 137.37 139.58 137.82 134.13 133.05 133.93 133.07 133.75 134.99 136.37 135.17 135.14 135.52 135.92 134.79 135.62 137.33 138.36 138.22 136.87 133.82 133.50 132.99 133.83 131.06 129.71 128.00 132.60 131.36 131.65 129.61 128.30 133.63 130.32 132.08 134.72 134.85 133.20 132.78 131.51 131.97 136.61 136.70 137.04 136.89 136.96 136.82 135.83 136.02 133.38 132.93 133.24 136.85 137.05 138.48 138.55 137.94 137.72 138.32 139.60 139.63 139.08 138.26 141.12 141.51 140.83 142.05 139.52 139.16 138.90 140.46 140.48 140.77 142.53 142.66 143.05 141.89 139.49 139.51 137.64 138.66 139.30 140.00 140.35 138.90 138.09 138.02 140.78 136.29 136.62 135.94 133.94 134.45 136.15 136.23 135.57 134.25 134.42 131.58 131.45 131.19 131.81 128.23 127.53 127.98 128.38 126.18 126.31 125.02 127.24 124.79 125.30 123.84 122.72 120.99 123.96 125.20 125.98 126.05 127.48 128.17 125.51 125.48 123.64 126.28 128.53 126.83 126.16 124.99 128.36 128.93 127.01 129.37 130.71 129.35 128.57 129.54 130.17 128.39 126.99 127.58 127.80 129.65 127.02 127.39 128.63 130.19 128.79 127.99 127.88 124.03 124.42 126.99 123.22 123.72 125.51 126.09 120.09 122.10 116.61 120.07 124.12 121.31 118.55 118.93 120.79 120.85 111.38 115.99 116.06 111.85 110.34 104.72 100.03 97.51 90.70 88.50 101.35 99.85 90.02 93.77 93.21 98.81 95.86 90.64 91.69 87.04 83.95 93.76 93.08 96.30 96.83 97.11 100.41 96.19 90.86 93.86 92.63 89.77 85.82 91.17 86.62 85.47 87.08 81.50 75.45 79.52 85.03 85.66 88.97 90.09 82.11 85.27 87.32 85.30 87.93 91.00 89.50 90.11 87.94 88.99 87.75 91.88 90.99 89.29 88.19 87.06 86.16 86.66 87.16 86.91 88.97 90.24 92.96 92.85 93.47 90.67 91.04 89.09 86.95 87.11 84.37 84.40 85.06 80.57 84.05 82.75 83.11 83.68 84.53 87.39 84.55 82.83 82.58 83.74 83.33 84.57 86.98 87.10 83.11 83.60 83.66 82.76 79.22 79.03 78.18 77.42 74.65 77.48 76.87 75.62 73.93 70.60 70.07 71.73 68.80 68.92 68.11 72.17 72.64 75.50 76.09 75.86 78.18 79.93 78.94 76.71 82.22 80.60 81.45 83.11 81.61 78.79 79.52 81.06 83.43 84.26 83.60 81.65 82.53 85.81 85.83 84.35 85.25 86.50 87.08 83.43 85.06 84.54 85.37 86.66 85.84 85.57 87.39 87.42 87.89 90.88 90.57 92.14 90.86 92.98 91.24 90.97 88.68 89.44 88.71 91.23 91.12 90.51 89.21 89.02 91.30 89.67 90.92 92.53 94.77 94.85 93.65 94.53 94.55 94.16 94.64 94.40 94.82 95.08 92.90 91.64 91.55 92.22 92.04 89.28 89.35 90.12 92.08 91.84 92.70 91.95 92.33 89.81 89.80 88.06 88.00 88.17 87.96 90.10 90.61 93.26 93.11 94.13 95.13 95.57 95.55 97.66 98.06 98.35 97.89 97.65 98.67 98.81 100.44 100.70 100.41 99.89 101.20 100.99 99.73 100.80 101.57 100.79 98.31 99.09 99.96 100.99 102.97 102.96 103.16 103.17 103.40 103.38 102.46 100.20 99.82 100.65 102.06 102.94 103.73 104.79 104.77 105.28 105.72 107.32 107.16 106.72 106.45 107.07 106.18 105.01 104.45 106.32 106.00 105.59 102.97 102.49 104.02 105.51 105.80 106.61 107.26 107.68 107.46 109.31 109.71 108.89 109.79 109.21 108.23 109.33 108.08 106.91 106.42 104.41 106.65 103.56 104.32 104.65 104.92 106.85 107.13 109.57 109.59 110.15 109.03 109.62 111.21 111.34 111.27 109.82 109.43 110.82 110.99 111.38 109.57 109.94 111.30 111.25 110.38 111.01 110.84 109.61 110.02 110.64 111.11 111.87 111.35 111.52 110.18 110.21 111.33 111.73 111.95 112.48 112.72 112.56 112.52 111.44 113.33 113.63 113.71 114.19 114.57 114.73 113.66 114.62 114.93 113.64 115.06 113.89 111.70 109.21 109.77 109.31 109.83 108.57 107.39 109.06 110.38 109.83 106.44 106.66 105.89 107.22 107.01 108.13 108.04 109.74 110.26 110.91 111.14 111.16 109.81 110.82 110.67 110.74 111.89 112.20 112.30 112.64 114.25 114.27 114.46 114.97 115.45 115.46 115.49 116.41 117.10 117.04 115.97 116.59 117.41 116.84 116.65 116.58 117.32 117.40 117.00 117.80 118.76 119.04 118.36 118.77 119.55 119.74 119.83 121.19 121.29 119.36 119.81 120.88 120.66 121.02 121.81 121.35 118.48 119.38 120.86 118.81 120.35 117.52 116.82 112.94 111.26 116.16 115.83 117.45 115.99 113.89 113.95 112.40 111.76 107.54 109.11 107.71 107.82 107.17 110.76 109.37 107.53 110.33 110.71 106.82 105.49 106.62 106.05 109.15 109.68 109.51 112.00 111.96 112.14 111.73 111.41 109.57 109.23 107.42 107.87 107.53 104.21 103.22 102.76 102.20 102.87 106.11 107.16 107.96 108.03 109.66 109.65 109.68 106.66 107.29 108.48 107.07 109.46 110.41 111.56 111.55 110.83 110.29 110.27 112.76 112.22 112.97 112.85 112.39 112.99 112.38 109.30 108.63 108.31 108.26 109.59 109.79 107.88 107.53 107.12 105.53 105.94 105.23 106.86 105.31 105.31 108.46 109.47 110.89 109.64 110.41 110.92 111.48 112.72 112.65 113.08 113.05 112.49 114.21 113.98 113.42 112.50 114.82 114.27 114.67 114.47 114.13 114.61 113.75 116.04 116.03 115.89 116.54 116.65 117.01 117.92 117.46 117.70 118.28 116.73 117.87 118.13 118.35 118.70 118.72 118.38 118.40 118.49 118.53 119.47 119.95 122.26 122.72 122.49 121.61 122.10 121.64 120.20 120.03 118.16 118.22 119.96 120.29 120.19 118.45 120.20 118.80 119.16 118.49 121.01 122.56 122.89 122.76 122.83 123.28 123.76 124.48 124.56 124.67 124.10 124.82 124.30 124.60 125.39 125.78 125.60 125.65 125.83 125.92 125.72 125.75 127.05 126.98 127.64 127.39 127.14 126.98 127.43 128.58 128.37 129.30 129.52 128.25 128.08 128.37 129.10 129.17 129.67 129.99 127.72 128.68 130.74 130.49 130.78 131.15 131.97 132.57 132.27 132.32 133.11 133.43 133.01 133.85 134.25 134.53 131.83 131.02 130.93 132.33 133.15 130.93 131.21 133.47 132.47 131.43 132.58 132.39 129.94 130.84 130.05 128.56 126.18 127.85 127.76 129.74 129.29 129.66 130.90 131.30 130.98 131.86 132.77 132.59 133.15 133.26 133.24 133.66 133.32 132.86 132.46 131.47 131.46 131.56 132.04 130.56 131.31 133.10 133.78 133.64 134.79 135.67 136.11 136.43 136.22 135.73 134.83 133.61 134.20 134.72 135.87 134.44 135.08 134.04 133.19 133.17 134.36 134.68 133.61 132.06 131.95 132.39 133.00 133.51 134.90 131.87 131.73 130.42 129.04 128.96 128.42 129.40 127.60 127.70 129.32 127.02 127.30 127.05 127.70 129.45 128.67 128.30 126.81 127.94 129.61 130.72 131.97 133.92 133.81 133.97 135.36 134.40 131.97 131.40 131.84 130.93 131.69 130.61 132.73 132.65 134.49 134.58 133.83 133.33 130.60 130.22 129.33 128.78 125.49 126.17 120.26 120.08 112.26 117.48 112.29 117.33 118.12 120.62 119.59 119.67 114.51 112.64 112.73 116.44 118.08 116.28 117.97 121.36 121.68 122.22 120.94 117.85 116.99 120.29 119.04 115.92 116.67 117.74 119.37 121.43 121.52 120.31 120.17 116.63 112.86 113.54 116.24 117.54 115.14 116.05 113.15 109.93 112.34 114.42 116.49 115.71 119.58 119.70 120.75 120.51 122.57 120.23 122.58 121.13 121.66 123.97 125.49 123.05 124.30 128.63 128.60 125.50 122.00 123.99 126.25 125.48 126.26 127.88 123.16 124.32 126.66 125.46 126.08 124.08 122.11 121.98 119.66 119.19 116.56 116.34 119.71 120.05 124.99 124.97 124.86 126.22 126.26 126.73 123.95 126.05 124.21 123.05 121.74 122.18 121.59 120.29 123.93 124.17 125.27 126.39 126.49 124.83 126.12 125.50 127.50 127.70 128.04 127.71 128.02 129.13 129.20 129.51 128.84 129.34 130.77 131.46 131.95 131.61 131.46 132.56 131.88 131.82 131.37 131.32 132.47 132.68 134.54 134.45 134.79 135.19 135.36 134.36 135.36 135.19 134.56 136.05 136.41 136.47 136.03 136.63 136.93 137.16 137.56 137.02 137.73 137.31 136.75]'; S = [-0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 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0.3422 0.6197 0.7878 0.8500 0.8905 0.7953 0.6338 0.4243 0.2163 -0.1992 -0.5392 -0.8177 -0.9265 -0.9842 -0.8370 -0.5438 -0.2043 0.2150 0.6140 1.1067 1.4455 1.4907 1.5097 1.5740 1.7167 1.6315 1.6095 1.4775 1.2720 1.1170 1.1218 1.3253 1.3628 1.1648 0.8613 0.7565 0.6997 0.7988 1.0745 1.0975 1.0187 0.8252 0.5805 0.4357 0.2080 -0.0195 -0.5673 -1.1385 -1.6778 -2.1500 -2.5920 -2.8512 -2.9192 -2.8365 -2.7555 -2.7987 -2.7760 -2.7300 -2.7157 -2.4092 -1.9970 -1.3307 -0.7152 -0.1557 0.5545 1.2245 1.7815 2.2162 2.5090 2.7340 2.9390 2.9915 3.1390 3.4327 3.5880 3.8355 4.1822 4.5780 4.6985 4.9815 5.1370 5.3060 4.8695 4.5098 3.4478 2.3478 0.5048 -0.7770 -2.3142 -3.2427 -3.9500 -4.3915 -4.7037 -5.0337 -5.2335 -5.6020 -5.2332 -5.0032 -4.1437 -3.9245 -3.5828 -3.1673 -2.5407 -1.8422 -0.7822 0.0660 0.7730 1.4168 1.7657 1.9075 2.0312 1.6672 1.5127 1.3287 1.4272 1.6367 1.9777 1.5827 0.9437 0.5042 0.2715 0.0052 -0.5350 -1.1625 -2.1918 -3.4177 -4.2430 -4.5295 -4.3268 -4.3013 -4.1585 -4.0678 -3.5993 -3.3335 -2.6305 -1.8403 -1.0698 -0.4935 -0.0487 0.6488 1.1110 1.2983 1.4670 2.0478 2.4398 2.8813 2.7820 3.0325 3.4843 3.4713 3.2953 3.4620 3.0843 2.4440 1.9872 1.8162 2.0485 1.9775 1.4250 1.0340 0.3035 -0.5445 -1.2307 -2.0270 -2.6300 -3.1320 -3.2690 -3.2043 -2.8733 -2.3965 -1.7198 -1.0688 -0.3675 0.5723 0.9668 1.2223 0.9015 0.5010 0.0537 -0.6027 -0.9370 -1.2620 -1.2615 -1.4440 -1.4530 -1.5823 -1.4548 -1.4953 -1.3098 -0.8730 -0.7563 -0.5618 -0.4455 -0.3618 -0.2523 0.0087 0.0877 0.2007 0.2992 0.3965 0.5048 0.5543 0.5730 0.5918 0.4658 0.3848 0.3303 0.2593 0.1733 0.0343 -0.0150 -0.0170 0.0280 0.0352 0.1430 0.1792 0.4022 0.5975 0.6087 0.7365 0.7217 0.6433 0.5030 0.3983 0.3343 0.3918 0.3910 0.3553 0.5063 0.4380 0.2272 -0.1898 -0.4525 -0.6055 -0.7447 -0.8853 -0.8055]'; n=length(P); tic; [t,E] = algo_trading_03(P,S); assert(toc < 20,'Time out')

3   Pass
assert(isscalar(t),'Need to return a scalar value')

ans = 1

4   Pass
D = P(2:end)./P(1:end-1)-1; R = D.*E(1+S(1:end-1)>=t)); cR = cumprod(R+1)-1; CAGR = (1+cR(end))^(252/n)-1; MDD = -min((1+cR)./(1+cummax(cR))-1); C = CAGR/MDD; assert(C > 1.1, 'Solution is sub-optimal');

ans = 1

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