matlab rsi,写论文第十天：MATLAB之rsi函数

function varargout = rsi(price,M,thresh,scaling,cost)

% RSI

%%

% Copyright 2010, The MathWorks, Inc.

% All rights reserved.

if ~exist('scaling','var')

scaling = 1;

end

if ~exist('M','var')

M = 0; % no detrending

else

if numel(M) > 1

N = M(2);

M = M(1);

else

N = M;

M = 15*M;

end

end

if ~exist('thresh','var')

thresh = [30 70]; % default threshold

else

if numel(thresh) == 1 % scalar value

thresh = [100-thresh, thresh];

else

if thresh(1) > thresh(2)

thresh= thresh(2:-1:1);

end

end

end

if ~exist('cost','var')

cost = 0; % default cost

end

%% Detrend with a moving average

if M == 0

ma = zeros(size(price));

else

ma = movavg(price,M,M,'e');

end

ri = rsindex(price - ma, N);

%% Position signal

s = zeros(size(price));

% Crossing the lower threshold

indx = ri < thresh(1);

indx = [false; indx(1:end-1) & ~indx(2:end)];

s(indx) = 1;

% Crossing the upper threshold

indx = ri > thresh(2);

indx = [false; indx(1:end-1) & ~indx(2:end)];

s(indx) = -1;

% Fill in zero values with prior position

for i = 2:length(s)

if s(i) == 0

s(i) = s(i-1);

end

end

%% PNL Caclulation

r = [0; s(1:end-1).*diff(price)-abs(diff(s))*cost/2];

sh = scaling*sharpe(r,0);

%% Plot if requested

if nargout == 0

ax(1) = subplot(3,1,1);

plot([price,ma]), grid on

legend('Price',['Moving Average ',num2str(M)])

title(['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(N)],'Lower Threshold','Upper Threshold')

title('RSI')

ax(3) = subplot(3,1,3);

plot([s,cumsum(r)]), grid on

legend('Position','Cumulative Return','Location','Best')

title(['Final Return = ',num2str(sum(r),3),' (',num2str(sum(r)/price(1)*100,3),'%)'])

linkaxes(ax,'x')

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

case 6

varargout{6} = thresh; % threshold

otherwise

warning('RSI:OutputArg',...

'Too many output arguments requested, ignoring last ones');

end %switch

end %for

end %if

%% Examples

%% Supporting Functions

% Faster implementation of rsindex found in Financial Toolbox

function r=rsindex(x,N)

L = length(x);

dx = diff([0;x]);

up=dx;

down=abs(dx);

% up and down moves

I=dx<=0;

up(I) = 0;

down(~I)=0;

% calculate exponential moving averages

m1 = movavg(up,N,N,'e'); m2 = movavg(down,N,N,'e');

warning off

r = 100*m1./(m1+m2);

%r(isnan(r))=50;

I2=~((up+down)>0);

r(I2)=50;

warning on

原文：http://blog.csdn.net/liangzuojiayi/article/details/51371544