matlab中lag函数用法,写论文第六天：MATLAB之leadlag函数

function varargout = leadlag(P,N,M,scaling,cost)

%LEADLAG returns a trading signal for a simple lead/lag ema indicator

%Leadlag函数返回一组交易信号，这组信号分别是以lead、lag为移动均线指标。ema：Exponential Moving Average，即指数平均数指标。

% LEADLAG returns a trading signal for a simple lead/lag exponential

% moving-average technical indicator.

%

% S = LEADLAG(PRICE) returns a trading signal based upon a 12-period

% lead and a 26-period lag. This is the default value used in a MACD

% indicator. S is the trading signal of values -1, 0, 1 where -1 denotes

% a sell (short), 0 is neutral, and 1 is buy (long).

%S返回一组基于12日的交易日的lead和一个26日lag均线，这是空缺值时应用的MACD指标。S是一组交易信号，它由-1,0,1组成，-1代表卖出，0代表中性，1代表买入。

% S = LEADLAG(PRICE,N,M) returns a trading signal for a N-period lead and

% a M-period lag.

%PRICE输入数据，N、M分别为两个周期，前者小于后者。

% [S,R,SH,LEAD,LAG] = LEADLAG(...) returns the trading signal S, the

% absolute return in R, the Sharpe Ratio in SH calcualted using R, and

% the LEAD or LAG series.

%LEADLAG函数返回交易信号S、绝对收益R、夏普收益SH、LEAD和LAG

% EXAMPLE:

% % IBM

% load ibm.dat