写论文第十天：MATLAB之rsi函数

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于 2016-05-11 09:01:57 发布

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本文链接：https://blog.youkuaiyun.com/liangzuojiayi/article/details/51371544

该博客介绍了MATLAB中实现RSI（相对强弱指数）的函数`rsi()`，包括移动平均线去趋势、RSI计算、信号判断、PNL计算以及夏普比率的计算过程。此外，还展示了如何通过设置不同参数来调整RSI指标，并提供了示例代码。

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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;