Issue with multiple loops

Hi,

Having an issue with the code below. Basically I want the loop to loop through each of the "en" (or entry) values. When outputting, the entry values are correct, but it is not used in calculations - what am I missing here?

en=2:0.5:6; % entry threshold (standard deviations)
ex=1;  % exit threshold (standard deviations)

for entry=en
    for i=1:(4630-lookback-1) % In sample
    %for i=4631:(size(CO1)-lookback-1) % Out of sample
        if zCO1(i)<-entry
            while zCO1(i)<ex
                pos(i)=1;
                i=i+1;
            end
        elseif zCO1(i)>entry
            while zCO1(i)>-ex
                pos(i)=-1;
                i=i+1;
            end
        end
    end
    for i=1:(4630-lookback-1) % In sample
    %for i=4631:(size(CO1)-lookback-1) % Out of sample
        if pos(i) == 1
            ret(i)=retCO1(i+1);
        elseif pos(i) == -1
            ret(i)=-retCO1(i+1);
        else
            ret(i)=0;
        end
    end
    fprintf('\nEntry'); disp(entry);
    fprintf('Cumulative return');disp(sum(ret));
    fprintf('Sharperatio');disp((sqrt(252)*mean(ret))/std(ret));
    fprintf('Calmar');disp(sum(ret)/(std(ret)*252));
    fprintf('**********************');
end

and the output is like:

Entry     2

Cumulative return    0.4896

Sharperatio    0.1242

Calmar    0.1428

**********************
Entry    2.5000

Cumulative return    0.4896

Sharperatio    0.1242

Calmar    0.1428

**********************
Entry     3

Cumulative return    0.4896

Sharperatio    0.1242

Calmar    0.1428

**********************

Tnx, Egert

Answer 1

[Oleg Komarov]

You're changing the i (used by the for loop) within the while loop. You can do it but it is usually not recommended.

I don't have data to test the implications but most likely that's the cause.

Answer 2

[egert]

Could you recommend a solution?

[Oleg Komarov]

If you describe what your problem is and what is your data with a minimum working example it would be much easier. I also suspect that no loops are needed at all. It's a logical indexing problem.

[egert]

Basically I have two loops in there, one calculates the "position" which is based on an array of zCO1, and another one which calculates the "returns" if position exists, which itself is based on retCO1.

Now when I change parameters manually (losing the for entry=en part), everything works like magic. But when adding this, it doesn't work. Basically I'm trying to do the thing mentioned in first paragraph multiple times, each time with different parameter (looping through 2, 2.5, 3 etc...). Somewhat of an optimization problem.