Stutzer index (stutzer performance ratio)
Afficher commentaires plus anciens
I'm trying to obtain a result from this formula: http://www.activetradermag.com/assets/news/Web%20extra%20images/stutzer1-1209.gif
However, i'm going somewhere detrimentally wrong
I run this matlab file, with stutzer.xls just having 5 random returns
% x0 = [0]; % Starting guess
x0=1;
returns=xlsread('stutzer.xls','Sheet1','A1:A5');
% optimopt = optimset('LargeScale','off');
% optimopt = optimset('fminsearch');
% optimopt = optimset('algorithm','interior-point');
% optimopt.MaxIter=9000000;
% optimopt.MaxFunEvals=9000000;
% optimopt.TolFun=1e-6;
% optimopt.TolX=1e-6;
% optimopt.Display='final';
% optimopt.HessUpdate='bfgs';
% optimopt.Tolcon=1e-6;
% optimopt.Diagnostics='off';
[result] = fminunc(@objfun,x0,options);
% x = fminunc(@(x) objfun(x,returns),options)
% x = fminsearch(@(x) objfun(x,returns),options)
and the OBJfun is written here;
function f = objfun(x,returns)
for i=1:5
returns=xlsread('stutzer.xls','Sheet1','A1:A5');
Omega = (-log((1/100)*(exp((x*returns(i,1))))));
Omega(:,i)=Omega;
f = sum(Omega);
end
I however do not get any results :( What am i doing wrong?
1 commentaire
Oleg Komarov
le 1 Août 2012
Comment out the
returns=xlsread('stutzer.xls','Sheet1','A1:A5');
in objfun() function.
Réponses (0)
Catégories
En savoir plus sur Creating and Concatenating Matrices dans Centre d'aide et File Exchange
Produits
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!