%%?Calibrate?3?Models
%??Example?script?used?to?calibrate?parameters?for?the?leadlag?rsi?and
%??wpctr?models.
%
%?Copyright?2010-2012?The?MathWorks?Inc.


%%?Load?in?data?and?setup?parameters
load?oilData
LCO?=?double（brent）;
clearvars?-except?LCO

LCOClose?=?LCO（:4）;
cost?????=?0.01;?????%?Bid/ask?spread

ts??=?generateSpacedInts（1?420?25）;

%?Use?all?the?cores?on?my?laptop
if?matlabpool（‘size‘）?==?0
????matlabpool?local
end

%%?leadlag
seq?=?generateSpacedInts（1?200?25）;

range?=?{seqseqts};
annualScaling?=?sqrt（250*7*60）;
llfun?=@（x）?leadlagFun（xLCOCloseannualScalingcost）;

tic
[~paramshxyz]?=?parameterSweep（llfunrange）;
toc

leadlag（LCOClose（1:param（3）:end）param（1）param（2）...
????????sqrt（annualScaling^2/param（3））cost）
xlabel（[‘F

?屬性????????????大小?????日期????時(shí)間???名稱
-----------?---------??----------?-----??----
?????文件?????1341277??2012-08-27?00:26??AutomatedTrading.pdf
?????文件?????1141085??2012-08-27?00:25??AutomatedTrading.ppsx
?????文件????????1824??2012-08-29?12:33??CalibrateModels.m
?????目錄???????????0??2012-08-31?17:54??Charts\
?????文件?????????883??2012-08-29?12:26??Charts\indicatorChartALL.m
?????文件?????????751??2012-08-23?17:21??Charts\indicatorChartMA.m
?????文件?????????687??2011-03-28?20:33??Charts\indicatorChartWPR.m
?????文件????????1344??2012-08-29?12:26??Charts\isoplot.m
?????文件?????????335??2012-08-29?12:26??Charts\pairsChart.m
?????文件?????????657??2012-08-29?12:27??Charts\ruleChartALL.m
?????文件????????1477??2011-03-15?23:18??Charts\ruleChartMA.m
?????文件????????1355??2012-08-29?12:27??Charts\sweepPlotMA.m
?????目錄???????????0??2012-08-31?17:54??Data\
?????文件??????105223??2011-03-28?17:48??Data\brent_1D.xlsx
?????文件??????222972??2012-08-23?18:09??Data\brent_1D_backtest.xlsx
?????文件?????????428??2012-08-29?12:27??Data\dsample.m
?????文件?????????463??2012-08-29?12:27??Data\generateSpacedInts.m
?????文件?????????821??2012-08-29?12:28??Data\getMinuteDataFromDB.m
?????文件?????5344555??2011-03-31?21:24??Data\oilData.mat
?????文件????????1613??2012-08-29?12:33??Demo1_Intro.m
?????文件????????2827??2012-08-29?12:33??Demo2_MA_Rule.m
?????文件????????2602??2012-08-29?12:33??Demo3_Intraday.m
?????文件????????3756??2012-08-29?12:33??Demo4_Rule_Selection.m
?????文件????????3597??2012-08-29?12:33??Demo5_Pairs_Trading.m
?????文件????????1274??2012-08-27?12:47??Demo6a_TTPriceUpdateExample.m
?????文件????????3051??2012-08-27?12:49??Demo6b_TTPriceUpdateDepthExample.m
?????文件????????3247??2012-08-27?12:53??Demo6c_TTOrderSubmitExample.m
?????文件?????????574??2012-08-29?12:22??Demo7a_helloWorldNET.m
?????文件????????2636??2012-08-27?12:57??Demo7b_QuickFIXExample.m
?????目錄???????????0??2012-08-31?17:54??Models\
?????文件????????5380??2012-08-29?12:29??Models\leadlag.m
............此處省略82個(gè)文件信息