Calling a function with a loop

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NeoGlobal007
NeoGlobal007 2018-9-14
评论： Stephen23 2018-9-15
I am calling a function that is one .m file from another .m file. Anytime I want to call the "Single" function I get error messages. What am I doing wrong here? Can someone debug my code please?
Thank you in advance!
File 1: Main program
data_set= importdata('/Users/.../Desktop/Fall2018/6214_AssetPotfolio/Assignment1/Return_data_import_Assignment1.xlsx');
%importing data from the root directory%
indexdata = data_set.data(:,1:2);
%grabbing and renaming the date column and the SPXT data column
%(:, 1:2)- all rows and columns 1 and 2
indexdata(:,1) = x2mdate(indexdata(:,1));
%converting the data format into a Matlab Data format%
%(:, 1)- all rows and first column "#x2mdate" command
return_data = indexdata;
%rename the spxtdata as return_data
annual_factor=12;
rolling_window=12;
%these are used to annualize the data
%rolling window to compute the rolling returns
Single (return_data, annual_factor,rolling_window)
%Calling the function which inputs the return data vector annulization
%factor and the rolling window values
File 2: Function
function results= Single (return_data, annual_factor, rolling_window)
%funtion name is defined as follows:
%function name (variables inputs which are locally defined-see below)
%This function calculates the statistics for a single vector
%The input variables in the function are:
%return data: nx2 vector with date in col1, monthly returns in col2
%annual factor: 12 which is the number of periods used to annualize the values
%rolling window: the number of periods used to compute the rolling returns,
%i.e 12 in this case
%Outputs:
%results.Stats: Column vector of the 5 basic stats: (1) Annulized Returns, (2)
%Annulaized Volatility, (3) Return to Risk Ratio, (4) Maximum Drawdown
%Value, (5) Max 1 Year Loss
%results.labels: A matrix of dates and rolling "rolling_window"period returns
%Main program for the function:
gross_return=cumprod(return_data(:,2)+1);
%gross cumulative returns calculated
obs=size(return_data,1);
%number of observations in the data
annual_return=gross_return(end)^(annual_factor/obs)-1;
%annualized formula of the gross return
annual_volatility = sqrt(annual_factor)*std(return_data(:,2));
%annualizing the value of the volatility
risk_return=annual_return/annual_volatility;
%the risk to return ratio is calculated
MaxDD=maxdrawdown(gross_return);
%maximum drawdown is calculated using built in function
no_periods=obs-rolling_window+1;
%the number of periods
rolling_year=zeros(no_periods, 2);
%the rolling year zero matrix is used to store the rolling year values
for i=1:no_periods
total_cumulprod= cumprod(return_data(1:1+annual_factor-1,2)+1);
rolling_year (i,1)=return_data(1+annual_factor-1,1);
rolling_year(i,2)=total_cumulprod(end)-1;
end
max1yrloss=min(rolling_year(:, 2));
results.Stats=[annual_return; annual_volatility; risk_return, MaxDD; max1yrloss];
results.Rollyr=rolling_year;
results.labels={"Annual Return"; "Annual Volatility"; "Risk to Return";
"Maximum Drawdown"; "Max 1year Loss"};
end
  2 个评论
Walter Roberson
Walter Roberson 2018-9-14
What is the complete error message?
We do not have your data so we cannot test the code ourselves.
Stephen23
Stephen23 2018-9-15
NeoGlobal007's "Answer" moved here:
I get various error messages which I suspect are all interrelated. I have attached the data file here. The data file is a xls file of the various stock indeax returns. I am taking a single return vector as an input (column 2 of data) and outputing the following indices as a matrix:
(1) annual_return=gross_return(end)^(annual_factor/obs)-1;
(2) annual_volatility = sqrt(annual_factor)*std(return_data(:,2));
(3) risk_return=annual_return/annual_volatility;
(4) MaxDD=maxdrawdown(gross_return);
(5) max1yrloss=min(rolling_year(:, 2))

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回答（1 个）

Walter Roberson
Walter Roberson 2018-9-15
You have
results.Stats=[annual_return; annual_volatility; risk_return, MaxDD; max1yrloss];
Notice the comma: it needs to be semi-colon.

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