Pairs Trading Any Position Loop Problem

Question

Tomasz Mlynowski 2012-7-21

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/44219-pairs-trading-any-position-loop-problem

I am modifying perlin's pairs trading code.

I am having a problem with the anyPos part of the for loop. i do not know if anyPos1 and anyPos 2 line I have added is correct. I have % excluded in code below. When I run the code at the moment it is composing a 1's matrix.

I need a -1 and 1 matrix for individual buy (long) 1 and sell (short) -1 positions as defined in the

directionTrade(k,assetsNumber) =[-1 1];
and
directionTrade(k,assetsNumber)=[1 -1];

Because there are two possible options to take to form anyPos I don't know how to combine the final matrix to compose -1 and 1's based on the below code. I have been trying for days and no end result. Please if anyone can provide an answer or guidance I would be very grateful.

for i=1:length(idx)
        if (k==1)||(anyPos(k-1,idx(i))==0)% if any position is already open, dont trade
            myTrades{idxTrades,1}.assetsNumber=[idx(i) p(idx(i))];
            myTrades{idxTrades,1}.obsNumber=d+k-1;
            total_idx(idxTrades,:)=[idx(i) p(idx(i))];
               if (dist(k,idx(i))>0)
                    myTrades{idxTrades,1}.directionTrade=[-1  1];
                    assetsNumber=[idx(i) p(idx(i))];
                    directionTrade(k,assetsNumber) =[-1 1];
%                     anyPos1(k,:)= directionTrade(k,:);
               else
                    myTrades{idxTrades,1}.directionTrade=[ 1 -1];
                    assetsNumber=[idx(i) p(idx(i))];
                    directionTrade(k,assetsNumber)=[1 -1];
%                     anyPos2(k,:)= directionTrade(k,:);
               end          
            idxTrades=idxTrades+1;
          end
   anyPos(k,idx(i))=1;
   anyPos(k,p(idx(i)))=1;
  end