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cumulative maximum loss code

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Alex
Alex 2020-3-6
评论： Koushik Vemula 2020-3-16
I'm new to Matlab and I'm having trouble with the code for the computation of cumulative maximum loss for a time series. What I need to do is to compute the maximum loss compared to the highest levels of the variable over a period T which is set to 522 days.
Specifically,
.
Thank you for any help

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回答（1 个）

Koushik Vemula
Koushik Vemula 2020-3-9
According to my understanding you have a variable ‘x’ which has ‘n’(say) number of values.
You would like to find the value of
where the value 522 is ‘T’ value.
You can do it in the following manner
1-(x(t))/max(x(1:T+1))
We have ‘+1’ as matlab index starts from ‘1’
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Alex
Alex 2020-3-13
Thank you, what about doing that in loop for all the observations of the time series?
Koushik Vemula
Koushik Vemula 2020-3-16
for i = T+1:length(x)
sol(i)=1-(x(i)/max(x(i-T:i)))
end
Here we are iterating from T+1 (index should be greater than 0) to max of x.
This will give you your desired result

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