How to calculate the highest consecutive negative results in my code

Question

Camilo Acevedo 2020-3-29

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/513833-how-to-calculate-the-highest-consecutive-negative-results-in-my-code

回答： Camilo Acevedo 2020-4-6

Hi,

I'm new to Matlab and I have been having help to write this code. I am trying to learn on my own and I am trying now to write something that would calculate the highest consecutive negative results in my code. I would be happy to recieve some help!

clear variables
k = 5000;
risk = 0.007;
riskM = 0.1;
maxR = 0.022;
numberSteps = 105;
markets = zeros(numberSteps,1);
markets(1) = k;
for i = 1:size(markets,1) - 1 
    markets(i+1) = markets(i)*(1+0.1); 
end
% ka = 1100
%%
numberSim = 1000;
distR = randsrc(numberSteps, numberSim,[-1 -.6 -.36 -.07 0 0.17 0.37 0.39 0.5 0.81 1.37 1.39 1.4 2.2 2.57 3.16 3.55 5.49 6.56 7.34 7.82 8.63 8.7 9.15 9.42 11.55 17.94 19.9 21.18 22.28 28.4 28.51;...
                                        .648 .0095 .0095 .0095 0.067 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095]);
cumR = cumsum(distR,1);
MaxD = maxdrawdown(cumR,'arithmetic');
[maxMaxD,ii] = max(MaxD);
meanD = mean(MaxD);
stdD = std(MaxD);
  
figure
subplot(1,2,1)
plot(cumR)
subplot(1,2,2)
plot(cumR(:,ii))
sgtitle(['Mean Drawdown=',num2str(meanD,3),'   std=',num2str(stdD,3), '   Max Possible DD=',num2str(maxMaxD,3)])

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Mohammad Sami 2020-3-30

编辑：Mohammad Sami 2020-3-30

I am not sure what you mean by highest consecutive negative results.

Camilo Acevedo 2020-3-30

Hi Mohammad, what I mean is that for instance one of the random distribution is [2 4 3 -1 -2 5 7 8 -1 -0.3 -1 -1 -1 -1 -1 -1 -1 7] an another might be [2 2 2 4 3 -1 -1 -2 4 6 7 8 -3 -2 -1 -0.2 4 6]. So what I need is a code that finds where in all the random distribution is the highest consecutive negative sum (consecutive negative number), which in this example would be -8.3 (-1 -0.3 -1 -1 -1 -1 -1 -1 -1).

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Answer 1

Image Analyst 2020-3-31

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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/513833-how-to-calculate-the-highest-consecutive-negative-results-in-my-code#answer_423008

编辑：Image Analyst 2020-3-31

在 MATLAB Online 中打开

This is trivial if you have the Image Processing Toolbox. Simply use regionprops():

v = [2 4 3 -1 -2 5 7 8 -1 -0.3 -1 -1 -1 -1 -1 -1 -1 7] % Sample data.
% Find elements where v is negative.
negativeValues = v < 0
% Measure area and mean of the negative regions.
props = regionprops(negativeValues, v, 'MeanIntensity', 'Area');
% Extract values from structure into arrays, for convenience.
allMeanIntensities = [props.MeanIntensity]
allAreas = [props.Area]
% Get the sum of all values in each region.
integratedValues = allMeanIntensities .* allAreas
% Find the sum that is MOST negative.
mostNegative = min(integratedValues)

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Camilo Acevedo 2020-3-31

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I have a problem with this code. Although it worked fine with the sample of the example you wrote, when I put the random results (which are more than one distribution) gives me values that are incorrect:

Any ideas why?

clear variables
k = 5000;
risk = 0.007;
riskM = 0.1;
maxR = 0.022;
numberSteps = 105;
markets = zeros(numberSteps,1);
markets(1) = k;
for i = 1:size(markets,1) - 1 
    markets(i+1) = markets(i)*(1+0.1); 
end
% ka = 1100
%%
numberSim = 1000;
distR = randsrc(numberSteps, numberSim,[-1 -.6 -.36 -.07 0 0.17 0.37 0.39 0.5 0.81 1.37 1.39 1.4 2.2 2.57 3.16 3.55 5.49 6.56 7.34 7.82 8.63 8.7 9.15 9.42 11.55 17.94 19.9 21.18 22.28 28.4 28.51;...
                                        .648 .0095 .0095 .0095 0.067 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095]);
cumR = cumsum(distR,1);
MaxD = maxdrawdown(cumR,'arithmetic');
[maxMaxD,ii] = max(MaxD);
meanD = mean(MaxD);
stdD = std(MaxD);
v = distR; % Sample data.
% Find elements where v is negative.
negativeValues = v < 0;
% Measure area and mean of the negative regions.
props = regionprops(negativeValues, v, 'MeanIntensity', 'Area');
% Extract values from structure into arrays, for convenience.
allMeanIntensities = [props.MeanIntensity];
allAreas = [props.Area];
% Get the sum of all values in each region.
integratedValues = allMeanIntensities .* allAreas;
% Find the sum that is MOST negative.
mostNegative = min(integratedValues);
figure
subplot(1,2,1)
plot(cumR)
subplot(1,2,2)
plot(cumR(:,ii))
sgtitle(['Mean Drawdown=',num2str(meanD,3),'   std=',num2str(stdD,3),'   Max Possible DD=',num2str(maxMaxD,3),'   Worst Consecutive=',num2str(mostNegative,3) ])

Camilo Acevedo 2020-3-31

Simulacion_sistemas_marzo2020.m

Let me know if it worked..

Camilo Acevedo 2020-4-2

Hi Image Analyst, could you see the file?

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Answer 2

Mohammad Sami 2020-3-30

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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/513833-how-to-calculate-the-highest-consecutive-negative-results-in-my-code#answer_422772

在 MATLAB Online 中打开

Assuming your vector is called a

a = randi([-10 10],2000,1);
ag0 = a>=0; % idx of val greater then a
id = cumsum(ag0 | circshift(ag0,1)); % create a grouping variable
% consecutive negative values are assigned to the same group
if id(1) == 0
id = id + 1; % start index at 1
end
b = accumarray(id,a,[],@sum); % sum the values for each group
[~,i] = min(b); % find the most negative sum
consective_idx = id==i; % index of the consecutive values
consective_val = a(consective_idx); % 

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Camilo Acevedo 2020-3-30

在 MATLAB Online 中打开

Thank you Mohammad. I tryed to adjust sur suggestion to my code, but I still cannot get it to work. It says that there is something wrong in the line 39 (b = accumarray(id,distR,[],@sum); % sum the values for each group).

clear variables
k = 5000;
risk = 0.007;
riskM = 0.1;
maxR = 0.022;
numberSteps = 105;
markets = zeros(numberSteps,1);
markets(1) = k;
for i = 1:size(markets,1) - 1 
    markets(i+1) = markets(i)*(1+0.1); 
end
% ka = 1100
%%
numberSim = 2;
distR = randsrc(numberSteps, numberSim,[-1 -.6 -.36 -.07 0 0.17 0.37 0.39 0.5 0.81 1.37 1.39 1.4 2.2 2.57 3.16 3.55 5.49 6.56 7.34 7.82 8.63 8.7 9.15 9.42 11.55 17.94 19.9 21.18 22.28 28.4 28.51;...
                                        .648 .0095 .0095 .0095 0.067 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095]);
cumR = cumsum(distR,1);
MaxD = maxdrawdown(cumR,'arithmetic');
[maxMaxD,ii] = max(MaxD);
meanD = mean(MaxD);
stdD = std(MaxD);
ag0 = distR>=0; % idx of val greater then a
id = cumsum(ag0 | circshift(ag0,1)); % create a grouping variable
% consecutive negative values are assigned to the same group
if id(1) == 0
id = id + 1; % start index at 1
end
b = accumarray(id,distR,[],@sum); % sum the values for each group
[~,iii] = min(b); % find the most negative sum
consective_idx = id==iii; % index of the consecutive values
consective_val = distR(consective_idx); %
Worstc = sum(consective_val, 'all')
figure
subplot(1,2,1)
plot(cumR)
subplot(1,2,2)
plot(cumR(:,ii))
sgtitle(['Mean Drawdown=',num2str(meanD,3),'   std=',num2str(stdD,3),'   Max Possible DD=',num2str(maxMaxD,3),'   Worst Consecutive=',num2str(Worstc,3) ])

Camilo Acevedo 2020-4-1

在 MATLAB Online 中打开

Stil not working :(

clear variables
k = 5000;
risk = 0.007;
riskM = 0.1;
maxR = 0.022;
numberSteps = 105;
markets = zeros(numberSteps,1);
markets(1) = k;
for i = 1:size(markets,1) - 1 
    markets(i+1) = markets(i)*(1+0.1); 
end
% ka = 1100
%%
numberSim = 1000;
distR = randsrc(numberSteps, numberSim,[-1 -.6 -.36 -.07 0 0.17 0.37 0.39 0.5 0.81 1.37 1.39 1.4 2.2 2.57 3.16 3.55 5.49 6.56 7.34 7.82 8.63 8.7 9.15 9.42 11.55 17.94 19.9 21.18 22.28 28.4 28.51;...
                                        .648 .0095 .0095 .0095 0.067 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095 .0095]);
cumR = cumsum(distR,1);
MaxD = maxdrawdown(cumR,'arithmetic');
[maxMaxD,ii] = max(MaxD);
meanD = mean(MaxD);
stdD = std(MaxD);
distrtranspose = transpose(distR);
ag0 = distrtranspose>=0; % idx of val greater then a
id = cumsum(ag0 | circshift(ag0,1)); % create a grouping variable
% consecutive negative values are assigned to the same group
if id(1) == 0
id = id + 1; % start index at 1
end
b = accumarray(id,distrtranspose,[],@sum); % sum the values for each group
[~,i] = min(b); % find the most negative sum
consective_idx = id==i; % index of the consecutive values
consective_val = distrtranspose(consective_idx); % 
figure
subplot(1,2,1)
plot(cumR)
subplot(1,2,2)
plot(cumR(:,ii))
sgtitle(['Mean Drawdown=',num2str(meanD,3),'   std=',num2str(stdD,3),'   Max Possible DD=',num2str(maxMaxD,3),'   Worst Consecutive=',num2str(mostNegative,3) ])

Camilo Acevedo 2020-4-2

Hi Mohammad, could you see the file?

Mohammad Sami 2020-4-3

编辑：Mohammad Sami 2020-4-3

Hi Camilo,

I dont have the toolbox to execute your code.

Based on the function description online I think it will generate a matrix of size numberSteps x numberSims.

The code I wrote will only work for a vector of size n x 1.

In your case can I assume that you want to find the negative sequence of each column separately ?

If that is the case you can use the for loop over each column to find the sequences with the above code.

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Answer 3

Camilo Acevedo 2020-4-6

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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/513833-how-to-calculate-the-highest-consecutive-negative-results-in-my-code#answer_424438

在 MATLAB Online 中打开

Well, I got some help from a friend expert in Matlab and he figured it out (based on Mohammad suggestions). So in case anyone in the future is looking for what I asked, her is the answer:

clear variables
numberSteps = 107;
numberSim = 250000;
distR = randsrc(numberSteps, numberSim,[-1 0 1.37 10.05 8.49 15.67 2.36 11.25 24.41 21.5 20.09 1.61 8.91 7.58 2.37 3.28 6.36 12.53 5.86 3.43 3.52 8.83 3.34 4.29 20.67;...
                                        .709 .084 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009 .009]);
%%
ag0 = distR>=0; 
id = cumsum(ag0 | circshift(ag0,1)); 
id = id + 1;
numCons = zeros(1,numberSim);
for a4 = 1 : numberSim
    c = accumarray(id(:,a4),distR(:,a4),[],@sum);
    [~,d] = min(c);
    numCons(a4) = sum(id(:,a4)==d);
end
maxNC = max(numCons);
meanNC = mean(numCons);
stdNC = std(numCons);