rsi.m

% largely inspired from http://www.mathworks.fr/matlabcentral/fileexchange/37932-automated-trading-with-matlab-2012
% small script to generate signals from rsi indicator, and calculate the return

function [s,r,sh,mar] = rsi(price,M,N,thresh,scaling,cost)
% returns the signals array, the returns array (profit and loss), the
% sharpe ratio, the MAR ratio
if nargin==0
  % fill params for you..
  M = 22; % Moving Average for rsi
  N = 14; % rsi loopback
  thresh = [20, 80];% signal threshold (buy, sell) for rsi
  cost = 0.0001; % simulate a cost of 1pip per trade (approx the spread between bid and ask price)
  scaling = sqrt(250*1440); %for sharpe ratio, depends on the frequency of the data, here minutes
  price = 1.3 + 0.1*randn(100,1) + sin(linspace(0,10,100)');
end
ma = movavg(price,M,M,'e');  % smooth it before applying rsi
ri = rsindex(price - ma, N);

%% Position signal
s = zeros(size(price));
% Crossing the lower threshold
indx    = ri < thresh(1);
indx    = [false; indx(1:end-1) & ~indx(2:end)];
s(indx) = 1;
% Crossing the upper threshold
indx    = ri > thresh(2);
indx    = [false; indx(1:end-1) & ~indx(2:end)];
s(indx) = -1;
% Fill in zero values with prior position
for i = 2:length(s)
    if  s(i) == 0
        s(i) = s(i-1);
    end
end

%% PNL Calculation
trades  = [0; 0; diff(s(1:end-1))]; % shift trading by 1 period, time for the order to pass
cash    = cumsum(-trades.*price-abs(trades)*cost/2);
pandl   = [0; s(1:end-1)].*price + cash;
r = diff(pandl);
sh = scaling*sharpe(r,0);
[mdd, imdd] = maxdrawdown(pandl,'arithmetic');
mar = 0;
if ~isnan(imdd) % most of the time
    mar= pandl(end)/price(1) /  mdd/price(imdd(1)); % scaling mdd with the value reached
end

%% Supporting Functions
% Faster implementation of rsindex found in Financial Toolbox
function r=rsindex(x,N)
L = length(x);
dx = diff([0;x]); 
up=dx;
down=abs(dx);
% up and down moves
I=dx<=0;
up(I) = 0;
down(~I)=0;
% calculate exponential moving averages
m1 = movavg(up,N,N,'e'); m2 = movavg(down,N,N,'e');
warning off
r = 100*m1./(m1+m2);
%r(isnan(r))=50;
I2=~((up+down)>0);
r(I2)=50;

warning on