Sunday, 2 October 2011

Post to TradingBlox Forum

I have recently posted a reply to a thread on the TradingBlox forum here which readers of this blog might be interested in. The Octave code below is that used to generate the graphic in the linked forum reply.

clear all

a_returns = [2,-1,2,-1,2,-1,2,-1,2,-1];
b_returns = [3,-1.5,3,-1.5,3,-1.5,3,-1.5,3,-1.5];
c_returns = shift(b_returns,1);

a_equity = cumsum([1,a_returns]);
b_equity = cumsum([1,b_returns]);
c_equity = cumsum([1,c_returns]);

ab_equity = a_equity .+ b_equity;
ac_equity = a_equity .+ c_equity;

ab_equity_correl = corrcoef(a_equity,b_equity)
ac_equity_correl = corrcoef(a_equity,c_equity)

ab_returns_correl = corrcoef(a_returns,b_returns)
ac_returns_correl = corrcoef(a_returns,c_returns)

ab_centre_returns_correl = corrcoef(center(a_returns),center(b_returns))
ac_centre_returns_correl = corrcoef(center(a_returns),center(c_returns))

legend("a equity","b equity","c equity","ab equity","ac equity")

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