Blog Archive

Saturday, July 14, 2012

Trading Signals from EMA and RSI

[hist_date, hist_high, hist_low, hist_open, hist_close, hist_vol] =get_hist_stock_data('AAPL','2012');
data=hist_close;
[lead,lag]=movavg(data,5,20,'e');
s=zeros(size(data));
s(lead<=lag)=-1;
s(lead>lag)=1;
r=[0;s(1:end-1).*diff(data)];
R=cumsum(r);

% ax(1) = subplot(2,1,1);
% plot([data,lead,lag]); grid on
% legend('Close','Lead','Lag','Location','Best')
% title(['Data, Lead and Lag MA'])
% ax(2) = subplot(2,1,2);
% plot([s*50,cumsum(r)]); grid on
% legend('signal long and short','Cumulative Return','Location','Best')
% linkaxes(ax,'x')

rsi=rsindex(data,14)
s1=zeros(size(data));
s1(rsi>75)=-1;
s1(rsi<25)=1;
r1=[0;s1(1:end-1).*diff(data)];
R1=cumsum(r);

ax(1) = subplot(2,1,1);
plot([data]); grid on
legend('Close','Location','Best')
title(['Close'])
ax(2) = subplot(2,1,2);
plot([s1*25,R1]); grid on
legend('RSI Signal long short,no action','Cumulative Return','Location','Best')
linkaxes(ax,'x')

No comments: