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Urgent Help for Matlab code

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chrisnonso

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Hello everyone,

I am currently writing a trading algorithm on matlab and I have encountered a road block. This is really urgent as it is my project due on Wed. and I need to graduate on the 16th of this month. So urgent inputs and contribution will be greatly appreciated. Thanks in advance. Ok I have done the regression for my input data, I have set a threshold on the residual error so that I can do the time series segmentation. When I go to plot my data (i.e. the input Y and the estimated Y input) I get only the last interval of my segmentation. I am trying to fix this problem but so far no solution. My matlab code is shown below please review and help if you can to point out my error. Thanks again.

Y = price;
THR = 100; %Threshold
Residue_Errors = zeros(1,117000);
AngleB0 = zeros(1,117000);
AngleB1 = zeros(1,117000);
anchor = 1;
for N = 100:length(Y)
time = (anchor:N);
X = (time)';
P = Y(anchor:N);
if (length(P) >= 100)
B = [ones(size(X,1),1),X]\P; % Gives the Intercept and slope
B0 = B(1,:);
B1 = B(2,:);
P_hat = B0 + B1*X; % Computes the predicted values of price given the intercept and slope
e = P - P_hat;
ResSqr = e.^2;
AngleB0(N) = B0;
AngleB1(N) = B1;
TotalResSqr = sum(ResSqr);
Residue_Errors(N) = TotalResSqr;
if Residue_Errors(N) > THR
anchor = N;
end
end
end
%time = (0:N-1);
%X = time';
%P = Y(1:N);
figure(1)
plot(X,P,X,P_hat,'r');title('Regression of Price and Price Hat Versus Time');xlabel('Time (N Samples)');ylabel('Price ($)')
figure(2)
plot(Residue_Errors);title('N Samples Vs. Residue Errors');xlabel('N Samples');ylabel('Residue Errors')
figure(3)
plot(AngleB0);title('Intercept B0 Angles Versus N Samples');xlabel('N Samples');ylabel('Intercept B0')
figure(4)
plot(AngleB1);title('Coefficient B1 Angles Versus N Samples');xlabel('N Samples');ylabel('Coefficient B1')
 

permute

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you've stored B0 and B1 in "AngleB0" and "AngleB1". you can reconstruct P_hat from these values.

likewise for P and X, you can reconstruct them outside of the loop.
 

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