Financial Scripting With FreeMAT/MATLAB

How to generate a Candlestick chart in FreeMAT or MATLAB

2010-03-01T16:31:00.000-08:00

The plot below is generated in FreeMAT, it can also be run at MATLAB:

function gen_chart(D,O,H,L,C,symbol)
    %
    % This function generates a candlestick chart for a given O,H,L,C data
    % D is dates
    % O is open
    % H is high
    % L is low
    % C is close
    % symbol
    %
    % Example:
    % [D O H L C V]=get_symbol_data('F',150);
    % gen_chart(D,O,H,L,C,'F');
    %
    %
    %   Copyright 2010 EdgeMe
    %   $Revision: 1.0.0.0 $
    %   EdgeMe, 28-Feb-2010
    %
    %
    if nargin<6
        error('Not enough inputs');
    end



    datapoints=length(D);
    %make sure we have the same length of data
    if length(O) ~=datapoints || length(H) ~=datapoints || length(L) ~=datapoints ||length(C) ~=datapoints
        error('Data must be in the same length');
    end


    figure;


    hold on;
    %draw low to high lines
    for i=1:datapoints
        plot([i i],[L(i) H(i)],'Color','k');
        if C(i)>O(i)
            plot([i i],[O(i) C(i)],'linewidth',3,'color','g');
        else
            plot([i i],[O(i) C(i)],'linewidth',3,'color','r');
        end
    end


    title(symbol);
    hold off;
    grid on;

    %
    xlim([1 datapoints+1]);
    y=get(gca,'ylim');
    ymin=int16(y(1)-0.5);
    ymax=int16(y(2)+0.5);
    ylim([ymin ymax]);


    XTick=[];
    j=1;
    for i=1:10:datapoints
        XTick(j)=i;
        j=j+1;
    end

    %Set XTicklabel to an empty string
    set(gca,'XTick',XTick,'XTickLabel','')

    for i=1:length(XTick)
        % Set the new xTickLabels of Dates
        hText = text(XTick(i), double(ymin), D{XTick(i)});
        set(hText,'Rotation',28,'HorizontalAlignment','right');
    end

end

Scripts updates

2010-02-28T08:07:00.001-08:00

Per readers comments, the following two scripts have been updated:

get_symbol_data.m
adx2.m

Option Pricing Black-Scholes script for MATLAB and FreeMAT

2010-02-18T17:10:00.000-08:00

function [C, P]= option_bs(S,X,r,sigma,days)
    %
    %  This function to calculate Call and Put price per Black-Scholes formula.
    %  This function can be run both at FreeMAT and MATLAB,
    %  This function should be same as MATLAB's financial toolbox function
    %  blsprice.
    %
    % C: call price
    % P: put price
    % S: stock price at time 0
    % X:  strike price
    % r: risk-free interest rate
    % sigma: volatility of the stock price measured as annual standard deviation
    % days: numbers of days remaining in the option contract, this will be converted into unit of years.
    % Black-Scholes formula:
    %  C = S N(d1) - Xe-rt N(d2)
    %  P = Xe-rt N(-d2) - S N(-d1)
    %

    T=days/365;

    % for call
    d1 = (log(S/X) + (r + 0.5*sigma^2)*T)/(sigma*sqrt(T));
    d2 = d1 - sigma*sqrt(T);
    N1 = 0.5*(1+erf(d1/sqrt(2)));
    N2 = 0.5*(1+erf(d2/sqrt(2)));

    C = S*N1-X*exp(-r*T)*N2;

    % for put

    N1 = 0.5*(1+erf(-d1/sqrt(2)));
    N2 = 0.5*(1+erf(-d2/sqrt(2)));

    P = X*exp(-r*T)*N2 - S*N1;
end

get_hisVolatility.m

2010-02-16T17:26:00.000-08:00

function vol = get_hisVolatility(closes, N)
%
%   This script is to calculate the historical
%   volatility for close prices using N days sliding window
%   If N is not specified, a default of 20 days will be
%   used.
%
%   Copyright 2010 EdgeMe
%   EdgeMe, 12-Feb-2010
%
%
if nargin==0
    N=20;
end

    dataN=numel(closes);
    vol=[];
    if dataN<N
      warning ('Not enough data')
      return;
    end

    log_change(1)=0;
    for i=2:dataN
    log_change(i) = log(closes(i)/closes(i-1));
    end

    for i=N+1:dataN
    stdev = std(log_change(i-N+1:i));

    % Normalize to annual volatility
    vol(i)= stdev*sqrt(252);
    end

    %fillin the first N days using N+1 vol
    for i=1:N
        vol(i)=vol(N+1);
    end

end

ema.m

2010-02-15T17:12:00.001-08:00

function dataout = ema(datain,period)
%
% This function is to get EMA of a given datain and a given period
%
%   Copyright 2010 EdgeMe
%   EdgeMe, 10-Feb-2010
%
%
    f = 2/(period+1);
    N = numel(datain);
    dataout = zeros(N,1);
    dataout(1) = datain(1);
    for i=2:N
    dataout(i) = f*(datain(i)-dataout(i-1)) + dataout(i-1);
    end

end

How to generate a list of stocks according to your own magic formula – A reader made it working

2010-02-15T16:11:00.000-08:00

How to generate a list of stocks according to your own magic formula – Part One

How to generate a list of stocks according to your own magic formula – Part Two

After I posted the above article, a reader sent me an email pointed out it requires one more script "split_str_by_comma.m".

After sending him the script and I also updated the script "get_symbols.m". Today he sent an email saying that

"It is working great now. thank you so much..."

Thanks for visiting my blog, and I hope my blog will help others too.

split_str_by_comma.m

2010-02-14T20:39:00.001-08:00

function ret_cell_array=split_str_by_comma(str)
%
% This function is to split a str by comma, return as cell array
%
% EXAMPLE:
% ret_cell_array=split_str_by_comma('12, 34, 56');
% the ret_cell_array should be {'12','34','56'}
%
% If you have MATLAB, you can use ret_cell_array=regexp(str,',','split') to get job done;
%
%   Copyright 2010 EdgeMe
%   EdgeMe, 10-Feb-2010
%
%

    %find out where are the commas
    commas=regexp(str,',');

    %if no comma, just return the str
    if isempty(commas)
        ret_cell_array={str};
        return;
    else %we found comma(s)

        %first comma, also get rid of space
        ret_cell_array{1}=strrep(str(1:commas(1)-1),' ','');

        for i=1:numel(commas)-1

            ret_cell_array{end+1}=strrep(str(commas(i)+1:commas(i+1)-1),' ','');

        end

        %last one
        if length(str)>commas(end)
            ret_cell_array{end+1}=strrep(str(commas(end)+1:length(str)),' ','');
        end


    end


 end

Classical Pairs Trading

2010-02-13T19:17:00.001-08:00

Classical Pairs Trading Scripts Running in FreeMAT

“The pairs trade or pair trading, also known as market neutral, was developed in the late 1980s by quantitative analysts and pioneered by Gerald Bamberger while at Morgan Stanley. With the help of others at Morgan Stanley at the time, including Nunzio Tartaglia, Bamberger found that certain securities, often competitors in the same sector, were correlated in their day-to-day price movements. When the correlation broke down, i.e. one stock traded up while the other traded down, they would sell the outperforming stock and buy the underperforming one, betting that the "spread" between the two would eventually converge.” –from wikipedia

Marcelo Perlin shared his MATLAB scripts for Classical Pairs Trading Using MatLab in the MathWorks website. I downloaded his scripts, and tried to run at FreeMAT. It basically worked without any change. (Two minor errors due to the difference between MATLAB and FreeMAT, but you can run scripts to end to get the final results and a plot.)

Unzip the files you downloaded into a directory. Open the FreeMAT, then change directory to the directory where the file “Example_Script_Pairs_Trading.m” is. Then the FreeMAT command line, type

à Example_Script_Pairs_Trading

Just like that, after a few minutes, you will get plot like this:

This is resulted from his sample stock data. He seems also used S&P data to get the results like this:

Since his scripts used his sample data, I will have to modify/add some scripts to make it robust to be used for a set of stocks I choose to test out the pair trading strategy.

I will keep you posted.

Scripts for the article below are posted in this blog

2010-02-13T12:48:00.000-08:00

How to generate a list of stocks according to your own magic formula – Part One

How to generate a list of stocks according to your own magic formula – Part Two

save2html.m

2010-02-13T09:07:00.000-08:00

function save2html(htmlfile,cells,title)
%
%   This script is to save cells into a table format html file
%
%   Copyright 2010 EdgeMe
%   EdgeMe, 10-Feb-2010
%
%

fid = fopen(htmlfile,'w');
fprintf(fid,['<table style="color:black; font-size:20; font-family:Times;" cellpadding="0" cellspacing="0" border="1">']);

fprintf(fid,['<title>',title,'</title>']);

[r c] = size(cells);

if r==1 && c>1 % transpose the cells
    cells=cells';
end

[r c] = size(cells);

for j=1:r; % for each row

 fprintf(fid,'<tr>');

 for i=1:c; %for each column

  temp = cells{j,i};
        if ~isempty(temp)
       if isnumeric(temp) && ~isnan(temp);
       td = num2str(temp);
        elseif ischar(temp)
       td = temp;
             end

        else
            td = '&nbsp;';
        end

        fprintf(fid,['<td>','<a href="http://www.finviz.com/quote.ashx?t=',td,'" target="_blank">',td,'</td>']);

 end

 fprintf(fid,'</tr>');

end


fprintf(fid,'</table>');
fclose(fid);

end

get_symbols.m

2010-02-13T08:53:00.000-08:00

function symbols=get_symbols(symbolfile)
%
% This function return all symbols from a symbol file
% A symbol file is a simple text file contain a stock symbol at each line
% EXAMPLE:
% symbols=get_symbols('all_symbols.txt');
%
% If you have MATLAB, you can just use "importdata(symbolfile)" to get job done.
% If you run this script in MATLAB, please change fgetline to fgetl
%
% 12-Feb-2010, added deblank to make sure no space
%
%   Copyright 2010 EdgeMe
%   EdgeMe, 10-Feb-2010
%
%
    symbols=[];
    symbolpath='c:\relativestrength\list';

    datafile=[symbolpath,'\',symbolfile];

     if exist(datafile)>0

         fid = fopen(datafile);
         while (~feof(fid))
             temp=fgetline(fid); % if run in the MATLAB, use fgetl(fid)
             newlinestart= regexp(temp,'\n') ;%get the line, but the return may contains a empty new line

             if isempty(newlinestart) %means no empty new line
                    symbols{end+1} =deblank(temp);
             else

                    symbols{end+1} =deblank(temp(1:newlinestart-1)); % only save the content without the empty new line
             end
         end
     else
        warning(['Could not find the file ',symbolfile]);
         return;
     end

    end

get_symbol_data.m

2010-02-13T08:44:00.000-08:00

function [dates opens highs lows closes volumes]=get_symbol_data(symbol,days)
%
% This function returns stock data array by input stock file .csv file and number of days
%
%
% If you have MATLAB, you can use "importdata" function to get the job done easily.
% This script can be run both in MATLAB and in FreeMAT
% If you run this script in MATLAB, please change fgetline to fgetl
%
% 14-feb-2010, notice the zero volume day is in dataset, we have to get rid of these days
%
%   Copyright 2010 EdgeMe
%   EdgeMe, 10-Feb-2010
%
%
dates=[];
    opens=[];
    highs=[];
    closes=[];
    lows=[];
    volumes=[];
    %this is our data file path, change to your if different
    datapath='c:\relativestrength\temp';
    symbolfile=[symbol,'.csv'];
    datafile=[datapath,'\',symbolfile];

    extradays=10; %some days are holidays, but data file still have entry;

    if exist(datafile)>0
     rawdata=[];
     fid = fopen(datafile);
     d=0;
     while (d<days+extradays)
         rawdata{end+1} = fgetline(fid);% if run in the MATLAB, use fgetl(fid)
         d=d+1;
     end
     fclose(fid);
     totaldays=numel(rawdata);

     for i=0:totaldays-1
         % since the first data is the latest data, so we treat the oldest data first
         if ~isempty(rawdata{totaldays-i})
         temp=split_str_by_comma(rawdata{totaldays-i});

         if isempty(temp)
             return;
         end
         if str2num(temp{6})>0 %make sure we have real data
         dates{end+1}=temp{1};
         opens(end+1)=str2num(temp{2});
         highs(end+1)=str2num(temp{3});
         lows(end+1)=str2num(temp{4});
         closes(end+1)=str2num(temp{5});
         volumes(end+1)=str2num(temp{6});
         end
         end
     end
     if numel(dates)>days
         dates=dates(end-days+1:end);
         opens=opens(end-days+1:end);
         highs=highs(end-days+1:end);
         lows=lows(end-days+1:end);
         closes=closes(end-days+1:end);
         volumes=volumes(end-days+1:end);
     end

    else
      warning(['No data file found for ',symbol]);
      return;
    end


end

gen_myList.m

2010-02-13T08:38:00.000-08:00

%
% This script is to generate a watch list according to your magic formula criteria
%

% to get list of symbols we want to choose from
symbols=get_symbols('all_symbols.txt');

% initialize the result list
myList=[];

% now loop thru all symbols
for i=1:numel(symbols)

    % get data for each symbol
    [dates opens highs lows closes volumes]=get_symbol_data(symbols{i},2);

    % for this example, we will generate a list of stock that move up 2% for the day
    % so we need only 2 days of data; change the criteria of your own if you wish.

    % make sure we have data for the symbol
    if (~isempty(closes))
       % now let's find out if the stock meet our 2% up day
        if (100*(closes(2)-closes(1)))/closes(1) >= 2
        %ok, this one is up 2%
        % save into the list
          myList{end+1}=symbols{i};
        end
    end

end

% now we are here, myList should contain all the stock that met our criteria.
% we can save into a HTML file with a hyperlink to a charting website
if ~isempty(myList) %make sure we have at least one stock that met our criteria to save to a file
 save2html('myList.html',myList,'My list per my magic formula'); % generate a HTML file
 disp('Your magic stock list is generated in myList.html');
else
 disp('Sorry, No stock met your magic formula');
end