rs.txt

金融分析中求出r/s分析的r/s值

pro rs


;read data
openr,lun,'F:\大三下\建模\idl\data_1.dat',/GET_LUN
data=fltarr(1,196) & READF,lun,data
x=reform(data)

ers=fltarr(195)

for n=2,196 do begin
   if 196 MOD n eq 0 then begin
      m=196/n
    endif else begin
      m=196/n+1
    endelse

    ex=fltarr(m)
    q=fltarr(m)
    r=fltarr(m)
    s=fltarr(m)
    d=fltarr(n)

    sum1=float(0)


    for j=0,m-1 do begin
       if j*n+n-1 gt 195 then begin
           ex[j]=mean(x[j*n:195])
           if j*n eq 195 then begin
             s[j]=0
             endif else begin
             s[j]=stdev(x[j*n:195])
             endelse
       endif else begin

       ex[j]=mean(x[j*n:j*n+n-1])
       s[j]=stdev(x[j*n:j*n+n-1])

       for k=1,n do begin
          for t=1,k do begin
          test=j*n+t-1
          sum1=sum1+x[test]
          endfor
          d[k-1]=sum1-k*ex[j]
        endfor
        r[j]=max(d)-min(d)
        q[j]=r[j]/s[j]
       endelse
     endfor

  ers[n-2]=mean(q[0:m-1])



 endfor

result=fltarr(1,195)
result[0,*]=ers

openw,lun,'F:\大三下\建模\idl\data_out.dat',/GET_LUN
printf,lun,result & FREE_LUN,lun








end