afr.m

来自「A technical trading system comprises a s」· M 代码 · 共 13 行

function H=AFR(Index,xPer,longtrade,shorttrade,mxArgus)
%---------------------------------------------------------------------------------------------
% H=AFR(Index,X filter Percentage, Long trade array, Short trade array, Data Matrix)
% Alexander抯 Filter Rule
% This system was first introduced by Alexander (1961, 1964) and exhaustively tested by
% numerous academics until the early 1990s. Since then, its popularity among academics has been
% replaced by moving average methods. This system generates a buy (sell) signal when today抯
% closing price rises (falls) by x% above (below) its most recent low (high). Moves less than x% in
% either direction are ignored. Thus, all price movements smaller than a specified size are filtered
% out and the remaining movements are examined. Alexander (1961, p. 23) argued that 揑f stock
% price movements were generated by a trendless random walk, these filters could be expected to
% yield zero profits, or to vary from zero profits, both positively and negatively, in a random
% manner.