test_simplecandle.m

Matlab Financial Toolbox

% Copyright (c) 2007 the authors listed at the following URL, and/or
% the authors of referenced articles or incorporated external code:
% http://en.literateprograms.org/MATLAB_Financial_Toolbox?action=history&offset=20060826024523
% 
% Permission is hereby granted, free of charge, to any person obtaining
% a copy of this software and associated documentation files (the
% "Software"), to deal in the Software without restriction, including
% without limitation the rights to use, copy, modify, merge, publish,
% distribute, sublicense, and/or sell copies of the Software, and to
% permit persons to whom the Software is furnished to do so, subject to
% the following conditions:
% 
% The above copyright notice and this permission notice shall be
% included in all copies or substantial portions of the Software.
% 
% THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
% EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
% MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.
% IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY
% CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT,
% TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
% SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
% 
% Retrieved from: http://en.literateprograms.org/MATLAB_Financial_Toolbox?oldid=7473



sgm = 0.23 / sqrt(250);
mu  = (1+ 0.04)^(1/250)-1;
S0  = 100;
nb  = 1000;
sam = 10;

T   = 1+(1:nb)'/250;
S   = S0 * exp( (mu-sgm^2/2)*T + sgm * cumsum(randn(nb,1)));

Soc   = [S(1:sam:end-1), S(sam-1:sam:end-1)];
Shl   = [max(reshape(S, sam, length(S)/sam)); min(reshape(S, sam, length(S)/sam))];
Sohlc = [Soc(:,1), Shl', Soc(:,2)];
t     = T(ceil(sam/2):sam:end-1);


figure('Color',[0.9412 0.9412 0.9412 ]);
h1 = subplot(2,1,1); plot(T, S); 
datetick('x',6,'keeplimits');

volumes = ceil(exp( randn(length(Sohlc),1) + 7))+100;


data    = struct('title', 'exp brownian motion', 'value', [Sohlc, volumes], ...
                 'names', {{'open', 'high', 'low', 'close', 'volume'}}, 'date', t);



h2 = subplot(2,1,2);
candle(Sohlc(:,2), Sohlc(:,3), Sohlc(:,4), Sohlc(:,1), [.5 0 0], t, 6)
linkaxes([h1, h2], 'x');



simplecandleplot( data, 'prices', 'open;high;low;close', 'volumes', 'volume')
simplecandleplot( data, 'prices', 'open;high;low;close', 'volumes', 'volume', 'mode', 'highlow')