Storing results from a for-loop in a vector of zeros

I have the code Backtesting_10day_II (here attached).

From line 23-26 I created 4 vectors (of zeros) to pre-allocate the results from the for-loop, each of these results is the value of a portfolio calculated every 10 days (V_min_var, V_eff_var, V_min_ES, V_eff_ES).

Now in the for loop: i goes from 1001 until 3721, there are 273 iterations (n= 3740 and i=1001:10:n-19), so thinking logically there should be only 274 results per portfolio (274 values per portfolio), which means that each pre-allocating vector should be of size 274x1.

After I run the program I checked the pre-allocating vectors and I found that they were size 3731x1, the majority of the numbers were zeros (zeros from row 1 to 1000,then actual values at rows 1001,1011,1021,1031,etc until 3731, but everything in between is zero). I don't understand this because I predefined these vectors to be of size 274x1.

Why do I have so many zeros in between my results? and how can I fix this? I only need the results not the zeros in between.

Thanks!

Answer 1

[Iain]

Indexing in matlab is done from a base of one.

So,

 A(3479) = 1;

will change the 3479th element of A to 1.

You need to change how you are indexing your variables with the iteration number, rather than the loop variable. - How you manage that is up to you.

[civs]

Can you guide me a little bit? I need the iteration to be every 10 values. This should in theory work, right?

How can I make a vector with only the results from the pre-allocation vector? I just want to get rid of the zeros.

[Adam]

Simplest way is probably just to introduce a variable separate to your loop control as e.g.

counter = 1

for i= 1001:10:n-19

     ...
     V_min_var( counter ) = ...
     ...

     counter = counter + 1;
  end

[civs]

I don't understand what "counter" does... is this just to get the results and not the zeros out from the pre-allocation vectors?

[Adam]

counter is just the index into your pre-allocated array so that you fill it up contiguously rather than it ending up resizing itself upto 3731 mostly zero values.

[civs]

So "counter" will fill the pre-allocated vectors with the actual results (value of the portfolios) ONLY and not the zeros?... That's exactly what I need! Ok.. so would this work for example (for the first portfolio)?

counter= 1

for i= 1001:10:n-19 %from 1001 until 3721

 % Determine weights of global min-var portfolio

 wmin_var{i-1000}= mean_var_portopt2(-10, Rets (i-1000:i-1,:));

 PR_min_var(i+10)= Rets(i+10,:)* wmin_var{i-1000};

 % Compute tomorrow's portfolio value as

 V_min_var(1001)=1000;  %first value is fixed 

 V_min_var(counter)= V_min_var(i)*(PR_min_var(i+10)+1);

counter= counter+1

end

I guess I can do the same with to the other portfolios, right?

[Adam]

Should work for all of them. Pre-allocation fills the vectors with zeros, this method just ensures that only the pre-allocated elements of the vector are then assigned values because if you call e.g.

myVector(1000) = someValue;

then myVector will be extended to size 1000 and padded with zeros if its previous size was < 1000.

[civs]

I just tried it, and I got this error:

Attempted to access V_min_var(1011); index out of bounds because numel(V_min_var)=1001.

Error in Backtesting_10day_II (line 40)

 V_min_var(counter)= V_min_var(i)*(PR_min_var(i+10)+1);

I don't understand... I was afraid it will not work out... what can I do to fix it?

[civs]

Surely there must be an easier way to do this... I just want the results not the zeros and I know that the results are at row 1001, 1011, 1021, 1031, etc.. what if I do this?

Portfolio_1= V_min_var(1001:10:end)

[Iain]

You are confusing "value" for "index".

You must always address vectors with an index. An index can be related to a value by a simple algorithm (eg (i-991)/10 ), or by finding a value's position in a list (find(x == 45,1))

[civs]

Ok, but how would it work for my problem here...? find(x==1001:10:3731)

I need a concrete answer. It doesn't need to be a sophisticated solution, just a simple solution will do.