@ function handle help for finance

I'm trying to pass a funtion I have created called Itrend through another function. Itrend accepts two inputs, Alpha, and Lag. It outputs the sortino ratio. The function I want to run it through is designed to maximize the sortino ratio across a predefined range. This function is called parameterSweep, the code is here. The bolded part is what I can't format correctly:

range={.02:.005:.2,1:20}

fun = @(x) deal(Itrend(Alpha,Lag))

[respmax,varmax,resp,var] = parameterSweep(fun,range)

[Will]

The code for parameterSweep has been added below.

Answer 1

[Walter Roberson]

deal() is only used to return multiple outputs, which your description does not require.

You either want

fun = @(x) ltrend(x,Lag);

or

fun = @(x) ltrend(Alpha,x);

but we cannot tell from your description which. You said "range" but not which variable the range applies to.

[Will]

My apologies. Alpha and Lag are both parameters that are input into Itrend. When put into Itrend, they are constants. However, the purpose of the parameterSweep is to try a whole range of each of these parameters and their combinations and maximize the output of Itrend.

With regards to the range. The term {.02:.005:.2} is the range for Alpha that the parameterSweep is meant to scan over, and {1:1:20} is the same for Lag.

Answer 2

[Honglei Chen]

I don't quite see the relation of inputs. It looks like Alpha and Lag are constants and it has nothing to do with x, so what's the purpose of this function?

If Alpha and Lag is derived from range, then you may want to define it as following:

fun = @(Alpha,Lag) ltrend(Alpha,Lag)

[Will]

please see my answer above to Walter. I don't believe I will need to use the deal function.

[Honglei Chen]

Then it is just fun = @(Alpha,Lag) ltrend(Alpha,Lag), I'm also updating my answers above.

Answer 3

[Will]

function [respmax,varmax,resp,var] = parameterSweep(fun,range)
%PARAMETERSWEEP performs a parameters sweep for a given function
%   RESPMAX = PARAMETERSWEEP(FUN,RANGE) takes as input a function handle in
%   FUN and the range of allowable values for inputs in RANGE.
%
%   FUN is a function handle that accepts one input and returns one output,
%   F = FUN(X), where X is an array of size N x M.  N is the number of
%   observations (rows) and M is the number of variables (columns).  F is
%   the response of size N x 1, a column vector;
%
%   RANGE is a cell array of length M that contains a vector of ranges for
%   each variable.
%
%   [RESPMAX,VARMAX,RESP,VAR] = PARAMETERSWEEP(FUN,RANGE) returns the
%   maximum response value in RESPMAX, the location of the maximum value in
%   VARMAX, an N-D array of the response values in RESP, and and N-D array
%   where the size of the N-D array depends upon the values in RANGE.
%   NDGRID is used to generate the arrays.
%
%   Examples:
%   % Example 1: peaks function
%     range = {-3:0.1:3, -3:0.2:3};  % range of x and y variables
%     fun = @(x) deal( peaks(x(:,1),x(:,2)) ); % peaks as a function handle
%     [respmax,varmax,resp,var] = parameterSweep(fun,range);
%     surf(var{1},var{2},resp)
%     hold on, grid on
%     plot3(varmax(1),varmax(2),respmax,...
%         'MarkerFaceColor','k', 'MarkerEdgeColor','k',...
%         'Marker','pentagram', 'LineStyle','none',...
%         'MarkerSize',20, 'Color','k');
%     hold off
%     xlabel('x'),ylabel('y')
%     legend('Surface','Max Value','Location','NorthOutside')
%
%   See also ndgrid

%% % Copyright 2010, The MathWorks, Inc. % All rights reserved.

%% Check inputs if nargin == 0 example(1) else %% Generate expression for ndgrid N = length(range); if N == 1 var = range; else in = ''; out = ''; for i = 1:N in = [in,'range{',num2str(i),'},']; out = [out,'var{',num2str(i),'},']; end in(end) = []; % remove last commas out(end) = [];

        %%Evaluate ndgrid
        eval( ['[',out,'] = ndgrid(',in,');'] );
    end
    %%Perform parameter sweep
    sz = size(var{1});
    for i = 1:N
        var{i} = var{i}(:);
    end
    resp = fun(cell2mat(var));

    %%Find maximum value and location
    [respmax,idx]   = max(resp);
    for i = 1:N
        varmax(i) = var{i}(idx);
    end

    %%Reshape output only if requested
    if nargout > 2
        resp = reshape(resp,sz);
        for i = 1:N
            var{i} = reshape(var{i},sz);
        end
    end %if

end %if