MATLAB: How to create a loop for rolling window returns

covariancemeanreturnsrolling window

Hi to all,

I do not know the MATLAB environment well, I wanted to ask if someone could tell me how to create a loop with the sample – out sample method. I would like to find the mean and the covariance of returns, as follows:

returns = rand(2013, 30);

I would like to find the mean from 1 to 500, from 21 to 521, etc.

I'll explain better: M1 = mean of RR 1->500; M2 = mean of RR 21->521; M3 = mean of RR 41->541; …

With a step of 20 positions.I tried to follow these examples but I could not:

https://it.mathworks.com/matlabcentral/answers/304309-moving-window-to-create-rolling-covariance-matrix

https://it.mathworks.com/matlabcentral/answers/247677-how-to-calculate-moving-covariance-in-a-matrix

Thanks for your help.

Best Answer

Giorgio - rather than dynamically creating variables (never a good idea, see TUTORIAL: Why Variables Should Not Be Named Dynamically (eval)) consider using arrayfun to create a cell array of means. For example,

 n = 2013;
 m = 500;
 returns = rand(n, 30);
 returnsMeans = arrayfun(@(k)mean(returns(k:m+k-1,:)),1:20:(n-m+1),'UniformOutput',false);

The above should return the means for 76 blocks of size 500. You can probably do something similar using cov.

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MATLAB: Concatenate arrays within a loop,

Easy, given any number of arrays in a cell array C. You could use a loop like this, although it is inefficient because the output array is not preallocated:

C = {[1,2],[3,4],...} % cell array of arrays.
A = C{1};
for k = 2:numel(C)
    A = [A;C{k}];
end

Simpler and more efficient would be to concatenate them all at once, without a loop, e.g.:

A = vertcat(C{:})

Whatever you do, do NOT try to access variable names dynamically in a loop! Read this to know why:

https://www.mathworks.com/matlabcentral/answers/304528-tutorial-why-variables-should-not-be-named-dynamically-eval

Using an array (e.g. a cell array) and indexing is much simpler, neater, much more efficient, less buggy, and easier to debug.

MATLAB: Is there any way to convert variables from list to arrays

Simply store the data in one structure, and then it is trivially easy (no slow, buggy eval is required):

>> S.a = [1,2,3];
>> S.b = [2,3,4];
>> C = {'a','b'};
>> S.(C{1})
ans =
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Simpler code through better code design: faster, neater, simpler, more efficient, easiest to debug, less complex. Why waste your time learning bad ways to write code?:

https://www.mathworks.com/matlabcentral/answers/304528-tutorial-why-variables-should-not-be-named-dynamically-eval

Best Answer

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MATLAB: Concatenate arrays within a loop,

MATLAB: Is there any way to convert variables from list to arrays

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