MATLAB: How to exclude the center/current number when performing movmax

donchian trendmovmax

Im trying to create the Donchian Channel which uses the preceding 20day high. So I figure to use movmax but it includes the current/center number.
A = [4 8 6 -1 -2 -3 -1 3 4 5];
M = movmax(A,[2 0])
M =
       4     8     8     8     6    -1    -1     3     4     5
Is there a way to not include the center value?

Best Answer

There's no direct way to exclude the current point in a given window with the moving statistics functions. However, since you want a trailing maximum in this particular answer, it is fairly easy to get around. As Jan pointed out, a 20-point trailing maximum that excludes the current point can be computed as a 19-point trailing maximum with a 1-point shift. So, you should be able to just do:
   movmax([-Inf x(1:(end-1))], [18 0]);
I believe this should be equivalent to what you want (although you'll have to decide what should happen for the first point, where you'd have a window only containing the current point).
Related Question