Run matlab code in python

import matlab.engine
eng = matlab.engine.start_matlab()
eng.mscriptname(nargout=0)

Source: mathworks.com

Run matlab code in python

% 1 minute data on GLD-USO
load('inputData_ETF', 'tday', 'syms', 'cl');
idxG=find(strcmp('GLD', syms));
idxU=find(strcmp('USO', syms));

x=cl(:, idxG);
y=cl(:, idxU);

lookback=20; % Lookback set arbitrarily short
hedgeRatio=NaN(size(x, 1), 1);
for t=lookback:size(hedgeRatio, 1)
    regression_result=ols(y(t-lookback+1:t), [x(t-lookback+1:t) ones(lookback, 1)]);
    hedgeRatio(t)=regression_result.beta(1);
end

y2=[x y];

yport=sum([-hedgeRatio ones(size(hedgeRatio))].*y2, 2); % The net market value of the portfolio is same as the "spread"
hedgeRatio(1:lookback)=[]; % Removed because hedge ratio is indterminate
yport(1:lookback)=[]; 
y2(1:lookback, :)=[];

Source: epchan.com

Similar codes

0 vote233 views1 answer
Seaborn boxplot legend color
Python
2 votes176 views2 answers
Django regexvalidator example
Python
1 vote160 views1 answer
Python invert binary tree
Python
7 votes162 views3 answers
Opencv2 python show
Python
0 vote168 views1 answer
Django.core.exceptions.ImproperlyConfigured: Application labels aren't unique, duplicates: auth
Python
-1 vote154 views1 answer
Pandas mask multiple condition
Python
5 votes164 views1 answer
How to unzip files using zipfile module python
Python
11 votes148 views2 answers
Python find and replace string in file
Python
8 votes212 views2 answers
Create a list of alphabets in python
Python
2 votes145 views1 answer
Fyit download
Python