contents.md

Contents

Arithmetic Operations

• ceil - Round toward positive infinity
• cumdev - Cumulative mean deviation
• cummax - Cumulative max of array elements
• cummin - Cumulative min of array elements
• cumprod - Cumulative product of array elements
• cumsum - Cumulative sum of array elements
• diff - Differences between adjacent elements in array
• dot - Arrays dot product X * Y
• fix - Round toward zero
• floor - Round toward negative infinity
• ldivide - Left array division X. \ Y
• minus - Subtraction X - Y
• mldivide - Matrix division X \ Y
• mod - Modulus after division
• mpower - Matrix power X ^ Y
• mrdivide - Matrix division X / Y
• mtimes - Matrix multiplication X * Y
• plus - Addition X + Y
• power - Element-wise power X. ^ Y
• prod - Product of array elements
• rdivide - Right array division X. / Y
• rem - Remainder after division
• round - Round to nearest integer
• sum - Sum of array elements
• times - Array multiply X. * Y
• uminus - Unary minus -X

Array Creation and Concatenation

• array - Create an array with custom elements
• cat - Concatenate arrays and matrices
• clone - Create a clone of the input array or matrix
• diag - Diagonal matrix and get diagonals of a matrix
• eye - Identity matrix
• falses - Create array of all false
• horzcat - Concatenate arrays or matrices horizontally
• isarray - True for array
• linspace - Create linearly spaced arrays
• logspace - Create logarithmically spaced arrays
• matrix - Create a matrix object
• ones - Create array of all ones
• rand - Uniformly distribuited pseudorandom numbers
• subset - Subset of array or matrix based on X,Y coordinates
• substelin - Subset of array or matrix based on linear indexing
• tomat - Convert number or array to matrix
• trues - Create array of all true
• vertcat - Concatenate arrays or matrices vertically
• zeros - Create array or matrix of all zeros

Array Dimensions

• iscolumn - True for column vector
• isempty - True for empty array or matrix
• ismatrix - True for matrix
• isrow - True for row vector
• isscalar - True for scalar input
• issquare - True for square matrix
• isvector - True for vector input
• length - length of vector or largest array dimension
• ncols - Number of columns in vector|matrix MxN
• ndims - Number of array dimensions
• nrows - Number of rows in vector|matrix MxN
• numel - Number of elements in an array
• size - Size of N-D array

Basic Statistic

• histc - Histogram count

Complex Numbers

• abs - Absolute value
• sign - Signum function

Create and Concatenate Strings

• randchar - Generate a random alpha-numeric string

Data Transformation

• ret2tick - Convert a return series to a value series with a start value
• tick2ret - Convert a value series to a return series

Data Type Identification

• isfunction - True for function
• isinteger - True for integer
• isnull - True for null values
• isnumber - True for number
• isstring - True for string values
• isundefined - True for undefined values

Datafeed

• yahoo - Download CSV Yahoo Finance historical (async request)
• yahooSync - Download CSV Yahoo Finance historical (sync request)

Dates and Time

• clock - Current date and time as date vector
• datenum - Convert date and time to serial date number (Unix)
• datestr - Convert serial date number (Unix) to string format
• datevec - Convert date and time to vector of components
• month - Month of date
• now - Current date and time as date number (unix)
• today - Current date
• weekday - Day of week

Descriptive Statistic

• corrcoef - Correlation coefficients of two arrays X,Y
• cov - Covariance matrix
• iqr - Interquartile range
• kurtosis - Kurtosis
• mad - Mean absolute deviation
• max - Largest element in array
• mean - Average value of array
• median - Median value of array
• min - Smallest element in array
• mode - Most frequent value in an array of elements
• moment - Central moments
• prctile - Percentiles of a sample
• quantile - Quantilies of a sample
• quartile - Quartilies of a sample
• range - Range of values
• skewness - Skewness
• std - Standard deviation
• varc - Variance
• xkurtosis - Excess kurtosis
• zscore - Standardized Z score

Distance metrics

• pdist - Pairwise distance between two sets of observations

Distribution Tests

• jbtest - Jarque-Bera test

Exponents and Logarithms

• exp - Exponential value
• log - Square root

Indexing

• colon - Array of numbers from L to U with step S
• end - Last index in array or matrix
• find - Find indices of nonzero elements
• getcol - Get a column of a matrix
• getrow - Get a row of matrix
• ind2sub - Multiple subscripts from linear index
• setcol - Set a column of a matrix
• setrow - Set a row of matrix
• sub2ind - Subscripts to linear indices

Interpolation

• interp1 - Linear interpolation

Linear Equations

• inv - Matrix inverse
• linsolve - Solve linear system of equations Ax = b

Linear Regression

• linearreg - Linear regression of Y on X

Logical Operations

• islogical - True for logical input

Matrix Analysis

• det - Matrix determinant

Matrix Decomposition

• lu - LU matrix factorization

Matrix Types

• issingular - True for singular matrix

Normal Distributions

• normcdf - Normal cumulative distribution function (cdf)
• norminv - Inverse of the normal cumulative distribution function (cdf)
• normpdf - Normal probability density function (pdf)

Numeric Types

• isnan - True only for NaN input

Parse Strings

• strfind - Find one string within another

Performance metrics

• activereturn - Active return
• annreturn - Annualized Return
• cagr - Compound annual growth rate
• irr - Internal rate of return on an investment based on a series of periodic cash flows
• mdietz - Historical performance of an investment portfolio with external cash flows
• percpos - Percentage of positive values in array or matrix
• ror - Simple rate of return
• twr - True Time-weighted return measures the returns of the assets irrespective of the amount invested

Relational Operations

• eq - Equality X === Y
• ge - Greater than or equal to X >= Y
• gt - Greater than X > Y
• le - Less than or equal to X <= Y
• lt - Less than X < Y
• ne - Inequality X !== Y

Risk metrics

• adjsharpe - Adjusted Sharpe Ratio
• annadjsharpe - Annualized Adjusted Sharpe Ratio
• annrisk - Annualized Risk
• avgdrawdown - Average drawdown
• burkeratio - Burke Ratio
• calmarratio - Calmar Ratio
• cdrawdown - Continuous Drawdown
• downsidepot - Downside potential
• downsiderisk - Downside Risk
• drawdown - Drawdown
• histcondvar - Historical Conditional Value-At-Risk
• histvar - Historical Value-At-Risk
• inforatio - Information Ratio
• jensenalpha - Jensen alpha
• m2sortino - M-squared for Sortino
• martinratio - Martin Ratio
• modigliani - Modigliani index for risk-adjusted return
• montecarlovar - Montecarlo Value-at-Risk
• omegaratio - Omega ratio
• painindex - Pain Index
• painratio - Pain Ratio
• paramcondvar - Parametric Conditional Value-At-Risk
• paramvar - Parametric Value-At-Risk
• sharpe - Sharpe Ratio
• sortino - Sortino ratio
• sterlingratio - Sterling Ratio
• trackerr - Tracking Error (ex-post)
• treynor - Treynor Ratio
• ulcerindex - Ulcer Index
• upsidepot - Upside potential

Set Operations

• unique - Unique values in array or matrix

Sorting and Reshaping Arrays

• flatten - Flatten a matrix
• flipdim - Flip order of elements in array or matrix
• fliplr - Flip matrix left to right
• flipud - Flip matrix up to down
• mergesort - Sort array in ascending/descending order
• repmat - Replicate and tile array
• reshape - Reshape array or matrix with custom values
• sort - Sort array elements in ascending/descending order
• squeeze - Remove singleton dimensions from N-D arrays (matrices)
• transpose - Transpose X.'

Special Functions

• erf - Error function
• erfc - Complementary error function
• erfcinv - Inverse complementary error function
• erfinv - Inverse error function

Structures

• arrayfun - Apply function to each element of an array or matrix
• vectorfun - Apply a function to each vector column or row of a matrix

Time Series Analysis

• hurst - Hurst index/exponent
• tomonthly - Convert a time series to a monthly frequency
• toweekly - Convert a time series to a weekly frequency

Utility

• argsarray - Converting arguments to an array
• format - Set display format for output (numbers)