Conditional Calculations or Loop

I've got a question about how Matlab works with conditional formulas. I have a dataset imported that contains tickers, dates, and returns (each as separate arrays). What I'd like to calculate eventually are large rolling period medians applying various filters to my datasets. To get started, I'm wondering if someone can point me in the right direction.

What I'd like to do is calculate the product of my (MyReturns) array for each ticker in my tickers array(MyTickers) and a certain time period (MyDates). Once I have all the product’s calculated, I’d like to calculate the median of that dataset and write that value to a separate array for future use and move on to another time period. My Data looks like this (see below)-

Say I want to calculate the Product of MyReturns for MyDates = 1/1 and 1/2. Then find the median of the returns and store that value. How would I go about writing a formula or a loop to do that calculation within Matlab?

Thanks a lot! Brian

MyTickers  MyDates      MyReturns
GOOG    1/1/2011  1.01
GOOG    1/2/2011  1.02
GOOG    1/3/2011  0.99
GOOG    1/4/2011  0.98
GOOG    1/5/2011  1
AAPL    1/1/2011  1.03
AAPL    1/2/2011  1.01
AAPL    1/3/2011  1.02
AAPL    1/4/2011  0.99
AAPL    1/5/2011  0.98
IBM    1/1/2011  1
IBM    1/2/2011  1.01
IBM    1/3/2011  1.01
IBM    1/4/2011  0.99
IBM    1/5/2011  0.99

Answer 1

[Fangjun Jiang]

All you need is to properly index and select the data from the array. I don't understand what do you mean by "Product" though.

MyTickers={'GOOG','GOOG','GOOG','AAPL','AAPL','IBM','IBM'}';
MyDates={'1/1/2011','1/2/2011','1/3/2011','1/1/2011','1/2/2011','1/2/2011','1/3/2011'}';
MyReturns=[1.01 1.02 0.99 1.03 1.04 0.8 0.7];

MyNumDates=datenum(MyDates);
Index1=strcmp(MyTickers,'GOOG');
Index2=MyNumDates>=datenum('1/1/2011') & MyNumDates<datenum('1/3/2011');

Index=Index1 & Index2;

SelectData=MyReturns(Index)
prod(SelectData)

[Brian]

The product is multiplying of all numbers in my array that meet the specified criteria. In this case I am geometrically linking stock returns. To get the total return for GOOG for my period (1/1 - 1/2) I need the product of (1.01 * 1.02). These are the returns that fit my date range. I need the product of all tickers for this date range, then I need the median of those returns.

Hopefully that makes sense.

Thanks again for the help,

Brian

[Fangjun Jiang]

Okay, then prod() is what you need.

[Brian]

I think you've given me enough to get started. However, the code that you gave me suggests that I only have a few dates and a few securities. I actually have a few years worth of dates and a few thousand securities. I will need to programatically move those each of those lists. How would I go about doing that?

[Fangjun Jiang]

I don't understand. In the example, MyTickers etc. only has a few elements. If you have hundreds of elements, the code will work the same and return whatever data that meets the criteria.