www.gusucode.com > trading工具箱matlab源码程序 > trading/tradingdemos/krgSingleStockOptimizer.m
function x = krgSingleStockOptimizer(strategy,k,tradeData,Lambda) %KRGSINGLESTOCKOPTIMIZER Single stock optimization objective function. % Copyright 2016 The MathWorks, Inc. % Determine which strategy is being used [~,povFlag,timeFlag,tsvpFlag] = krg.krgDataFlags(tradeData); if povFlag tradeData.POV = strategy; elseif timeFlag tradeData.TradeTime = strategy; elseif tsvpFlag tradeData.TradeSchedule = strategy; end % Calculate costs, x is the total cost mi = marketImpact(k,tradeData); tr = timingRisk(k,tradeData); pa = priceAppreciation(k,tradeData); x = (mi + pa) + Lambda .* tr;