correlationTest.m

clear;

load('inputDataOHLCDaily_20120517', 'tday', 'syms', 'cl');
idx=strmatch('TU', syms, 'exact');

tday=tday(:, idx);
cl=cl(:, idx);

% Correlation tests
for lookback=[1 5 10 25 60 120 250]
    for holddays=[1 5 10 25 60 120 250]
        ret_lag=(cl-backshift(lookback, cl))./backshift(lookback, cl);
        ret_fut=(fwdshift(holddays, cl)-cl)./cl;
        badDates=any([isnan(ret_lag) isnan(ret_fut)], 2);
        ret_lag(badDates)=[];
        ret_fut(badDates)=[];
        
        if (lookback >= holddays)
            indepSet=[1:holddays:length(ret_lag)];
        else
            indepSet=[1:lookback:length(ret_lag)];
        end

        ret_lag=ret_lag(indepSet);
        ret_fut=ret_fut(indepSet);
            
        [cc, pval]=corrcoef(ret_lag, ret_fut);
        %         fprintf(1, 'lookback=%3i holddays=%3i cc=%7.4f pval=%6.4f\n', lookback, holddays, cc(1, 2), pval(1, 2));
        fprintf(1, '%3i\t%3i\t%7.4f\t%6.4f\n',  lookback, holddays, cc(1, 2), pval(1, 2));
    end
end