This example shows how to use a standalone Stateflow® chart to model a financial trading strategy known as Bollinger Bands. Standalone charts implement classic chart semantics with MATLAB® as the action language. You can program the chart by using the full functionality of MATLAB, including those functions that are restricted for code generation in Simulink®. For more information, see Create Stateflow Charts for Execution as MATLAB Objects.
The Bollinger Bands trading strategy is to maintain a moving average of
N stock prices for some commodity and issuing trading instructions depending on the value of the stock:
"Buy" when the value of the stock drops
K standard deviations below the moving average.
"Sell" when the value of the stock rises
K standard deviations above the moving average.
"Hold" when the value of the stock is within
K standard deviations of the moving average.
Typical implementations for this strategy use values of
N = 20 and
K = 2.
sf_stock_watch.sfx defines a standalone Stateflow chart that implements this financial strategy. The chart consists of two outer states in parallel decomposition.
StockTicker subchart records the current price of a stock. The subchart hides the details for calculating stock prices. To access real-time market data from financial data providers, one possible implementation involves the use of the Datafeed Toolbox™. For details, see Datafeed Toolbox.
FinancialAdvisor state uses the last
N stock prices to compute high and low bands. Depending on the current price relative to these bands, the state generates "buy," "sell," or "hold" instructions. The action
on every(1,sec) creates a MATLAB® timer to execute the chart every second. See Control Chart Execution by Using Temporal Logic.
Parallel decomposition is a common design pattern that enables your algorithm to preprocess input data. For more information, see State Decomposition.
To execute the standalone chart, create a Stateflow chart object w:
w = sf_stock_watch();
The chart generates a stream of stock prices and issues "buy," "sell," or "hold" instructions.
Note: Chart execution continues until you delete the chart object. Loading data... Ready in 5 4 3 2 1 0: HOLD at 14.1942 SELL at 14.2802 SELL at 14.247 HOLD at 14.2025 BUY at 14.1444
To stop the chart execution, delete the chart object w: