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Out of Memory on Function

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IDN
IDN on 9 Jul 2022
Commented: dpb on 9 Jul 2022
Hello,
I have the below function from Matlab file exchange. I am getting an out of memory alert on RSI every time I run a large data set. How can I employ tall arrays in this particulat function? Thanks so much for the help!
function RSI = calc_RSI(data, N)
% CALC_RSI Calculate RSI indicator given stock price vector
% RSI = calc_RSI(data, N) calculates the Relative Strength Index (RSI)
% for the stock price vector, data, over a period of N trading days.
% Typically the vector 'data' is a list of sequential closing prices for
% a stock.
%
% RSI = calc_RSI(data) uses the default period of 14 trading days in
% calculating the RSI.
%
% EXAMPLES
% RSI = calc_RSI(stock,20);
% Returns the RSI for the data in the vector 'stock' over a
% period of 20 days.
%
% RSI = calc_RSI(stock);
% Returns the RSI for the data in the vector 'stock' using the
% default period of 14.
%
% DATA FORMAT
% data - The vector 'data' must be a numerical vector containing
% stock prices over consecutive days. The first and oldest stock
% price must be located in the first sample (data(1)), while the
% last and newest stock price is at the end of the array
% (data(end)).
%
% N - N is a numerical number specifying the number of samples to use
% for each period. The default value is 14.
%
% RSI - RSI is a vector returned by the program that contains the RSI
% values calculated by the function. The first RSI value is
% calculated using the first N samples. Therefore, the returned
% RSI vector is not the same length as the data vector, but will
% instead have length(data)-N samples. The last sample in the
% RSI vector (RSI(end)) corresponds to the RSI value for the most
% recent date.
% Created by Josiah Renfree
% February 8, 2008
% If no data is passed to the function, give error
if nargin == 0
error('Please provide a vector of stock prices') % error prompt
end
% If only one variable is passed, set default period to 14
if nargin == 1
N = 14; % set default period
end
RSI = zeros(1,length(data) - N); % intialize RSI vector
Adva = zeros(1,N); % initialize positive gain vector
Decl = zeros(1,N); % intiialize negative gain vector
% Use the first N samples to calculate the intitial RSI value
for i = 1:N
chg = data(i+1) - data(i); % find difference between days
if chg >= 0 % if positive change, it advanced
Adva(i) = chg; % save to variable
else % if negative change, it declined
Decl(i) = abs(chg); % save to variable
end
end
AvgGain = mean(Adva); % take mean of all price increases
AvgLoss = mean(Decl); % take mean of all price decreases
if AvgLoss == 0 % if average loss is 0, RSI is 100
RSI(1) = 100; % set RSI to 100
else
RS = AvgGain / AvgLoss; % calculate RS value
RSI(1) = 100 - (100/(1+RS)); % calculate intitial RSI value
end
clear Adva Decl % clear variables
% Now cycle through the rest of the data using the initial RSI value to
% calculate the remaining RSI values.
for i = 1+N:length(data)-1
chg = data(i+1) - data(i); % calculate change between days
if chg >= 0 % if positive change, it advanced
Adva = chg; % assign change to advance variable
Decl = 0; % set declined variable to 0
else % if negative change, it declined
Decl = abs(chg); % assign change to declined variable
Adva = 0; % set advanced variable to 0
end
AvgGain = ((AvgGain*(N-1))+Adva)/N; % calculate next average gain
AvgLoss = ((AvgLoss*(N-1))+Decl)/N; % calculate next average loss
if AvgLoss == 0 % if average loss is 0, RSI = 100
RSI(i-N) = 100; % set RSI to 100
else
RS = AvgGain / AvgLoss; % calculate RS
RSI(i+1-N) = 100 - (100/(1+RS)); % calculate latest RSI
end
end
  3 Comments
IDN
IDN on 9 Jul 2022
Hello, its a table that is 1151636x1
dpb
dpb on 9 Jul 2022
What time frame does 1M stock prices cover? Seems absurd to me...but, whatever floats your boat. :)
But, what else do you have in memory? I don't have any problem with that size of an array here...actually, the aux vectors computed are only of N length, not the full vector so it isn't terribly inefficient with its memory use after all, when I looked more carefully.
P=randi([30 200],1151636,1); % a randomized set of prices
RSI=calc_RSI(P); % compute the index
>> whos P RSI
Name Size Bytes Class Attributes
P 1151636x1 9213088 double
RSI 1151622x1 9212976 double
>>
I added a line to RSI that fixes up the output vector direction to match that of the input; your version unchanged will output a row vector instead (or would, if it could finish).

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