cumsum that restarts whenever it reaches certain level

Good evening I have a matrix A 250*3, i try to do the following: the first time that the cumsum "of raws" is > 0.02 or lower than -0.02, i replace the corresponding value in matrix A with zero and restart the cumsum form the value after the zero. then we repeat this once more: the first time the new cumsum becomes >0.02 or <-0.02 we replace it with zero and restart the cum sum we repeat this untill we arrive to the last raw of the matrix. **with one condition like (cumsum>0.02) i have the following code.. However, i didn't arrive to add the new condition that (cumsum<-0.02).

x = unifrnd(-5,5,[250,2])/100;
cum=cumsum(x);
thresh = 0.02;
while 1
    xc = cumsum(x);
    k  = find(xc > thresh,1,'first');
    if isempty(k)
        % done
        break
    end
    x(k) = -xc(k-1);
end

Thank you in advance for your help

[Image Analyst]

Why do you need this unusual thing anyway? Are you sure it's really necessary ?

[Dam]

i m developing a portfolio rebalancing method that sells assets whenever they cumulate 2% of losses and buy assets when they gain 2% "cumulative returns" then repeating this along the investment horizon of for example 1 year(252 days). So, i need to know where the cumulative returns reach 2% ou -2% in order to know the points where to buy and sell assets !!

Answer 1

[Roger Stafford]

I think your code only works on one column at a time. It also appears to have the disadvantage that each time your cumulative sum exceeds the threshold, you have to recompute the cumsum for the entire column. I would think a simple for-loop method would be more efficient.

   [m,n] = size(A);
   for c = 1:n
     s = 0;
     for r = 1:m
       s = s + A(r,c);
       if abs(s) > .02
         A(r,c) = A(r,c) - s;
         s = 0;
       end
     end
   end

[Dam]

Thank you very much it is really simpler to proceed in this way! regards