| Input: length, oldTs // input data length and vector. |
| Output: newTs // a new time series vector of trading signal. |
| Method: |
| 1: Start = oldTs 1 |
| 2: End = oldTs[length] |
| 3: If Start = = −1 and End = = 1 |
| 4: newTs 1 = 0 |
| 5: For i = 1: length−1 |
| 6: newTs[i+1] = 1/(lenghth−1)*i |
| 7: End For |
| 8: Else If Start = = 1 and End = = −1 |
| 9: newTs[length] = 0 |
| 10: For i = 1 : length−1 |
| 11: newTs[i+1] = 1/(lenghth−1)*(length−i) |
| 12: End For |
| 13: Else |
| 14: For i = 2 : length−1 |
| 15: newTs[i] = 0.5 |
| 16: End For |
| 17: End If |