Progress on getting the rolled back sp500 index

2 files changed, 68 insertions, 42 deletions

diff --git a/IndexChange_500.csv b/IndexChange_500.csv
index dbdb143..cc4354a 100644
--- a/IndexChange_500.csv
+++ b/IndexChange_500.csv
@@ -1,32 +1,39 @@
 Company Additions	Ticker.add	Company Deletions	Ticker.del	Date
-	MOS		NSM	09/23/11
-	ACN		MIR	07/05/11
-	MPCwi		RSH	06/30/11
-	AMB		PLD	06/02/11
-	ANR		MEE	06/01/11
-	CMG		NOVL	04/27/11
-	BLK		GENZ	04/01/11
-	COV		MFE	02/28/11
-	JOYG		AYE	02/25/11
-	NE		QLGC	01/14/11
-	MMIwi		MDP	01/03/11
-	CVC		KG	12/17/10
-	FFIV		NYT	12/17/10
-	NFLX		ODP	12/17/10
-	NFX		EK	12/17/10
-	IR		PTV	11/16/10
-	TYC		SII	08/26/10
-	ACE		MIL	07/14/10
-	QEPwi		STR	06/30/10
-	KMX		XTO	06/25/10
-	CERN		BJS	04/29/10
-	OKE		BDK	03/12/10
-	DISCA		PBG	02/26/10
-	HP		RX	02/26/10
-	BRK.B		BNI	02/12/10
-	URBN		ACS	02/05/10
-	NRG		JAVA	01/28/10
-	PCLN		SGP	11/05/09
+MOSAIC CO	MOS	NATIONAL SEMICONDUCTOR	NSM	09/23/11
+ACCENTURE PLC	ACN	MARSHALL & ILSLEY CORP (WI)	MIR	07/05/11
+MARATHON PETROLEUM CORP	MPCwi	RADIOSHACK CORP	RSH	06/30/11
+AMB PROPERTY CORP	AMB	PROLOGIS	PLD	06/02/11
+ALPHA NATURAL RESOURCES	ANR	MASSEY ENERGY CO	MEE	06/01/11
+CHIPOTLE MEXICAN GRILL IN	CMG	NOVELL INC	NOVL	04/27/11
+BLACKROCK INC	BLK	GENZYME CORP	GENZ	04/01/11
+EDWARDS LIFESCIENCES CORP	EW	QWEST COMMUNICATIONS INTL INC	Q	03/31/11
+COVIDIEN PLC	COV	MCAFEE INC	MFE	02/28/11
+JOY GLOBAL INC	JOYG	ALLEGHENY ENERGY INC	AYE	02/25/11
+NOBLE CORP	NE	QLOGIC CORP	QLGC	01/14/11
+MOTOROLA MOBILITY HOLDING	MMIwi	MEREDITH CORP	MDP	01/03/11
+CABLEVISION SYSTEMS CO A	CVC	KING PHARMACEUTICALS INC	KG	12/17/10
+F5 NETWORKS INC	FFIV	NEW YORK TIMES CO A	NYT	12/17/10
+NETFLIX INC	NFLX	OFFICE DEPOT INC	ODP	12/17/10
+NEWFIELD EXPLORATION CO	NFX	EASTMAN KODAK CO	EK	12/17/10
+INGERSOLL-RAND PLC	IR	PACTIV CORPORATION	PTV	11/16/10
+TYCO INTL	TYC	SMITH INTL INC	SII	08/26/10
+ACE LIMITED	ACE	MILLIPORE CORP	MIL	07/14/10
+QEP RESOURCES INC	QEPwi	QUESTAR CORP	STR	06/30/10
+CARMAX INC	KMX	XTO ENERGY INC	XTO	06/25/10
+CERNER CORP	CERN	BJ SERVICES CO	BJS	04/29/10
+ONEOK INC	OKE	BLACK & DECKER CORP	BDK	03/12/10
+DISCOVERY COMMUNICATIONS	DISCA	PEPSI BOTTLING GROUP INC	PBG	02/26/10
+HELMERICH & PAYNE INC	HP	IMS HEALTH INC	RX	02/26/10
+BERKSHIRE HATHAWAY B	BRK/B	BURLINGTON NORTHERN SANTE FE	BNI	02/12/10
+URBAN OUTFITTERS	URBN	AFFILIATED COMPUTER SERVICES	ACS	02/05/10
+NRG ENERGY	NRG	SUN MICROSYSTEMS INC	JAVA	01/28/10
+ROPER INDUSTRIES INC	ROP	ENSCO INTL INC	ESV	12/22/09
+CLIFFS NATURAL RESOURCES	CLF	KB HOME	KBH	12/18/08
+MEAD JOHNSON NUTRITION CO	MJN	MBIA INC	MBI	12/18/08
+ROSS STORES INC	ROST	DYNEGY INC A	DYN	12/18/08
+SAIC INC	SAI	CONVERGYS CORP	CVG	12/18/08
+VISA INC	V	CIENA CORP	CIEN	12/18/08
+PRICELINE.COM INC	PCLN	SCHERING-PLOUGH CORP	SGP	11/05/09
 First Solar Inc.	FSLR	Wyeth Corp.	WYE	10/15/09
 Airgas Inc.	ARG	Cooper Industries Ltd.	CBE	09/08/09
 CareFusion Corp.	CFNwi	The Manitowoc Company Inc.	MTW	08/31/09
@@ -35,7 +42,7 @@ Red Hat Inc.	RHT	CIT Group Inc.	CIT	07/24/09
 Quanta Services Inc.	PWR	Ingersoll-Rand Company Ltd.	IR	06/30/09
 Western Digital	WDC	Embarq Corp.	EQ	06/30/09
 MetroPCS Communications Inc.	PCS			06/29/09
-		Tyco Electronics Ltd.		06/25/09
+		Tyco Electronics Ltd.	TEL	06/25/09
 DeVry Inc.	DV			06/08/09
 FMC Technologies Inc.	FTI	Covidien Ltd.	COV	06/04/09
 		General Motors Corp.	GM	06/02/09
diff --git a/bandit.R b/bandit.R
index 0d35758..1acb59a 100644
--- a/bandit.R
+++ b/bandit.R
@@ -31,7 +31,8 @@ N <- 1000000
 W <- N
 for(day in 1:length(returns[,1])){
   r <- as.vector(exp(returns.subset[day,])-1)
-  r[is.na(r)] <- 0 #NA means we don't know the vector that day, but next return will catch up
+  r[is.na(r)] <- 0 #NA means we don't have quotes that day, but next return
+                   #will catch up
   dN <- N*crossprod(w,r)
   N <- N+dN
   W <- c(W,N)
@@ -47,19 +48,37 @@ for(day in 1:length(returns[,1])){
   W <- c(W,N*mean(R))
 }
 
-indexchange <- read.table("IndexChange_500.csv",sep="\t",header=T,quote="")
+indexchange <- read.table("IndexChange_500.csv",sep="\t",header=T,quote="",
+                          colClasses="character")
 #cleanup tickers
 attach(indexchange)
-Ticker.add <- sub('/', '-',Ticker.add)
-Ticker.add <- sub('.wi', '',Ticker.add,fixed=T)
-Ticker.add <- sub('wi', '',Ticker.add)
-Ticker.add <- sub('.', '-',Ticker.add,fixed=T)
-Ticker.del <- sub('/', '-',Ticker.del)
-Ticker.del <- sub('.wi', '',Ticker.del,fixed=T)
-Ticker.del <- sub('wi', '',Ticker.del)
-Ticker.del <- sub('.', '-',Ticker.del,fixed=T)
-Date <- as.Date(Date,format="%m/%d/%y")
-for( jour in Date){
-  
+indexchange$Ticker.add <<- sub('/', '-',indexchange$Ticker.add)
+indexchange$Ticker.add <- sub('.wi', '',indexchange$Ticker.add,fixed=T)
+indexchange$Ticker.add <- sub('wi', '',indexchange$Ticker.add)
+indexchange$Ticker.add <- sub('.', '-',indexchange$Ticker.add,fixed=T)
+indexchange$Ticker.del <- sub('/', '-',indexchange$Ticker.del)
+indexchange$Ticker.del <- sub('.wi', '',indexchange$Ticker.del,fixed=T)
+indexchange$Ticker.del <- sub('wi', '',indexchange$Ticker.del)
+indexchange$Ticker.del <- sub('.', '-',indexchange$Ticker.del,fixed=T)
+
+#rollback sp500 changes
+sp500.historic <- sp500
+for( i in 1:100){
+  #Ticker.add empty means index is <500 for a while
+  if(indexchange$Ticker.add[i]!=""){
+    if(!is.na(match(indexchange$Ticker.add[i],sp500.historic$ticker))){
+      sp500.historic <-
+        sp500.historic[-match(indexchange$Ticker.add[i],sp500.historic$ticker),]
+    }else{
+      cat(paste("ticker",indexchange$Ticker.add[i],"not found\n"))
+    }
+  }
+   #add ticker that was removed
+  if(indexchange$Ticker.del[i]!=""){
+    sp500.historic <- rbind(sp500.historic,
+                            c(indexchange$Company.Deletions[i],
+                              indexchange$Ticker.del[i]))
+  }
+}
 detach(indexchange)