diff options
| -rw-r--r-- | IndexChange_500.csv | 1 | ||||
| -rw-r--r-- | bandit.R | 141 |
2 files changed, 140 insertions, 2 deletions
diff --git a/IndexChange_500.csv b/IndexChange_500.csv index ad66ed8..49b28b3 100644 --- a/IndexChange_500.csv +++ b/IndexChange_500.csv @@ -147,7 +147,6 @@ Fidelity National Information Services FIS Louisiana-Pacific Corp. LPX 11/09/06 Celgene Corp. CELG AmSouth Bancorp ASO 11/03/06 Smith International SII Golden West Financial GDW 09/29/06 Western Union Co. WUwi Andrew Corp. ANDW 09/29/06 -Western Union Co. WUwi Andrew Corp. ANDW 09/29/06 Chicago Mercantile Exchange Holdings CME Kerr-McGee Corp. KMG 08/10/06 Wyndham Worldwide Corp. WYNwi Cendant Corp. CD 07/31/06 Realogy Corp. Hwi Gateway Inc. GTW 07/31/06 @@ -5,6 +5,145 @@ colnames(tickers) <- c("name","ticker") tickers[,"ticker"] <- sub(' +$', '',tickers[,"ticker"]) #replace / by - tickers[,"ticker"] <- sub('/', '-',tickers[,"ticker"]) -for(ticker in tickers[,"ticker"]){ + +#first don't take care about survivor bias +for(i in 1:length(tickers[,"ticker"])){ + ticker <- tickers[i,"ticker"] assign(ticker,getYahooData(ticker,"20000101")) } + +#compute matrix of returns +ticker <- tickers[1,"ticker"] +returns <- diff(log(get(ticker)$Close)) +for(i in 2:length(tickers[,"ticker"])){ + ticker <- tickers[i,"ticker"] + returns <- merge(returns,diff(log(get(ticker)$Close))) +} +colnames(returns) <- tickers[,"ticker"] +returns <- returns[-1,] +universe <- which(!is.na(returns[1,])) +returns.subset <- returns[,universe] + +#constant weight rebalancing +w <- rep(1/dim(returns.subset)[2],dim(returns.subset)[2]) +N <- 1000000 +W <- N +for(day in 1:length(returns[,1])){ + r <- as.vector(exp(returns.subset[day,])-1) + r[is.na(r)] <- 0 #NA means we don't know the vector that day, but next return will catch up + dN <- N*crossprod(w,r) + N <- N+dN + W <- c(W,N) +} +#no rebalancing +N <- 1000000 +W <- N +R <- rep(1,dim(returns.subset)[2]) +for(day in 1:length(returns[,1])){ + r <- as.vector(exp(returns.subset[day,])) + r[is.na(r)] <- 1 + R <- R*r + W <- c(W,N*mean(R)) +} + +indexchange <- read.table("IndexChange_500.csv",sep="\t",header=T,quote="") +#cleanup tickers +ticker.add <- indexchange$Ticker +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) + +getYahooData<-function (symbol, start, end, freq = "daily", type = "price", adjust = TRUE, quiet = FALSE) +{ + if (missing(start)) { + beg <- as.POSIXlt("1900-01-01") + } + else { + beg <- as.POSIXlt(as.Date(as.character(start), "%Y%m%d")) + } + if (missing(end)) { + end <- as.POSIXlt(Sys.Date()) + } + else { + end <- as.POSIXlt(as.Date(as.character(end), "%Y%m%d")) + } + if (beg > end) + stop("Start date must be before end date.") + if (beg > as.POSIXlt(Sys.Date())) + stop("Start date is after today's date.") + freq <- match.arg(freq, c("daily", "weekly", "monthly")) + type <- match.arg(type, c("price", "split")) + if (type == "price") { + freq.url <- substr(freq, 1, 1) + } + else { + freq.url <- "v" + if (freq != "daily" & !quiet) + message("Only freq=\"daily\" data available for type=\"split\".\n", "Setting freq=\"daily\"...") + } + flush.console() + if (type == "price") { + if (adjust) { + if (freq == "daily") { + ohlc <- getYahooData(symbol, start, freq = "daily", type = "price", adjust = FALSE, quiet = TRUE) + divspl <- getYahooData(symbol, start, freq = "daily", type = "split", adjust = FALSE, quiet = TRUE) + ohlc <- merge(ohlc, divspl, all = TRUE) + if (NROW(divspl) != 0) { + if(!all(is.na(ohlc[is.na(ohlc[,"Close"]),"Split"]))){ + cat("ugly WAT fix!\n") + ohlc[162,"Close"] <- 83.75 + } + adj <- adjRatios(ohlc[, "Split"], ohlc[, "Div"], ohlc[, "Close"]) + s.ratio <- adj[, 1] + d.ratio <- adj[, 2] + cn <- colnames(ohlc) + ohlc <- cbind(ohlc, ohlc[, "Close"]) + colnames(ohlc) <- c(cn, "Unadj.Close") + ohlc[time(ohlc[, "Open"] * d.ratio * s.ratio), "Open"] <- ohlc[, "Open"] * d.ratio * s.ratio + ohlc[time(ohlc[, "High"] * d.ratio * s.ratio), "High"] <- ohlc[, "High"] * d.ratio * s.ratio + ohlc[time(ohlc[, "Low"] * d.ratio * s.ratio), "Low"] <- ohlc[, "Low"] * d.ratio * s.ratio + ohlc[time(ohlc[, "Close"] * d.ratio * s.ratio), "Close"] <- ohlc[, "Close"] * d.ratio * s.ratio + ohlc[time(ohlc[, "Volume"] * (1/d.ratio)), "Volume"] <- ohlc[, "Volume"] * (1/d.ratio) + ohlc <- ohlc[, c("Open", "High", "Low", "Close", "Volume", "Unadj.Close", "Div", "Split", "Adj.Div")] + } + } + else stop("Only freq=\"daily\" adjusted data is currently supported.") + } + else { + url <- paste("http://ichart.finance.yahoo.com/table.csv?s=", symbol, "&a=", beg$mon, "&b=", beg$mday, "&c=", beg$year + 1900, "&d=", end$mon, "&e=", end$mday, "&f=", end$year + 1900, "&g=", freq.url, "&ignore=.csv",sep = "") + ohlc <- read.table(url, header = TRUE, sep = ",") + ohlc[, "Adj.Close"] <- NULL + ohlc <- ohlc[order(ohlc[, "Date"]), ] + ohlc <- xts(ohlc[, -1], as.POSIXct(as.character(ohlc[, 1]))) + } + } + else { + if (!quiet) + message("Unadjusted and adjusted dividend data are always returned.") + url <- paste("http://ichart.finance.yahoo.com/x?s=", symbol, "&a=", beg$mon, "&b=", beg$mday, "&c=", beg$year + 1900, "&d=", end$mon, "&e=", end$mday, "&f=", end$year + 1900, "&g=", freq.url, "&y=0&z=30000", sep = "") + ohlc <- read.table(url, skip = 1, sep = ",", fill = TRUE, as.is = TRUE) + div <- data.frame(Date = ohlc[ohlc[, "V1"] == "DIVIDEND", "V2"], Adj.Div = as.numeric(ohlc[ohlc[, "V1"] == "DIVIDEND", "V3"]), stringsAsFactors = FALSE) + spl <- data.frame(Date = ohlc[ohlc[, "V1"] == "SPLIT", "V2"], Split = as.character(ohlc[ohlc[, "V1"] == "SPLIT", "V3"]), stringsAsFactors = FALSE) + ohlc <- merge(div, spl, by.col = "Date", all = TRUE) + if (NROW(ohlc) == 0) + return(ohlc) + ohlc[, "Date"] <- as.Date(as.character(ohlc[, "Date"]), "%Y%m%d") + ohlc[, "Split"] <- sub(":", "/", ohlc[, "Split"]) + ohlc[, "Split"] <- 1/sapply(parse(text = ohlc[, "Split"]), eval) + ohlc <- ohlc[order(ohlc[, 1]), ] + ohlc <- xts(ohlc[, -1], as.POSIXct(as.character(ohlc[, 1]))) + if (all(is.na(ohlc[, "Split"]))) { + s.ratio <- rep(1, NROW(ohlc)) + } + else { + s.ratio <- adjRatios(split = ohlc[, "Split"])[, 1] + } + ohlc <- cbind(ohlc, ohlc[, "Adj.Div"] * (1/s.ratio)) + colnames(ohlc)[3] <- "Div" + ohlc[, "Split"] <- as.numeric(ohlc[, "Split"]) + ohlc <- ohlc[, c("Div", "Split", "Adj.Div")] + } + ohlc <- ohlc[paste(beg, end, sep = "/"), ] + return(ohlc) +} |