diff options
| -rw-r--r-- | bandit.R | 79 | ||||
| -rw-r--r-- | bloomberg-data.R | 48 | ||||
| -rw-r--r-- | sp500 add.csv | 338 |
3 files changed, 465 insertions, 0 deletions
@@ -80,3 +80,82 @@ for( i in 1:100){ indexchange$Ticker.del[i])) } } + +n.stocks <- ncol(P) +N <- nrow(P) +current.wealth <- 1 +w <- rep(1/n.stocks,n.stocks) +dP <- apply(P,2,diff) +L <- rep(0,n.stocks) +V <- 0 +W <- w +pnl <- 0 +for(i in 1:(N-1)){ + r <- dP[i,]/as.numeric(P[i,]) + #r <- c(r,-r) + pnl <- cbind(pnl,current.wealth*crossprod(w,r)) + current.wealth <- 1+sum(pnl) + L <- rbind(L,-r) + V <- V+crossprod(w,r^2) + T <- 2/3*sqrt(log(N)/V) + #w <- exp(-T*(apply(1+L,2,prod)-1)) + w <- exp(-T*colSums(L)) + w <- w/sum(w) + W <- rbind(W,w) + if(i%%10==0){ + cat(current.wealth,sep="\n") + } +} + +price2return <- function(x){ + diff(x)/x[-length(x)] +} +#number of shares implementations +tc <- 0.005+0.02 +days <- nrow(data.bus) +init.capital <- 1000000 +tickers <- memb(sp500.tickers,add,as.Date(time(data.bus)[1])) +tickers.index <- which(sp500.tickers.extended%in%tickers) +n.stocks <- length(tickers) +w <- rep(0,length(sp500.tickers.extended)) +w[tickers.index] <- rep(1/n.stocks,n.stocks) +N <- round((capital*w)/as.numeric(data.bus[1,tickers.index])) +dP <- apply(data.bus,2,diff) +L <- rep(0,n.stocks) +V <- 0 +W <- w +pnl <- 0 +tcvec <- sum(N)*tc +for(i in 1:days){ + tickers <- memb(sp500.tickers,add,as.Date(time(data.bus)[1])) + tickers.index <- which(sp500.tickers.extended%in%tickers) + r <- dP[i,]/as.numeric(data.bus[i,]) + pnl <- cbind(pnl,crossprod(N,dP[i,])) + capital <- init.capital+sum(pnl)-sum(tcvec) + L <- rbind(L,-r) + V <- V+crossprod(w,r^2) + T <- 2/3*sqrt(log(days)/V) + #w <- exp(-T*(apply(1+L,2,prod)-1)) + w <- exp(-T*colSums(L)) + w <- w/sum(w) + newN <- round((capital*w)/as.numeric(data.bus[(i+1),tickers.index])) + tcvec <- c(tcvec,sum(abs(newN-N)*tc)) + N <- newN + if(i%%10==0){ + cat(capital,sep="\n") + } +} + +fixed.rebal <- function(P,delta){ + init.capital <- 1 + dP <- apply(P,2,diff) + capital <- init.capital + pnl <- c() + for(i in 1:(nrow(P)-1)){ + r <- dP[i,]/P[i,] + pnl <- c(pnl,capital*crossprod(delta,r)) + capital <- init.capital+sum(pnl) + } + return( pnl ) +} + diff --git a/bloomberg-data.R b/bloomberg-data.R new file mode 100644 index 0000000..92d864a --- /dev/null +++ b/bloomberg-data.R @@ -0,0 +1,48 @@ +require(RBloomberg) +conn <- blpConnect(jvm.params = "-Xmx1024m") +sp500.tickers <- as.character(bds(conn,"SPX Index","INDX_MEMBERS")[,1]) +#remove exchange information +for(i in 1:length(sp500.tickers)){ + ticker <- sp500.tickers[i] + sp500.tickers[i] <- strsplit(ticker," ")[[1]][1] +} + +list.sp500 <- list() +for(i in 1:length(sp500.tickers)){ + ticker <- sp500.tickers[i] + list.sp500[[ticker]] <- bdh(conn,paste(ticker,"Equity"),c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST"),as.Date("2000-01-01"),dates.as.row.names=F) +} + +#split information +EQY_DVD_HIST_SPLITS +#dividend information +DVD_HIST + +add <- read.table("sp500 add.csv",sep=",",fill=T,header=T,colClasses="character",quote="") +add$date <- as.Date(add$date,format="%m/%d/%Y") + +memb <- function(index,add,date){ + #return the list of index constituents + toreverse <- add[add$date>=date,] + current.index <- index + for(i in 1:nrow(toreverse)){ + if(toreverse$ticker.add[i]!=""){ + current.index <- current.index[-match(toreverse$ticker.add[i],current.index)] + } + if(toreverse$ticker.del[i]!=""){ + current.index <- sort(c(current.index,toreverse$ticker.del[i])) + } + } + current.index +} + +sp500.extended <- union(sp500.tickers,add$ticker.del) +sp500.extended <- sp500.extended[-match("",sp500.extended)] +extra.tickers <- setdiff(sp500.extended,sp500.tickers) + +list.extra <- list() +for(i in 1:length(extra.tickers)){ + ticker <- extra.tickers[i] + list.extra[[ticker]] <- bdh(conn,paste(ticker,"Equity"),c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST"),as.Date("2000-01-01"),dates.as.row.names=F) +} + diff --git a/sp500 add.csv b/sp500 add.csv new file mode 100644 index 0000000..018d1ba --- /dev/null +++ b/sp500 add.csv @@ -0,0 +1,338 @@ +date,ticker.add,name.add,ticker.del,name.del +9/26/2011,MOS,MOSAIC CO,NSM,NATIONAL SEMICONDUCTOR +7/6/2011,ACN,ACCENTURE PLC,MI,MARSHALL & ILSLEY CORP (WI) +7/1/2011,MPC,MARATHON PETROLEUM CORP,RSH,RADIOSHACK CORP +6/3/2011,PLD,AMB PROPERTY CORP,8394653Q,PROLOGIS +6/2/2011,ANR,ALPHA NATURAL RESOURCES,MEE,MASSEY ENERGY CO +4/28/2011,CMG,CHIPOTLE MEXICAN GRILL IN,NOVL,NOVELL INC +4/4/2011,BLK,BLACKROCK INC,GENZ,GENZYME CORP +4/1/2011,EW,EDWARDS LIFESCIENCES CORP,Q,QWEST COMMUNICATIONS INTL INC +3/1/2011,COV,COVIDIEN PLC,MFE,MCAFEE INC +2/28/2011,JOYG,JOY GLOBAL INC,AYE,ALLEGHENY ENERGY INC +1/18/2011,NE,NOBLE CORP,QLGC,QLOGIC CORP +1/4/2011,MMI,MOTOROLA MOBILITY HOLDING,MDP,MEREDITH CORP +12/20/2010,CVC,CABLEVISION SYSTEMS CO A,KG,KING PHARMACEUTICALS INC +12/20/2010,FFIV,F5 NETWORKS INC,NYT,NEW YORK TIMES CO A +12/20/2010,NFLX,NETFLIX INC,ODP,OFFICE DEPOT INC +12/20/2010,NFX,NEWFIELD EXPLORATION CO,EK,EASTMAN KODAK CO +11/17/2010,IR,INGERSOLL-RAND PLC,PTV,PACTIV CORPORATION +8/27/2010,TYC,TYCO INTL,SII,SMITH INTL INC +7/15/2010,ACE,ACE LIMITED,MIL,MILLIPORE CORP 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Inc. +1/31/2002,MWV,MeadWestvaco Corp.,MEA,Mead Corp. +1/30/2002,ACE,ACE Limited,W,Westvaco Corp. +1/17/2002,PCL,Plum Creek Timber Co.,KM,K mart +1/2/2002,WAT,Waters Corporation,FMC,FMC Corp. +12/17/2001,JNY,Jones Apparel Group,HM,Homestake Mining +12/14/2001,GENZ,Genzyme Corp. +12/13/2001,,,RAL,Ralston Purina Co +12/3/2001,EQR,Equity Res.Properties,NSI,National Service Ind. +11/30/2001,NVDA,NVIDIA Corp.,ENE,Enron Corp. +11/7/2001,HMA,Health Management Assoc.,GPUI,GPU Inc. +10/10/2001,EOP,Equity Office Properties,TX,Texaco Inc. +9/21/2001,IMNX,Immunex Corp. +9/18/2001,,,TOS,Tosco Corp. +9/4/2001,IGT,Int'l. Game Technology,BVSN,BroadVision Inc. +9/4/2001,XL,XL Capital,41018Q,Wachovia Corp. +8/30/2001,ABC,AmerisourceBergen,OKE,ONEOK Inc. +8/30/2001,CIEN,CIENA Corp.,AGC,American General +8/7/2001,ZMH,Zimmer Holdings,TKR,Timken Co. +8/6/2001,FDO,Family Dollar Stores,CS,Cabletron Systems +8/3/2001,PMCS,PMC-Sierra,OAT,Quaker Oats +7/9/2001,AWE,AT&T Wireless Group,PCH,Potlatch Corp. +7/2/2001,COL,Rockwell Collins,LDG,Longs Drug Stores +6/28/2001,JHF,John Hancock Financial,H,Harcourt General Inc. +6/25/2001,,,AZA,ALZA Corp. Cl. A +6/18/2001,ZION,Zions Bancorp +6/4/2001,MWW,TMP Worldwide,CIT,CIT Group Inc. +5/14/2001,PBG,Pepsi Bottling Group,ADPT,Adaptec +4/3/2001,MIR,Mirant Corp.,BGG,Briggs & Stratton +4/2/2001,CE,Concord EFS Inc.,CEN,Ceridian Corp (Old) +4/2/2001,FISV,FIserv Inc.,OK,Old Kent Financial +3/1/2001,CTAS,Cintas Corporation,SUB,Summit Bancorp +2/27/2001,FTR,Citizens Communications,3346Q,U.S. Bancorp +2/7/2001,UVN,Univision Communications,UK,Union Carbide +1/30/2001,JBL,Jabil Circuit,CGP,Coastal Corp. +1/16/2001,NE,Noble Drilling Corp.,TWX,Time Warner Inc. +1/2/2001,AMCC,Applied Micro Circuits,3277Q,Morgan (J.P.) & Co. +12/22/2000,FLR,Fluor Corp. (New),MEE,Massey Energy Company +12/14/2000,AET,Aetna Inc. (New),AET,Aetna Inc. (Old) +12/12/2000,KMI,Kinder Morgan,NGH,Nabisco Group Hldgs. +12/12/2000,QLGC,QLogic Corp.,PRDCQ,Polaroid Corp. +12/12/2000,SYK,Stryker Corp.,RML,Russell Corp. +12/12/2000,VTSS,Vitessa Semiconductor,SMI,Springs Industries +12/11/2000,ABK,Ambac Financial Group,CCK,Crown Cork & Seal +12/11/2000,AYE,Allegheny Energy Inc.,BS,Bethlehem Steel +12/11/2000,INTU,Intuit,OI,Owens-Illinois +12/11/2000,MET,MetLife Inc.,VO,Seagram Co. Ltd. +12/11/2000,2987536Q,Symbol Technologies,GRA,WR Grace & Co (New) +12/5/2000,RHI,Robert Half International +12/4/2000,,,AFS,Associates First Capital +12/1/2000,CPN,Calpine Corp.,FPC,Florida Progress +11/24/2000,CHIR,Chiron Corp.,FJ,Fort James Corp. +11/22/2000,FRX,Forest Laboratories,SEG,Seagate Technology +11/17/2000,HOT,Starwood Hotels & Resorts,ACKH,Armstrong Holdings +11/6/2000,BVSN,BroadVision Inc.,PWJ,PainWebber Group +11/2/2000,EOG,EOG Resources,EFU,Eastern Enterprises +11/2/2000,NI,NiSource Inc.,CG,Columbia Energy Group +10/23/2000,PWER,Power-One Inc.,UCM,Unicom Corp. +10/18/2000,NBR,Nabors Industries,MKG,Mallinckrodt Inc. +10/3/2000,DYN,Dynegy Inc.,BFO,BestFoods +10/3/2000,KG,King Pharmaceuticals,YNR,Young & Rubicam +10/2/2000,AV,Avaya Inc.,OWC,Owens Corning +8/30/2000,DVN,Devon Energy Corp.,GAP,Great Atlantic & Pacific Tea +8/21/2000,KSE,KeySpan Corp.,NCE,New Century Energies +7/28/2000,PALM,Palm Inc.,COMS,3Com Corp. +7/27/2000,JDSU,JDS Uniphase Corp.,RAD,Rite Aid Corp. +7/17/2000,CIT,CIT Group Inc.,UPR,Union Pacific Resources +7/13/2000,JNS,Stilwell Financial,KSU,Kansas City Southern Industri +7/6/2000,Q,Qwest Communication Int'l,USW,US West +7/3/2000,BRCM,Broadcom Corporation,GTE,GTE Corp. +6/29/2000,MERQ,Mercury Interactive,MZ,Milacron Inc. +6/29/2000,VC,Visteon Corp.,IKN,IKON Office Solutions +6/21/2000,SANM,Sanmina Corp.,WLA,Warner-Lambert +6/21/2000,TIF,Tiffany & Co.,SGI,Silicon Graphics +6/19/2000,CF,Charter One Financial +6/19/2000,NVLS,Novellus Systems,CHA,Champion International +6/16/2000,,,UMG,MediaOne Group Inc. +6/16/2000,MEDI,MedImmune,CSR,Central & South West +6/13/2000,CVG,Convergys Corp.,TMC,Times Mirror +6/8/2000,SBUX,Starbucks Corp.,SMS,Shared Medical Systems +6/5/2000,A,Agilent Technologies,NC,NACCO Industries +6/1/2000,APCC,American Power Conversion,MIR,Mirage Resorts +5/10/2000,MXIM,Maxim Integrated Products,JOS,Jostens Inc. +5/5/2000,SAPE,Sapient Corp.,RLM,Reynolds Metals +5/5/2000,SEBL,Siebel Systems,CBS,CBS Corp. +4/18/2000,ALTR,Altera Corp.,ARC,Atlantic Richfield +4/3/2000,LLTC,Linear Technology,PBY,Pep Boys +4/3/2000,VRTS,Veritas Software,748957Q,Pharmacia & Upjohn +3/16/2000,TSG,Sabre Holdings Corporatio,SRV,Service Corp. International +1/31/2000,BGEN,Biogen,FWC,Foster Wheeler +1/31/2000,CNXT,Conexant Systems,CNG,Consolidated Natural Gas +1/31/2000,HOG,Harley-Davidson,FLE,Fleetwood Enterprises +1/6/2000,YNR,Young & Rubicam,827663Q,General Instrument +1/4/2000,NCR,NCR Corp. +10/15/1996,LGN,LOGICON INC,WHO,WATERHOUSE INVESTOR SERV
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