library(TTR)
#fix bug in getYahooData
source("getYahooData.R")
sp500<- read.table("sp500 tickers 10-04.csv",sep="\t",header=T,quote="",colClasses="character",strip.white=T)
colnames(sp500) <- c("name","ticker")
#replace / by -
sp500$ticker <- sub('/', '-', sp500$ticker)

#first don't take care about survivor bias
tickerlist <- list()
for(i in 1:length(sp500$ticker)){
  ticker <- sp500[i,"ticker"]
  tickerlist[[ticker]] <- getYahooData(ticker,"20000101")
}

#compute matrix of returns
ticker <- sp500[1,"ticker"]
returns <- diff(log(tickerlist[[ticker]]$Close))
for(i in 2:length(sp500[,"ticker"])){
  ticker <- sp500[i,"ticker"]
  returns <- merge(returns,diff(log(tickerlist[[ticker]]$Close)))
}
colnames(returns) <- sp500[,"ticker"]
returns <- returns[-1,]
universe <- which(!is.na(returns[1,]))
returns.subset <- returnds[,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
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){
  
detach(indexchange)