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#fix bug in adjRatios
source("patch-adjRatios.R")
assignInNamespace("adjRatios",adjRatios,ns="TTR")
library(TTR)
rm(adjRatios)
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]]$Close)))
}
colnames(returns) <- sp500[,"ticker"]
returns <- returns[-1,]
universe <- which(!is.na(returns[1,]))
returns.subset <- returnds[,universe]
#constant weight rebalancing
w <- rep(1/dim(returns.subset)[2],dim(returns.subset)[2])
N <- 1000000
W <- N
for(day in 1:length(returns[,1])){
r <- as.vector(exp(returns.subset[day,])-1)
r[is.na(r)] <- 0 #NA means we don't have quotes that day, but next return
#will catch up
dN <- N*crossprod(w,r)
N <- N+dN
W <- c(W,N)
}
#no rebalancing
N <- 1000000
W <- N
R <- rep(1,dim(returns.subset)[2])
for(day in 1:length(returns[,1])){
r <- as.vector(exp(returns.subset[day,]))
r[is.na(r)] <- 1
R <- R*r
W <- c(W,N*mean(R))
}
indexchange <- read.table("IndexChange_500.csv",sep="\t",header=T,quote="",
colClasses="character")
#cleanup tickers
indexchange$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$Ticker.add[i],"not found\n"))
next()
}
}
#add ticker that was removed
if(indexchange$Ticker.del[i]!=""){
sp500.historic <- rbind(sp500.historic,
c(indexchange$Company.Deletions[i],
indexchange$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 )
}
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