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library(TTR)
tickers<- read.table("sp500 tickers 10-04.csv",sep="\t",header=T,quote="")
colnames(tickers) <- c("name","ticker")
#remove trailing whitespaces
tickers[,"ticker"] <- sub(' +$', '',tickers[,"ticker"])
#replace / by -
tickers[,"ticker"] <- sub('/', '-',tickers[,"ticker"])
#first don't take care about survivor bias
for(i in 1:length(tickers[,"ticker"])){
ticker <- tickers[i,"ticker"]
assign(ticker,getYahooData(ticker,"20000101"))
}
#compute matrix of returns
ticker <- tickers[1,"ticker"]
returns <- diff(log(get(ticker)$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)
}
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