1 files changed, 112 insertions, 0 deletions
diff --git a/R/bandits.R b/R/bandits.R
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+require(RBloomberg)
+conn <- blpConnect()
+
+data <- c()
+for(ticker in sp500.tickers.extended){
+  data <- cbind(data,blpGetData(conn,paste(ticker,"US Equity"),"PX_LAST",start=as.chron("01/01/2000")))
+}
+
+spy <- blpGetData(conn,"spy US Equity","PX_LAST",start=as.chron("01/01/2000"))
+
+spdr <- c("XLY","XLP","XLE","XLF","XLV","XLI","XLB","XLK","XLU")
+data <- c()
+for(ticker in spdr){
+  data <- cbind(data,blpGetData(conn,paste(ticker,"US Equity"),"PX_LAST",start=as.chron("01/01/2000")))
+}
+colnames(data) <- spdr
+
+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 )
+}
+memb <- function(index,add,date){
+  #return the list of index constituents
+  toreverse <- add[add$Date>=date,]
+  current.index <- index
+  for(i in 1:nrow(toreverse)){
+    if(!is.na(toreverse$Add[i])){
+      current.index <- current.index[-which(current.index==toreverse$Add[i])]
+    }
+    if(!is.na(toreverse$Del[i])){
+      current.index <- sort(c(current.index,toreverse$Del[i]))
+    }
+  }
+  current.index
+}
+
+tickerslist <- c()
+for(i in 101:1000){
+  tickerslist <- rbind(tickerslist,memb(sp500.tickers,add,as.Date(time(data)[i])))
+}