1 files changed, 0 insertions, 112 deletions
diff --git a/bandits.R b/bandits.R
deleted file mode 100644
index ee547e3a..00000000
--- a/bandits.R
+++ /dev/null
@@ -1,112 +0,0 @@
-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])))
-}