First commit

LICENSE.txt

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+Freeware License, some rights reserved
+
+Copyright (c) 2016 Christopher Conlan
+
+Permission is hereby granted, free of charge, to anyone obtaining a copy 
+of this software and associated documentation files (the "Software"), 
+to work with the Software within the limits of freeware distribution and fair use. 
+This includes the rights to use, copy, and modify the Software for personal use. 
+Users are also allowed and encouraged to submit corrections and modifications 
+to the Software for the benefit of other users.
+
+It is not allowed to reuse,  modify, or redistribute the Software for 
+commercial use in any way, or for a user�s educational materials such as books 
+or blog articles without prior permission from the copyright holder. 
+
+The above copyright notice and this permission notice need to be included 
+in all copies or substantial portions of the software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS OR APRESS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.
+
+

Listings/Appendix B/B-1.R

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+# Declare global variables a and b
+a <- 2
+b <- 3
+
+# Declare functions
+f <- function(){
+  a
+}
+
+g <-function(){
+  f() + b
+}
+
+h <- function(b){
+  f() + b
+}
+
+
+# a = 2 throughout.
+# b = 3 when not supplied as a parameter.
+f() # f() = 2
+g() # g() = 5
+h(5) # h(5) = 7

Listings/Appendix B/B-2.R

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+mcTimeSeries <- function( data, tsfunc, byColumn, windowSize, workers ){
+
+  SERIES <- foreach( i = 1:workers, .combine = rbind ) %dopar% {
+
+  jRange <- delegate( i = i, n = nrow(data), k = windowSize, p = workers)
+
+  rollapply(data[jRange,],
+    width = windowSize,
+    FUN = tsfunc,
+    align = "right",
+    by.column = byColumn)
+
+  }
+
+  names(SERIES) <- gsub("\\..+", "", names(SERIES))
+
+  if( windowSize > 1){
+    PAD <- zoo(matrix(nrow = windowSize-1, ncol = ncol(SERIES), NA),
+                order.by = index(data)[1:(windowSize-1)])
+    names(PAD) <- names(SERIES)
+    SERIES <- rbind(PAD, SERIES)
+  }
+
+  if(is.null(names(SERIES))){
+    names(SERIES) <-  gsub("\\..+", "", names(data)[1:ncol(SERIES)])
+  } 
+
+  return(SERIES)
+
+}

Listings/Appendix B/B-3.R

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+exitfunc <- function(v) { 
+  # Body of developer's new exit function  
+}
+
+evaluate(...) <- function(...){
+
+  # Body of the evaluate function
+
+  EXIT <- mcTimeSeries(CLOSE, exitfunc, TRUE, 20, workers)
+
+  # Remainder of the evaluate function
+
+}

Listings/Appendix B/B-4.R

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+# Declare parameter alpha as function parameter
+exitfunc <- function(v, alpha) { 
+  # Body of developer's new exit function  
+}
+
+# Declare function object exitfunc as
+# function parameter to evaluator
+evaluate <- function(... , exitfunc){
+
+  # Body of the evaluate function
+
+  # alpha exists in the function scope
+  # of the evaluator
+  alpha <- 0.5
+
+  # Dynamically declare function object in
+  # mcTimeSeries. Pass exitfunc and alpha
+  # in the ellipses of the call because
+  # the second argument depends on them.
+  EXIT <- mcTimeSeries(CLOSE,
+                       function(v) exitfunc(v, alpha),
+                       TRUE, 20, workers,
+                       exitfunc, alpha)
+
+  # Remainder of the evaluate function
+
+}
+
+
+optimize <- function(... , exitfunc){
+
+  # Alter all calls to evaluate to include
+  # new function object parameter exitfunc
+
+  # Body of the optimzer
+
+  evaluate( ... , exitfunc )
+
+  # Body of the optimzer
+
+  evaluate( ... , exitfunc )
+
+  # And so on. There are typically many calls
+  # to evaluate() within the optimizer.
+
+}

Listings/Appendix B/UNIX-mcTimeSeries.R

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+mcTimeSeries <- function( data, tsfunc, byColumn, windowSize, workers ){
+
+  SERIES <- foreach( i = 1:workers, .combine = rbind ) %dopar% {
+
+  jRange <- delegate( i = i, n = nrow(data), k = windowSize, p = workers)
+
+  rollapply(data[jRange,],
+    width = windowSize,
+    FUN = tsfunc,
+    align = "right",
+    by.column = byColumn)
+
+  }
+
+  names(SERIES) <- gsub("\\..+", "", names(SERIES))
+
+  if( windowSize > 1){
+    PAD <- zoo(matrix(nrow = windowSize-1, ncol = ncol(SERIES), NA),
+                order.by = index(data)[1:(windowSize-1)])
+    names(PAD) <- names(SERIES)
+    SERIES <- rbind(PAD, SERIES)
+  }
+
+  if(is.null(names(SERIES))){
+    names(SERIES) <-  gsub("\\..+", "", names(data)[1:ncol(SERIES)])
+  } 
+
+  return(SERIES)
+
+}

Listings/Chapter 1/1-1.R

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+# Checks if quantmod is installed, installs it if unavailable,
+# loads it and turns off needless warning messages
+if(!("quantmod" %in% as.character(installed.packages()[,1])))
+  { install.packages("quantmod") } 
+library(quantmod)
+options("getSymbols.warning4.0"=FALSE, 
+        "getSymbols.auto.assign"=FALSE)
+
+# Loads S&P 500 ETF data, stores closing prices as a vector
+SPY <- suppressWarnings(
+  getSymbols(c("SPY"),from = "2012-01-01"))
+SPY <- as.numeric(SPY$SPY.Close)[1:987]
+

Listings/Chapter 1/1-10.R

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+# Create linearized equity curve and run regression
+y <- Et / Vt
+model <- lm(y ~ t)
+
+# Compute PPS by pulling "r.squared" value from summary function
+PPS <- ((Et[length(Et)] - Vt[1]) / Vt[1]) * summary(model)$r.squared

Listings/Chapter 1/1-2.R

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+# Set Random Seed
+set.seed(123)
+
+# Create Time Index
+t <- 1:(length(SPY)-1)
+
+# Tradable Capital Vector
+Vt <- c(rep(10000, length(t)))
+
+# Benchmark Return Series
+Rb <- rep(NA, length(t))
+for(i in 2:length(t)) { Rb[i] <- (SPY[i] / SPY[i - 1]) - 1 }
+
+# Benchmark Equity Curve
+Eb <- rep(NA, length(t))
+Eb[1] <- Vt[1]
+for(i in 2:length(t)) { Eb[i] <- Eb[i-1] * (1 + Rb[i]) }
+
+# Randomly Simulated Return Series 1
+Rt <- rep(NA, length(t))
+for(i in 2:length(t)){
+  Rt[i] <- Rb[i] + rnorm(n = 1,
+                         mean = 0.24/length(t),
+                         sd = 2.5 * sd(Rb, na.rm = TRUE))
+} 
+
+# Randomly Simulated Return Series 2
+Rt2 <- rep(NA, length(t))
+for(i in 2:length(t)){
+  Rt2[i] <- Rb[i] + rnorm(n = 1,
+                         mean = 0.02/length(t),
+                         sd = .75 * sd(Rb, na.rm = TRUE))
+} 
+
+# Randomly Simulated Equity Curve 1
+Et <- rep(NA, length(t))
+Et <- Vt[1]
+for(i in 2:length(t)) { Et[i] <- Et[i-1] * (1 + Rt[i]) }
+
+# Randomly Simulated Equity Curve 2
+Et2 <- rep(NA, length(t))
+Et2 <- Vt[1]
+for(i in 2:length(t)) { Et2[i] <- Et2[i-1] * (1 + Rt2[i]) }
+
+# Plot of Et1 against the SPY Portfolio
+plot(y = Et, x = t, type = "l", col = 1,
+     xlab = "Time",
+     ylab= "Equity ($)",
+     main = "Figure 1.3: Randomly Generated Equity Curves")
+grid()
+abline(h = 10000)
+lines(y = Et2, x = t, col = 2)
+lines(y = Eb, x = t, col = 8)
+legend(x = "topleft", col = c(1,2,8), lwd = 2, legend = c("Curve 1",
+                                                          "Curve 2",
+                                                          "SPY"))
+

Listings/Chapter 1/1-3.R

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+# Use na.rm = TRUE to ignore NA's at position 1 in return series
+SR <- mean(Rt, na.rm = TRUE) / sd(Rt, na.rm = TRUE)
+SR2 <- mean(Rt2, na.rm = TRUE) / sd(Rt2, na.rm = TRUE) 
+SRb <- mean(Rb, na.rm = TRUE) / sd(Rb, na.rm = TRUE)

Listings/Chapter 1/1-4.R

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+plot(y = Et, x = t, type = "l", col = 1,
+     xlab = "",
+     ylab= "Equity ($)",
+     main = "Figure 1.4: Sharpe Ratios")
+grid()  
+abline(h = 10000)
+lines(y = Et2, x = t, col = 2)
+lines(y = Eb, x = t, col = 8)
+legend(x = "topleft", col = c(1,2,8), lwd = 2,
+       legend = c(paste0("SR = ", round(SR, 3)),
+                  paste0("SR = ", round(SR2, 3)),
+                  paste0("SR = ", round(SRb, 3))))
+

Listings/Chapter 1/1-5.R

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+MD <- function(curve, n = 1){
+
+  time <- length(curve) 
+  v <- rep(NA, (time * (time - 1)) / 2)
+  k <- 1
+  for(i in 1:(length(curve)-1)){
+    for(j in (i+1):length(curve)){
+      v[k] <- curve[i] - curve[j]
+      k <- k + 1
+    }
+  }
+
+  m <- rep(NA, length(n))
+  for(i in 1:n){
+    m[i] <- max(v)
+    v[which.max(v)] <- -Inf
+  }
+
+  return(m)
+
+}

Listings/Chapter 1/1-6.R

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+NPMD <- (Et[length(Et)] - Vt[1]) / MD(Et)
+
+Burke <- (Et[length(Et)] - Vt[1]) /
+          sqrt((1/length(Et)) * sum(MD(Et, n = round(length(Et) / 20))^2))

Listings/Chapter 1/1-7.R

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+PM <- function(Rt, upper = FALSE, n = 2, Rb = 0){
+  if(n != 0){
+    if(!upper) return(mean(pmax(Rb - Rt, 0, na.rm = TRUE)^n))
+    if(upper) return(mean(pmax(Rt - Rb, 0, na.rm = TRUE)^n))
+  } else {
+    if(!upper) return(mean(Rb >= Rt))
+    if(upper) return(mean(Rt > Rb))
+  }
+}

Listings/Chapter 1/1-8.R

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+Omega <-  mean(Rt, na.rm = TRUE) / PM(Rt)^0.5
+UPR <- PM(Rt, upper = TRUE)^0.5 / PM(Rt)^0.5

Listings/Chapter 1/1-9.R

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+# Scatterplot of Rt against Rb 
+plot(y = Rt, x = Rb,
+     pch = 20,
+     cex = 0.5,
+     xlab = "SPY Returns",
+     ylab= "Return Series 1",
+     main = "Figure 1.7: Return Series 1 vs. SPY")
+grid() 
+abline(h = 0)
+abline(v = 0)
+
+# Compute and store the regression model
+model <- lm(Rt ~ Rb)
+
+# Plot the regression line
+abline(model, col = 2)
+
+# Display alpha and beta
+legend(x = "topleft", col = c(0,2), lwd = 2,
+       legend = c("Alpha   Beta   R^2",
+                  paste0(round(model$coefficients[1], 4), "   ",
+                         round(model$coefficients[2], 2), "   ",
+                         round(summary(model)$r.squared, 2))))

Listings/Chapter 10/10-1.R

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+# Warning: These are not to be run concurrently
+
+# UPDATE Job
+source("~/Platform/update.R")
+
+# PLAN Job
+source("~/Platform/plan.R")
+
+# TRADE Job
+source("~/Platform/trade.R")
+
+# MODEL Job
+source("~/Platform/model.R")

Listings/Chapter 10/10-10

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+0 19 * * 1-5 ~/Platform/plan.sh

Listings/Chapter 10/10-2.bat

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+set path= %path%;C:\Program Files\R\R-3.3.0\bin\x64

Listings/Chapter 10/10-3.bat

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+Rscript C:\Platform\plan.R

Listings/Chapter 10/10-4.bat

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+cd C:\Platform\errorlog
+Rscript C:\Platform\plan.R > planlog.txt 2>&1

Listings/Chapter 10/10-5.bat

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+set path= %path%;C:\Program Files\R\R-3.2.3\bin
+cd C:\Platform\errorlog\
+Rscript C:\Platform\plan.R > planlog.txt 2>&1

Listings/Chapter 10/10-6.bat

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+schtasks /create /tn PLAN /sc weekly /d mon,tue,wed,thu,fri /mo 1 /st 19:00
+  /tr "C:\Platform\plan.bat"

Listings/Chapter 10/10-7.txt

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+# Delete a task
+schtasks /delete /tn PLAN
+
+# Run a task
+schtasks /run /tn PLAN
+
+# End a currently run task, does not affect scheduling
+schtasks /end /tn PLAN
+
+# Get info on a task
+schtasks /query /tn PLAN
+
+# Modify a task (this example removes Wednesday from PLAN)
+schtasks /change /tn PLAN /d mon,tue,thu,fri
+
+# Disable a task, cancel scheduling
+schtasks /change /tn PLAN /disable
+
+# Enable an inactive task, resume scheduling
+schtasks /change /tn PLAN /enable

Listings/Chapter 10/10-8.sh

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+# Edit CRON jobs
+crontab -e
+
+# Delete all user-specified CRON jobs
+crontab -r

Listings/Chapter 10/10-9.sh

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+#!/bin/bash
+cd ~/Platform/errorlog
+Rscript ~/Platform/plan.R > planlog.txt 2>&1