[Returnanalytics-commits] r2224 - in pkg/MPO: R examples

[noreply at r-forge.r-project.org]

Author: jamesleehobbs
Date: 2012-08-09 01:52:10 +0200 (Thu, 09 Aug 2012)
New Revision: 2224

Modified:
   pkg/MPO/R/ProportionalCostOpt.R
   pkg/MPO/R/TransactionCostOpt.R
   pkg/MPO/R/TurnoverOpt.R
   pkg/MPO/examples/BackTestingExamples.R
Log:
-backtesting examples

Modified: pkg/MPO/R/ProportionalCostOpt.R
===================================================================
--- pkg/MPO/R/ProportionalCostOpt.R	2012-08-07 08:33:54 UTC (rev 2223)
+++ pkg/MPO/R/ProportionalCostOpt.R	2012-08-08 23:52:10 UTC (rev 2224)
@@ -56,12 +56,16 @@
   #need to flip sign for w_sell
   constraint.weights.positive[temp.index,]<-
     constraint.weights.positive[temp.index,]*-1
-  #put left hand side of constraints into constraint matrix
-  Amat <- cbind(constraint.sum, constraint.mu.target, constraint.weights.initial,
-                constraint.weights.positive)
+  
 
-  #right hand side of constraints in this vector
-  bvec <- c(1,(1+mu.target),w.initial,rep(0,2*nassets))
+    #put left hand side of constraints into constraint matrix
+    Amat <- cbind(constraint.sum, constraint.mu.target, constraint.weights.initial,
+                  constraint.weights.positive)
+    
+    #right hand side of constraints in this vector
+    bvec <- c(1,(1+mu.target),w.initial,rep(0,2*nassets))
+    n.eq = 2+ nassets
+
  
   #optional long only constraint
   if(long.only == TRUE){
@@ -73,15 +77,17 @@
     bvec <- c(bvec,rep(0,nassets))
   }
   
-  solution <- solve.QP(Dmat,dvec,Amat,bvec,meq=(2+nassets))
   
+  
+  solution <- solve.QP(Dmat,dvec,Amat,bvec,meq=n.eq)
+  
   port.var <- solution$value
   w.buy <- solution$solution[(nassets+1):(2*nassets)]
   w.sell <- solution$solution[(2*nassets+1):(3*nassets)]
   w.total <- w.initial + w.buy + w.sell
   port.mu <- w.total%*%(mu[1:nassets])
   list(w.initial = w.initial, w.buy = w.buy,w.sell=w.sell,
-       w.total=w.total, port.var=port.var,port.mu=port.mu)
+       w=w.total, port.var=port.var,port.mu=port.mu)
 }
 
 

Modified: pkg/MPO/R/TransactionCostOpt.R
===================================================================
--- pkg/MPO/R/TransactionCostOpt.R	2012-08-07 08:33:54 UTC (rev 2223)
+++ pkg/MPO/R/TransactionCostOpt.R	2012-08-08 23:52:10 UTC (rev 2224)
@@ -61,6 +61,7 @@
   #step 1: optimize without constraints to determine buys vs sells
   #if w*>w.initial c = c
   #if w* < w.initial c = -c
+  
   unconstrained <- UtilityMaximization(returns,lambda,long.only)
   w.unconstrained <- unconstrained$w
   diff <- w.unconstrained-w.initial 

Modified: pkg/MPO/R/TurnoverOpt.R
===================================================================
--- pkg/MPO/R/TurnoverOpt.R	2012-08-07 08:33:54 UTC (rev 2223)
+++ pkg/MPO/R/TurnoverOpt.R	2012-08-08 23:52:10 UTC (rev 2224)
@@ -59,11 +59,13 @@
                 constraint.turnover, constraint.weights.positive)
     #right hand side of constraints in this vector
     bvec <- c(1,mu.target,w.initial,-turnover,rep(0,2*nassets))
+    n.eq <- 2+nassets
   } else {
     #min variance, no target mu
     Amat <- cbind(constraint.sum, constraint.weights.initial,
                   constraint.turnover, constraint.weights.positive)
     bvec <- c(1,w.initial,-turnover,rep(0,2*nassets))
+    n.eq <- 1 + nassets
   }
   
   #optional long only constraint
@@ -76,11 +78,7 @@
     bvec <- c(bvec,rep(0,nassets))
   }
   
-  if(!is.null(mu.target)){
-    n.eq = 2+nassets 
-  } else {
-    n.eq = 1 + nassets
-  }
+ 
   #Note that the first 5 constraints are equality constraints
   #The rest are >= constraints, so if you want <= you have to flip
   #signs as done above

Modified: pkg/MPO/examples/BackTestingExamples.R
===================================================================
--- pkg/MPO/examples/BackTestingExamples.R	2012-08-07 08:33:54 UTC (rev 2223)
+++ pkg/MPO/examples/BackTestingExamples.R	2012-08-08 23:52:10 UTC (rev 2224)
@@ -1,7 +1,23 @@
+###only 149 data points, so may want to use less than 100 assets
+returns <- cbind(large.cap.returns[,1:5],mid.cap.returns[,1:5])
 
 ##backtesting turnover example
-wt.to <- BackTestWeights(large.cap.returns,12,36,FUN=TurnoverOpt,w.initial=rep(1/100,100),turnover=2)
-class(wt.to)
-ret.to <- Return.rebalancing(large.cap.returns, wt.to2)
-charts.PerformanceSummary(ret.to2,main="MV Portfolio, turnover constrained")
+wt.to <- BackTestWeights(returns,1,36,FUN=TurnoverOpt,w.initial=rep(1/10,10),turnover=.75)
+ret.to <- Return.rebalancing(returns, wt.to)
+charts.PerformanceSummary(ret.to,main="MV Portfolio, turnover constrained")
 
+##backtesting proportional cost example
+wt.pc <- BackTestWeights(returns,1,36,FUN=ProportionalCostOpt,w.initial=rep(1/10,10),tc=.001,mu.target=0.001)
+ret.pc <- Return.rebalancing(returns,wt.pc)
+charts.PerformanceSummary(ret.pc,main="MV Portfolio, Proportional Transaction Costs")
+
+##backtesting fixed transaction cost
+wt.tc <- BackTestWeights(returns,1,36,FUN=TransactionCostOpt,w.initial=rep(1/10,10),c=.01,lambda=1000)
+ret.tc <- Return.rebalancing(returns,wt.tc)
+charts.PerformanceSummary(ret.pc,main="MV Portfolio, Fixed Transaction Costs")
+
+combined <- cbind(ret.to,ret.pc,ret.tc)
+colnames(combined) <- c("Turnover","Proportional Cost","Fixed Cost")
+charts.PerformanceSummary(combined)
+
+