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Add longshort and add code formatting
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@amshenoy
amshenoy committed Apr 15, 2024
1 parent 4d4b301 commit 1e43fad
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234 changes: 114 additions & 120 deletions assets/js/app.js
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Original file line number Diff line number Diff line change
@@ -1,247 +1,241 @@

function arrayColumn(arr, n) {
return arr.map(x=> x[n]);
return arr.map(x => x[n]);
}

function argmin(a) {
return a.reduce(function(lowest, next, index) {return next < a[lowest] ? index : lowest; }, 0);
return a.reduce(function (lowest, next, index) { return next < a[lowest] ? index : lowest; }, 0);
}
function argmax(a) {
return a.reduce(function(highest, next, index) {return next > a[highest] ? index : highest; }, 0);
return a.reduce(function (highest, next, index) { return next > a[highest] ? index : highest; }, 0);
}


/////////////////////////////////////////////////////////////////////////////////////

var simulator = new Worker("./assets/js/simulate.min.js");
simulator.onmessage = function(event){
var simulator = new Worker("./assets/js/simulate.js");
simulator.onmessage = function (event) {

var sim_data = event.data;
update_simplots(assets, sim_data, total_amount);

$("#simulate").removeAttr('disabled');
$("#sim-loading").hide();
$("#sim-available").show();

};
//////////////////////////////////////////////////////////////////////

function update_simplots(stocks, sim_data, total_amount){
function update_simplots(stocks, sim_data, total_amount) {

[returns, risks, sharpes, portfolios, stock_counts] = sim_data;

var N = stocks.length;
var allocate = (total_amount != 0);
//////////////////////////////////////////////////////////////////////
//////////////////////////Pareto Plot//////////////////////////
//////////////////////////////////////////////////////////////////////
function weight_label(weight_arr){
function weight_label(weight_arr) {
return JSON.stringify(math.round(math.multiply(weight_arr, 100), 1));
}
function count_label(count_arr){

function count_label(count_arr) {
return JSON.stringify(count_arr);
}

//TBD add sharpe ratios to this
var pareto_labels = [];
if (allocate == false){
if (!allocate) {
pareto_labels = portfolios.map(weight_label);
}else{
} else {
pareto_labels = stock_counts.map(count_label);
}

var mc_points = {
name: "Portfolios",
x: risks,
y: returns,
mode: 'markers',
type: 'scatter',
text: pareto_labels,
marker: {
color: 'rgba(190, 190, 255, 1)',
size: math.round(math.dotMultiply(sharpes, 5))
}
name: "Portfolios",
x: risks,
y: returns,
mode: 'markers',
type: 'scatter',
text: pareto_labels,
marker: {
color: 'rgba(190, 190, 255, 1)',
size: math.round(math.dotMultiply(sharpes, 5))
}
};

var min_risk_index = argmin(risks);
var max_sharpe_index = argmax(sharpes);

var min_risk = {
name: "Min Risk",
x: [risks[min_risk_index]],
y: [returns[min_risk_index]],
mode: 'markers',
type: 'scatter',
text: weight_label(portfolios[min_risk_index])+"</br>"+"Sharpe: "+math.round(sharpes[min_risk_index], 3),
marker: {
color: 'rgba(0,0,0,0)',
size: 20,
line: {
color: 'rgb(130, 40, 255)',
width: 2
}
},
};
name: "Min Risk",
x: [risks[min_risk_index]],
y: [returns[min_risk_index]],
mode: 'markers',
type: 'scatter',
text: weight_label(portfolios[min_risk_index]) + "</br>" + "Sharpe: " + math.round(sharpes[min_risk_index], 3),
marker: {
color: 'rgba(0,0,0,0)',
size: 20,
line: {
color: 'rgb(130, 40, 255)',
width: 2
}
},
};


var max_sharpe = {
name: "Max Sharpe",
x: [risks[max_sharpe_index]],
y: [returns[max_sharpe_index]],
mode: 'markers',
type: 'scatter',
text: weight_label(portfolios[max_sharpe_index])+"</br>"+"Sharpe: "+math.round(sharpes[max_sharpe_index], 3),
marker: {
color: 'rgba(0,0,0,0)',
size: 20,
line: {
color: 'rgb(13, 40, 255)',
width: 2
}
},
};
name: "Max Sharpe",
x: [risks[max_sharpe_index]],
y: [returns[max_sharpe_index]],
mode: 'markers',
type: 'scatter',
text: weight_label(portfolios[max_sharpe_index]) + "</br>" + "Sharpe: " + math.round(sharpes[max_sharpe_index], 3),
marker: {
color: 'rgba(0,0,0,0)',
size: 20,
line: {
color: 'rgb(13, 40, 255)',
width: 2
}
},
};



var data = [mc_points, min_risk, max_sharpe];
var layout = {autosize: false, width: 720, height: 640, xaxis:{title: "Expected Risk/Volatility"}, yaxis:{title: "Expected Return"}};
var layout = { autosize: false, width: 720, height: 640, xaxis: { title: "Expected Risk/Volatility" }, yaxis: { title: "Expected Return" } };
Plotly.newPlot('pareto-plot', data, layout);
$('#pareto-plot').show();

///////////////////////////////////////////////////////////////
//////////////////Parallel Plot//////////////////////////
///////////////////////////////////////////////////////////////
var parallel_data = [];
if (allocate == false){
parallel_data = portfolios;
}else{
parallel_data = stock_counts;
}

var parallel_data = allocate ? stock_counts : portfolios;

var dims = [];
for (var i=0; i<N; i++){
for (var i = 0; i < N; i++) {
var dim = {
values: arrayColumn(parallel_data, i),
label: stocks[i]
};
dims.push(dim);
}

var data = [{
type: 'parcoords',
pad: [80,80,80,80],
line: {
showscale: true,
color: sharpes,
colorscale: [[0, 'red'], [0.5, 'green'], [1, 'blue']],
cmax: 1.7,
cmin: 0.5,

},
dimensions: dims
type: 'parcoords',
pad: [80, 80, 80, 80],
line: {
showscale: true,
color: sharpes,
colorscale: [[0, 'red'], [0.5, 'green'], [1, 'blue']],
cmax: 1.7,
cmin: 0.5,
},
dimensions: dims
}];
var layout = {autosize: false, width: 640, height: 640};


var layout = { autosize: false, width: 640, height: 640 };
Plotly.newPlot('parallel-plot', data, layout);
$('#parallel-plot').show();
}

function data_plot(timestamps, data, stocks){
function data_plot(timestamps, data, stocks) {
//////////////////////////////////////////////////////////////////////
/////////////////////////Timeseries Plot//////////////////////////////
//////////////////////////////////////////////////////////////////////
var N = stocks.length;

var traces = [];
for (var i=0; i < N; i++){
for (var i = 0; i < N; i++) {
var trace = {
type: "scatter",
mode: "lines",
x: timestamps.map(t => t*1000),
x: timestamps.map(t => t * 1000),
y: data[i],
name: stocks[i]
};
traces.push(trace);
}
var layout = {autosize: false, width: 1280, height: 640, xaxis: {type: 'date'}};

var layout = { autosize: false, width: 1280, height: 640, xaxis: { type: 'date' } };
Plotly.newPlot('timeseries-plot', traces, layout);
$('#timeseries-plot').show();
}

/////////////////////////////////////////////////////////////////////////////////////

var timestamps = [];
var main_data = [];
var assets = [];
var total_amount = 0;

$( document ).ready(function() {
$(document).ready(function () {

$(".plot").hide();
$("#simulate").hide();
$("#sim-loading").hide();
$("#go-loading").hide();

var demo_tickers = "amzn,googl,aapl,gld";
demo_tickers = demo_tickers.split(",");
for (var i=0; i<demo_tickers.length; i++){
for (var i = 0; i < demo_tickers.length; i++) {
$('#tickers').tagsinput('add', demo_tickers[i]);
};
$("#go").click(function(){

$("#go").click(function () {
$("#simulate").hide();
$("#go-loading").show();
//reset clear old data

// clear old data
timestamps = [];
main_data = [];
assets = [];

//console.log($('#tickers').val());
//console.log($('#tickers').tagsinput('items'));
var params = {stocks: $('#tickers').tagsinput('items')};

var params = { stocks: $('#tickers').tagsinput('items') };
$.ajax({
url: "https://portfolio-analyser.vercel.app/api/data",
type: "post",
dataType: 'json',
contentType: 'application/json',
data: JSON.stringify(params),
success: function (data) {

//console.log(data)
// console.log(data)
assets = data["assets"];
timestamps = data["timestamps"];
// Convert row arrays to column arrays
for (var i=0; i < data["assets"].length; i++){
// main_data.push(arrayColumn(data["prices"], i));
for (var i = 0; i < data["assets"].length; i++) {
main_data.push(data["prices"][i]);
}

data_plot(timestamps, main_data, assets);

$("#simulate").show();
$("#go-loading").hide();
}
}).done(function(){
}).done(function () {
$("#simulate").click();
});

});
$("#simulate").click(function(){

$("#simulate").click(function () {
$("#simulate").attr('disabled', 'disabled');
$("#sim-loading").show();
$("#sim-available").hide();

total_amount = parseInt($("#total").val());
var prune = $("#prune").is(":checked");
var longshort = $("#longshort").is(":checked");
var free_rate = $("#free-rate").val() / 100; // free interest growth

//var sim_data = simulate(assets, main_data, free_rate, total_amount, prune);
simulator.postMessage([assets, main_data, free_rate, total_amount, prune]);
});

simulator.postMessage([assets, main_data, free_rate, total_amount, prune, longshort]);
});

/*
$("#go").click().delay(10000).queue(function(){
$("#simulate").click();
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