Initial Sample Scripts and Data Commit

samples/cmb-getdates.sh

@@ -0,0 +1,61 @@
+source ~/.bashrc
+arg1="$1"
+simfile=""
+if [ "$arg1" = "sim" ]
+then
+simfile="sim"
+elif [[ "$arg1" = *"safety"* ]]
+then
+simfile="$arg1"
+fi
+if [ "$2" != "" ]
+then
+arg2=$2
+fi
+if [[ "$arg1" = "" || "$arg1" = "s3" || "$arg1" = "sim" || "$arg1" = "1" || "$arg1" = "2" || "$arg1" = "3" || "$arg1" = "4" || "$arg1" = *"safety"* ]]
+then
+ cmbdates=""
+ IFS=$'\n'
+ if [ "$arg1" = "1" -o "$arg1" = "2" -o "$arg1" = "3" -o "$arg1" = "4" ]
+ then
+   echo $simfile
+   end=`expr $arg2 + 1`
+   start=`expr $arg2 + 1 - $arg1`
+   grabbingdates="tail -n+2 ${simfile}getdates.csv | sed -n \"$start,$end"
+   grabbingdates=$grabbingdates"p\" ${simfile}getdates.csv | sed 's/,/ /g'"
+   echo $grabbingdates
+ else
+   grabbingdates="tail -n+2 ${simfile}getdates.csv | sed 's/,/ /g'"
+ fi
+ for row in $(eval $grabbingdates)
+ do
+  IFS=$' '
+  set -- $row
+  if [ "$cmbdates" = "" ]
+  then
+   if [ "$arg1" = "sim" ]
+   then
+      cmbdates="(t >= ($2 _ 1000) && t <= ($3 _ 1000))"
+   else
+      cmbdates="(t >= $2 && t <= $3)"
+   fi
+   firststart=$2
+  else
+   if [ "$arg1" = "sim" ]
+   then
+      #cmbdates="$cmbdates || (t >= ($2 "'* 1000) && t <= ('"$3 "'* 1000))'
+      cmbdates="$cmbdates || (t >= ($2 _ 1000) && t <= ($3 _ 1000))"
+   else
+      cmbdates="$cmbdates || (t >= $2 && t <= $3)"
+   fi
+  fi
+  lastend=$3
+ done
+ if [ "$arg1" = "sim" ]
+ then
+   cmbdates="'"$cmbdates"'"
+ else
+   cmbdates=$cmbdates""
+ fi
+ echo $cmbdates
+fi

samples/runweekly.R

@@ -0,0 +1,206 @@
+runweekly <- function(wstart,wend,verbose=F,plot=F,tplot=F,model="",addtotitle="",levered=100000,unlevered=100000,override="",balance=20000,marginutilization=20,leverage=50,compounding=T,commissions=0.000036,d=NULL,weektoday=F,systemcommand="",metrics=T,legend=F,infnull=F,meanrate=1,udbthread=1,normalized=T,pippercent=100) {
+  if (commissions!=0.000036) {
+    print(paste0("USING COMMISSIONS OF ",commissions))
+  }
+  # print(paste0(wstart, ' to ', wend))
+  if (compounding==T) {
+    metrictitle <- paste0(leverage,"x Leveraged Returns/",balance," Balance/",marginutilization,"% Margin Utilization/Compounding")
+  } else {
+    metrictitle <- paste0(leverage,"x Leveraged Returns/",balance," Balance/",marginutilization,"% Margin Utilization/Not Compounding")
+  }
+  if (systemcommand == "") {
+    print(metrictitle)
+  }
+  origdigits <- options()$digits
+  options(digits=15)
+  options(scipen = 999)
+  if (systemcommand == "") {
+    print(paste("Converting",model,"to Weekly Performance"))
+  }
+  if (addtotitle == "") {
+    addtotitle <- model
+  } else {
+    addtotitle <- paste(model,addtotitle,':')
+  }
+  if (is.null(d)) {
+    dates <- read.csv("safetygetdates.csv")
+    d <- dates[,2:3]
+  }
+  if (weektoday) {
+    wstart <- (wstart - 1)*6 + 1
+    wend <- (wend - 1)*6 + 6
+  }
+  if (systemcommand == "") {
+    plotattempt <- try(filteredtrades <- read.csv('modeltrades.csv',header=F))
+    if (any(grepl("error",class(plotattempt)))) {
+      filteredtrades <- NULL
+    }
+  } else {
+    filteredtrades <- read.csv(pipe(systemcommand,open='r'),header=F)
+  }
+  if (length(filteredtrades)) {
+    xtstrades <- filteredtrades
+    xtsprofits <- xtstrades #[seq(2,nrow(xtstrades),2),]
+
+    t1 <- Sys.time()
+    weekperf1 <- matrix(nrow=(wend - wstart + 1),ncol=1)
+    lastprofit <- 0
+    weeklytrades <- NULL
+    if (wstart != 1) {
+      # print(wstart)
+      weeklysum <- 0
+      ntrades <- 0
+      weeklytrades <- as.numeric(xtsprofits[which(floor(as.numeric(xtsprofits[,4])/1000) >= d[(wstart - 1),1] & floor(as.numeric(xtsprofits[,4])/1000) <= d[(wstart - 1),2]),9])
+      allweeklytrades <- xtsprofits[which(floor(as.numeric(xtsprofits[,4])/1000) >= d[(wstart - 1),1] & floor(as.numeric(xtsprofits[,4])/1000) <= d[(wstart - 1),2]),]
+      ntrades <- length(weeklytrades)
+      if (normalized) {
+      lastprofit <- ifelse(length(weeklytrades[ntrades]),tail(cumsum((allweeklytrades[which(allweeklytrades[,2]=="SELL"),5] - allweeklytrades[which(allweeklytrades[,2]=="BUY"),5])/allweeklytrades[which(allweeklytrades[,2]=="BUY"),5] - commissions),1),0)
+      } else {
+      lastprofit <- ifelse(length(weeklytrades[ntrades]),tail(cumsum(allweeklytrades[which(allweeklytrades[,2]=="SELL"),5] - allweeklytrades[which(allweeklytrades[,2]=="BUY"),5] - commissions),1),0)
+      }
+      if (verbose) {
+        print(paste((wstart - 1),ntrades,weeklysum,ifelse(length(weeklyprofit),weeklyprofit,0)))
+        print(lastprofit)
+      }
+    }
+    totaltrades <- 0
+    for (week in wstart:wend) {
+      weeklysum <- 0
+      ntrades <- 0
+      weeklytrades <- as.numeric(xtsprofits[which(floor(as.numeric(xtsprofits[,4])/1000) >= d[week,1] & floor(as.numeric(xtsprofits[,4])/1000) <= d[week,2]),9])
+allweeklytrades <- xtsprofits[which(floor(as.numeric(xtsprofits[,4])/1000) >= d[week,1] & floor(as.numeric(xtsprofits[,4])/1000) <= d[week,2]),]
+#      print(allweeklytrades)
+      ntrades <- length(weeklytrades)
+      # print(paste0("Number of Trades: ",ntrades))
+      totaltrades <- totaltrades + ntrades
+      # print(ntrades)
+      weeklysum <- weeklytrades[ntrades] - lastprofit
+      # print(weeklysum)
+      weeklyprofit <- weeklysum - (ntrades * commissions) #0.00008)
+      # print(weeklyprofit)
+    if (normalized) {
+      weekperf1[(week-wstart+1),1] <- ifelse(length(weeklyprofit),tail(cumsum((allweeklytrades[which(allweeklytrades[,2]=="SELL"),5] - allweeklytrades[which(allweeklytrades[,2]=="BUY"),5])/allweeklytrades[which(allweeklytrades[,2]=="BUY"),5] - commissions),1),0) 
+    } else {
+      weekperf1[(week-wstart+1),1] <- ifelse(length(weeklyprofit),tail(cumsum(allweeklytrades[which(allweeklytrades[,2]=="SELL"),5] - allweeklytrades[which(allweeklytrades[,2]=="BUY"),5] - commissions),1),0)
+    }
+      # print(weekperf1[(week-wstart+1),1])
+      if (length(weeklyprofit)) {
+        lastprofit <- weeklytrades[ntrades]
+      }
+      if (verbose) {
+        print(paste(week,ntrades,weeklysum,ifelse(length(weeklyprofit),weeklyprofit,0)))
+      }
+    }
+    # print(paste0('Total Number of Trades: ',totaltrades))
+#    if (meanrate != 1) {
+#      print(paste('Converting pip profits to percent profit using meanrate of',meanrate))
+#      weekperf1 <- weekperf1 / meanrate
+#    }
+    if (normalized) {
+      weekperf1 <- weekperf1*pippercent
+    }
+    cumweekperf <- cumsum(weekperf1)
+    if (plot) {
+      plot(wstart:wend,cumweekperf,type='l',col=3,main=paste(addtotitle)) #,'Week',wstart,'to',wend,'Performance'))
+      if (legend==T) {legend("topleft",legend = c(paste('Weekly Perf',model,collape=' ')), lty = c(1), col=c(3))}
+      abline(0,0)
+    }
+    if (tplot) {
+      # library(timeSeries)
+      # library(quantmod)
+      if (! "xts" %in% (.packages())) {
+        require(xts)
+      }
+      if (! "PerformanceAnalytics" %in% (.packages())) {
+        require(PerformanceAnalytics)
+      }
+      origperf <- xts(levered*(weekperf1/pippercent)/unlevered*100, order.by=seq(as.POSIXct(d[wstart,1],origin="1970-01-01"),
+                                                                      as.POSIXct(d[wend,1],origin="1970-01-01"),length.out=length(wstart:wend)))
+      t1 <- xts(levered*(cumweekperf/pippercent)/unlevered*100, order.by=seq(as.POSIXct(d[wstart,1],origin="1970-01-01"),
+                                                                  as.POSIXct(d[wend,1],origin="1970-01-01"),length.out=length(wstart:wend)))
+      if (metrics==T) {
+        # require(PerformanceAnalytics)
+        print(Return.annualized(origperf/100, scale = 52, geometric = FALSE))
+        print(Return.annualized(origperf/100, scale = 52, geometric = TRUE))
+      }
+      unleveredamount <- "Cumulative Net Profit [%]"
+      if (levered != 100000 || unlevered != 100000) {
+        unleveredamount <- paste0("Cumulative Profit [%]: Utilizing ",unlevered," Units Per Trade")
+      }
+      if (override!="") {
+        unleveredamount <- override
+      }
+      PerformanceAnalytics::chart.TimeSeries(t1,ylab=paste0(unleveredamount),main=paste(addtotitle,system(paste0('date -d @',d[wstart,1],' +%F'),intern=T),'to',system(paste0('date -d @',d[wend,2],' +%F'),intern=T),'Performance'),xlab = "Date (GMT)",cex.lab=.8)
+      if (legend==T) {legend("topleft",legend = c(paste('Weekly Perf',model,collape=' ')), lty = c(1), col=c(3))}
+      abline(a=0,b=0)
+      if (leverage!=1) {
+        sim_vec.xts <- xts(weekperf1/pippercent, order.by=seq(as.POSIXct(d[wstart,1],origin="1970-01-01"),
+                                                   as.POSIXct(d[wend,1],origin="1970-01-01"),length.out=length(wstart:wend)))
+        temp <- sim_vec.xts
+        perf_adj <- rep(0,nrow(temp))
+        bal <- balance #20000
+        mar <- bal * (marginutilization / 100) #2000
+        lot <- mar * leverage #100000
+        for(i in 1:nrow(temp)) {
+          pl <- as.numeric((coredata(temp[i,1])) * lot)
+          perf_adj[i] <- as.numeric(pl / bal)
+          bal <- bal + pl
+          mar <- bal * (marginutilization / 100) # / 5
+          if (compounding==T) {
+            lot <- mar * leverage #50
+          }
+          # print(lot)
+        }
+
+        temp[,1] <- perf_adj
+        weekperf1 <- temp*pippercent
+
+        if (metrics==T) {
+          metrics <- as.table(rbind(Return.annualized(temp, scale = 52, geometric = T),
+                                    AverageDrawdown(temp),
+                                    maxDrawdown(temp),
+                                    AverageRecovery(temp),
+                                    SharpeRatio.annualized(temp, Rf = 0.004/52, scale = 52, geometric = TRUE),
+                                    UpsidePotentialRatio(temp, MAR = 0.004/52, method = "full"),
+                                    KellyRatio(temp, Rf = 0.004/52, method = "half")))
+          print(metrics)
+        }
+        cumweekperf <- cumsum(weekperf1)
+        chart.TimeSeries(cumsum(temp)*100,main=metrictitle,ylab = "Cumulative Net Profit [%]",cex.lab=0.8,cex.main=0.7,xlab="Time")
+        }
+    }
+  } else {
+    print("FAILURE: zero lines in trade file: modeltrades.csv")
+    if (infnull) {
+      weekperf1 <- NULL
+      cumweekperf <- NULL
+    } else {
+      weekperf1 <- rep(-Inf,wend - wstart + 1)
+      cumweekperf <- rep(-Inf,wend - wstart + 1)
+    }
+  }
+  if (systemcommand=="") {
+    return(list('weekperf'=weekperf1,'cumweekperf'=cumweekperf))
+  } else {
+    if (!is.null(length(weekperf1))) {
+      if (length(weekperf1) != 0) {
+        if (tail(cumweekperf,1)>0) {
+          print(paste('Result:',-tail(cumweekperf,1)*1/(max(rollmax(cumweekperf,2)-cumweekperf[-1])*sum(weekperf1<=0)/length(weekperf1))**4,-tail(cumweekperf,1),sum(weekperf1<=0),length(weekperf1),max(rollmax(cumweekperf,2)-cumweekperf[-1])))
+          return(-tail(cumweekperf,1)*1/(max(rollmax(cumweekperf,2)-cumweekperf[-1])*sum(weekperf1<=0)/length(weekperf1))**4)
+        } else {
+          print(paste('Result:',-tail(cumweekperf,1)*(max(rollmax(cumweekperf,2)-cumweekperf[-1])*sum(weekperf1<=0)/length(weekperf1))**4,-tail(cumweekperf,1),sum(weekperf1<=0),length(weekperf1),max(rollmax(cumweekperf,2)-cumweekperf[-1])))
+          return(-tail(cumweekperf,1)*(max(rollmax(cumweekperf,2)-cumweekperf[-1])*sum(weekperf1<=0)/length(weekperf1))**4)
+        }
+      } else {
+        print("Result: Inf")
+        return(Inf)
+      }
+    } else {
+      print("Result: Inf")
+      return(Inf)
+    }
+  }
+  options(scipen = 0)
+  options(digits=origdigits)
+}
+