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Problemsets/Data/Portfolios_SGLV.csv

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+2020-12-01,13.172,8.036,4.63

Problemsets/PS05_TradingStrategy.ipynb

@@ -0,0 +1,136 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "printyellow (generic function with 1 method)"
+      ]
+     },
+     "execution_count": 1,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "using Printf, Dates, Statistics, DelimitedFiles, StatsBase\n",
+    "\n",
+    "include(\"jlFiles/printmat.jl\")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "using Plots\n",
+    "\n",
+    "gr(size=(480,320))\n",
+    "default(fmt = :svg)"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# Load Data"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 3,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "(10340, 25)"
+      ]
+     },
+     "execution_count": 3,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "x   = readdlm(\"Data/25_Portfolios_5x5_Daily.CSV\",',',skipstart=1)        #daily return data\n",
+    "ym  = round.(Int,x[:,1])          #yearmonthday, like 20071231\n",
+    "\n",
+    "dN = Date.(string.(ym),\"yyyymmdd\")      #covert to Julia date, eg. 2001-12-31\n",
+    "\n",
+    "\n",
+    "vv = Date(1980,1,1) .<= dN .<= Date(2020,12,31)   #pick out the correct sample\n",
+    "ym = ym[vv]\n",
+    "R = x[vv,2:end]                   #returns\n",
+    "\n",
+    "(T,n) = size(R)                   #number of data points, number of assets"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# Task 1: Two Simple Strategies\n",
+    "\n",
+    "`R_1`: go long each of asset 1-24 (each with the weight 1/24) and short asset 25\n",
+    "\n",
+    "`R_2`: go long asset 1 and short asset 25\n",
+    "\n",
+    "The returns of these portfolios are easy to calculate without having to explicitly construct the portfolio weights, but it still a good preparation for later to do the explicit calculations as follows:\n",
+    "\n",
+    "1. Construct the vector of portfolio weights `w`\n",
+    "2. The portfolio return in `t` is `w'*R[t,:]`.\n",
+    "\n",
+    "Also, do not be afraid of loops: they are quick.\n",
+    "\n",
+    "Show means and standard deviations of the two strategies. Annualize the mean by `*252`  and the standard deviation by `*sqrt(252)`.\n",
+    "\n",
+    "Plot histograms with bins that are 0.25 wide. (Don't annualize anything in the histograms.)"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# Task 2: Another Trading Strategy\n",
+    "\n",
+    "We now do simple volatility based trading strategy.\n",
+    "\n",
+    "1. Find the 3 least volatile assets over `t-22:t-1` and give each a portfolio weight `w[t,i]=1/3`. \n",
+    "\n",
+    "2. Find the 3 most volatile assets over `t-22:t-1` and give each a portfolio weight `w[t,i]=-1/3`. \n",
+    "\n",
+    "3. The portfolio return in `t` is `w[t,:]'*R[t,:]`.\n",
+    "\n",
+    "4. Compare the average and std (annualized) with the previous portfolios, over periods `23:T`\n",
+    "\n",
+    "Hint: `v = sortperm(x)` gives indices such that `v[1:2]` are the indices of the lowest 2 elements in x. Try `sortperm([12,11,13])` to see."
+   ]
+  }
+ ],
+ "metadata": {
+  "@webio": {
+   "lastCommId": null,
+   "lastKernelId": null
+  },
+  "anaconda-cloud": {},
+  "kernelspec": {
+   "display_name": "Julia 1.6.2",
+   "language": "julia",
+   "name": "julia-1.6"
+  },
+  "language_info": {
+   "file_extension": ".jl",
+   "mimetype": "application/julia",
+   "name": "julia",
+   "version": "1.6.2"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 1
+}

Problemsets/jlFiles/printTeXTable.jl

@@ -0,0 +1,59 @@
+#------------------------------------------------------------------------------
+"""
+    printTeXTable(fh::IO,x;colNames=[],rowNames=[],width=12,prec=2) or
+    printTeXTable(x;colNames=[],rowNames=[],width=12,prec=2) or
+
+Create LaTeX table from numeric matrix x. Print to file or screen and returns a string
+with the table contents.
+
+# Input
+-`fh::IOStream`:
+-`x::`:
+-`colNames::`:
+-`rowNames::`:
+-`width::`:
+-`prec::`:
+
+
+"""
+function printTeXTable(fh::IO,x;colNames=[],rowNames=[],width=12,prec=2)
+
+  (m,n) = (size(x,1),size(x,2))
+
+  isempty(rowNames) && (rowNames = [string("r",i) for i = 1:m])   #create row names "r1"
+  isempty(colNames) && (colNames = [string("c",i) for i = 1:n])   #create column names "c1"
+
+  str = """
+  \\begin{table}
+    \\begin{tabular}{l"""
+  str = string(str,"r"^n,"}\n","    ")
+
+  str = string(str," & ")                              #empty cell above rowNames[1]
+  for i = 1:n-1                                        #column names
+    str = string(str,colNames[i]," & ")
+  end
+  str = string(str,colNames[n]," \\\\ \\hline \n")
+
+  for i = 1:m                                                          #loop over rows
+    str = string(str,"   ",rowNames[i]," & ")                          #row name
+    for j = 1:n-1
+      str = string(str,fmtNumPs(x[i,j],width,prec,"right"), " & ")     #x[i,1:end-1]
+    end
+    str = string(str,fmtNumPs(x[i,n],width,prec,"right")," \\\\ \n")   #x[i,end]
+  end
+
+  endstr = """
+    \\hline
+    \\end{tabular}
+  \\end{table}"""
+  str = string(str,endstr,"\n")
+
+  print(fh,str)                                                        #print
+
+  return str
+
+end
+                                      #when fh is not supplied: printing to screen
+printTeXTable(x;colNames=[],rowNames=[],width=12,prec=2) =
+printTeXTable(stdout::IO,x;colNames,rowNames,width,prec)
+#------------------------------------------------------------------------------

Problemsets/jlFiles/printmat.jl

@@ -0,0 +1,246 @@
+#------------------------------------------------------------------------------
+"""
+    printmat([fh::IO],x...;colNames=[],rowNames=[],
+             width=10,prec=3,NoPrinting=false,StringFmt="",cell00="")
+
+Print all elements of a matrix (or several) with predefined formatting. It can also handle
+OffsetArrays. StringFmt = "csv" prints using a csv format.
+
+# Input
+- `fh::IO`:            (optional) file handle. If not supplied, prints to screen
+- `x::Array(s)`:       (of numbers, dates, strings, ...) to print
+- `colNames::Array`:   of strings with column headers
+- `rowNames::Array`:   of strings with row labels
+- `width::Int`:        (keyword) scalar, minimum width of printed cells
+- `prec::Int`:         (keyword) scalar, precision of printed cells
+- `NoPrinting::Bool`:  (keyword) bool, true: no printing, just return formatted string [false]
+- `StringFmt::String`: (keyword) string, "", "csv"
+- `cell00::String`:    (keyword) string, for row 0, column 0
+
+# Output
+- str         (if NoPrinting) string, (otherwise nothing)
+
+# Examples
+```
+x = [11 12;21 22]
+printmat(x)
+```
+```
+x = [1 "ab"; Date(2018,10,7) 3.14]
+printmat(x,width=20,colNames=["col 1","col 2"])
+```
+```
+printmat([11,12],[21,22])
+```
+Can also call as
+```
+opt = Dict(:rowNames=>["1";"4"],:width=>10,:prec=>3,:NoPrinting=>false,:StringFmt=>"")
+printmat(x;colNames=["a","b"],opt...)     #notice ; and ...
+```
+(not all keywords are needed)
+
+# Requires
+- fmtNumPs
+
+# Notice
+- The prefixN and suffixN could potentially be made function inputs. This would allow
+a fairly flexible way to format tables.
+
+
+Paul.Soderlind@unisg.ch
+
+"""
+function printmat(fh::IO,x...;colNames=[],rowNames=[],
+                  width=10,prec=3,NoPrinting=false,StringFmt="",cell00="")
+
+  isempty(x) && return nothing                         #do nothing is isempty(x)
+
+  typeTestQ = any(!=(eltype(x[1])),[eltype(z) for z in x])  #test if eltype(x[i]) differs
+  if typeTestQ                                      #create matrix from tuple created by x...
+    x = hcat(Matrix{Any}(hcat(x[1])),x[2:end]...)   #preserving types of x[i]
+  else
+    x = hcat(x...)
+  end
+
+  (m,n) = (size(x,1),size(x,2))
+
+  (length(rowNames) == 1 < m) && (rowNames = [string(rowNames[1],i) for i = 1:m])  #"ri"
+  (length(colNames) == 1 < n) && (colNames = [string(colNames[1],i) for i = 1:n])  #"ci"
+
+  if StringFmt == "csv"
+    (prefixN,suffixN)   = (fill("",n),vcat(fill(",",n-1),""))  #prefix and suffix for column 1:n
+    (prefixC0,suffixC0) = ("",",")                             #prefix and suffix for column 0
+  else
+    (prefixN,suffixN) = (fill("",n),fill("",n))
+    (prefixC0,suffixC0) = ("","")
+  end
+
+  if length(rowNames) == 0                         #width of column 0 (cell00 and rowNames)
+    col0Width = 0
+  else
+    col0Width = maximum(length,vcat(cell00,rowNames)) + length(prefixC0) + length(suffixC0)
+  end
+
+  colWidth = [width + length(prefixN[j]) + length(suffixN[j]) for j=1:n]  #widths of column 1:n
+
+  iob = IOBuffer()
+
+  if !isempty(colNames)                                #print (cell00,colNames), if any
+    !isempty(cell00) ?  txt0 = string(prefixC0,cell00,suffixC0) : txt0 = ""
+    print(iob,rpad(txt0,col0Width))
+    for j = 1:n                                #loop over columns
+      print(iob,lpad(string(prefixN[j],colNames[j],suffixN[j]),colWidth[j]))
+    end
+    print(iob,"\n")
+  end
+                                                       #print rowNames and x
+  (i0,j0) = (1 - first(axes(x,1)),1 - first(axes(x,2)))   #i+i0,j+j0 give traditional indices
+  for i in axes(x,1)                           #loop over rows
+    !isempty(rowNames) && print(iob,rpad(string(prefixC0,rowNames[i+i0],suffixC0),col0Width))
+    for j in axes(x,2)                         #loop over columns
+      print(iob,fmtNumPs(x[i,j],width,prec,"right",prefix=prefixN[j+j0],suffix=suffixN[j+j0]))
+    end
+    print(iob,"\n")
+  end
+  str = String(take!(iob))
+
+  if NoPrinting                              #no printing, just return str
+    return str
+  else                                       #print, return nothing
+    print(fh,str,"\n")
+    return nothing
+  end
+
+end
+                        #when fh is not supplied: printing to screen
+printmat(x...;colNames=[],rowNames=[],width=10,prec=3,NoPrinting=false,StringFmt="",cell00="") =
+    printmat(stdout::IO,x...;colNames,rowNames,width,prec,NoPrinting,StringFmt,cell00)
+#------------------------------------------------------------------------------
+
+
+#------------------------------------------------------------------------------
+"""
+    printlnPs([fh::IO],z...;width=10,prec=3)
+
+Subsitute for println, with predefined formatting.
+
+
+# Input
+- `fh::IO`:    (optional) file handle. If not supplied, prints to screen
+- `z::String`: string, numbers and arrays to print
+
+Paul.Soderlind@unisg.ch
+
+"""
+function printlnPs(fh::IO,z...;width=10,prec=3)
+
+  for x in z                              #loop over inputs in z...
+    if isa(x,AbstractArray)
+      iob = IOBuffer()
+      for i = 1:length(x)
+        print(iob,fmtNumPs(x[i],width,prec,"right"))
+      end
+      print(fh,String(take!(iob)))
+    else
+      print(fh,fmtNumPs(x,width,prec,"right"))
+    end
+  end
+
+  print(fh,"\n")
+
+end
+                      #when fh is not supplied: printing to screen
+printlnPs(z...;width=10,prec=3) = printlnPs(stdout::IO,z...;width,prec)
+#------------------------------------------------------------------------------
+
+
+#------------------------------------------------------------------------------
+"""
+    fmtNumPs(z,width=10,prec=2,justify="right";prefix="",suffix="")
+
+Create a formatted string of a float (eg, "%10.4f"), nothing (""),
+while other values are passed through. Strings are right (or left) justified
+and can optionally be given prefix and suffix (eg, ",")
+
+# Notice
+- With prec > 0 and isa(z,Integer), then the string is padded with 1+prec spaces
+to align with the printing of floats with the same prec.
+
+# Requires
+- Printf (for 1.6-), fmtNumPsC (for < 1.6)
+
+"""
+function fmtNumPs(z,width=10,prec=2,justify="right";prefix="",suffix="")
+
+  isa(z,Bool) && (z = convert(Int,z))             #Bool -> Int
+
+  if isa(z,AbstractFloat)                         #example: 101.0234, prec=3
+    if VERSION < v"1.6-"
+      fmt    = "%$(width).$(prec)f"
+      zRound = round(z,digits=prec)
+      strLR  = fmtNumPsC(fmt,zRound)                #C fallback solution
+    else
+      fmt   = Printf.Format("%$(width).$(prec)f")
+      strLR = Printf.format(fmt,z)
+    end
+  elseif isa(z,Nothing)
+    strLR = ""
+  elseif isa(z,Integer) && prec > 0               #integer followed by (1+prec spaces)
+    strLR = string(z," "^(1+prec))
+  else                                            #Int, String, Date, Missing, etc
+    strLR = string(z)
+  end
+
+  strLR = string(prefix,strLR,suffix)
+
+  if justify == "left"                            #justification
+    strLR = rpad(strLR,width+length(prefix)+length(suffix))
+  else
+    strLR = lpad(strLR,width+length(prefix)+length(suffix))
+  end
+
+  return strLR
+
+end
+#------------------------------------------------------------------------------
+
+
+#------------------------------------------------------------------------------
+"""
+    fmtNumPsC(fmt,z)
+
+c fallback solution for formatting of floating point number. Used if VERSION < v"1.6-"
+"""
+function fmtNumPsC(fmt,z)                           #c fallback solution
+  if ismissing(z) || isnan(z) || isinf(z)    #asprintf does not work for these cases
+    str = string(z)
+  else
+    strp = Ref{Ptr{Cchar}}(0)
+    len = ccall(:asprintf,Cint,(Ptr{Ptr{Cchar}},Cstring,Cdouble...),strp,fmt,z)
+    str = unsafe_string(strp[],len)
+    Libc.free(strp[])
+  end
+  return str
+end
+#------------------------------------------------------------------------------
+
+
+#------------------------------------------------------------------------------
+function printblue(x...)
+  foreach(z->printstyled(z,color=:blue,bold=true),x)
+  print("\n")
+end
+function printred(x...)
+  foreach(z->printstyled(z,color=:red,bold=true),x)
+  print("\n")
+end
+function printmagenta(x...)
+  foreach(z->printstyled(z,color=:magenta,bold=true),x)
+  print("\n")
+end
+function printyellow(x...)
+  foreach(z->printstyled(z,color=:yellow,bold=true),x)
+  print("\n")
+end
+#------------------------------------------------------------------------------
+