retired

codes/sample_cal_indicator.dos

@@ -1,424 +0,0 @@
-login(`admin, `123456)
-loadPlugin("ODBC")
-clearCachedModules()
-use fundit::fundCalculator
-use fundit::dataPuller
-use fundit::returnCalculator
-
-
-end_day = 2024.06.28
-//end_day = today()
-
-bmk_ret = get_fund_monthly_ret("'IN00000008'", 1990.01.01, end_day, true)
-risk_free_rate = get_risk_free_rate("'IN0000000M'", 1990.01.01, end_day)
-
-/* TEST CASE 1  */
-// tb_ret = get_fund_monthly_ret("'MF00003PW1','MF00003PW2'", 1990.01.01, end_day, true)
-// hedge fund test
-tb_ret = get_fund_monthly_ret("'HF000004KN','HF000103EU','HF00018WXG'", 1990.01.01, end_day, true)
-
-
-/* TEST CASE 2 
-tb_updated_funds = get_fund_list_by_nav_updatetime(2024.07.19T10:00:00)
-
-// take 1000 funds for testing
-fund_ids = "'" + tb_updated_funds.fund_id[0:1000].concat("','") + "'"
-
-tb_ret = get_fund_monthly_ret(fund_ids, 1990.01.01, end_day, false)
-*/
-
-
-/* annualized return GIPS  */
-// 0.122622 -0.163869 -0.077696
-ret_incep_a = SELECT fund_id, ret_incep_a FROM tb_ret WHERE end_date = end_day.datetimeFormat("yyyy-MM")
-ret_ytd_a = SELECT fund_id, ret_ytd_a FROM tb_ret WHERE end_date = end_day.datetimeFormat("yyyy-MM")
-
-/* annualized standard deviation  */
-// 0.210105 null null
-std_incep = SELECT ret.std() FROM tb_ret GROUP BY fund_id 
-std_incep_a = std_incep * pow(12, 0.5)
-// 0.357842 null null
-std_ytd = (SELECT ret.std() FROM tb_ret WHERE end_date >= end_day.year()$STRING + "-01" GROUP BY fund_id)
-std_ytd_a = std_ytd * pow(12, 0.5)
-// 0.357842 null null
-std_6m = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-6, "M").temporalFormat("yyyy-MM") GROUP BY fund_id) 
-std_6m_a = std_6m * pow(12, 0.5)
-// 0.270642 null null
-std_1y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-1, "y").temporalFormat("yyyy-MM") GROUP BY fund_id) 
-std_1y_a = std_1y * pow(12, 0.5)
-// 0.249324 null null
-std_2y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-2, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
-std_2y_a = std_2y * pow(12, 0.5)
-// 0.248138 null null
-std_3y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-3, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
-std_3y_a = std_3y * pow(12, 0.5)
-// 0.242779 null null
-std_4y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-4, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
-std_4y_a = std_4y * pow(12, 0.5)
-// 0.224387 null null
-std_5y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-5, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
-std_5y_a = std_5y * pow(12, 0.5)
-// 0.210569 null null
-std_10y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-10, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
-std_10y_a = std_10y * pow(12, 0.5)
-
-/* annualized downside stdev  numbers are slightly off !
-   NOTE: not sure why cnt[0] need to minus 1 copied from Java implementation*/
-// risk_free_rate = 0.001208
-// 0.130429 null null
-t = SELECT *, count(fund_id) AS cnt FROM tb_ret CONTEXT BY fund_id
-ds_std_dev_incep = SELECT t.fund_id, (sum2(t.ret - rfr.ret) / (t.cnt[0]-1)).pow(0.5) AS ds_std_dev 
-                   FROM t 
-                   INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-                   WHERE t.ret < rfr.ret
-                   GROUP BY t.fund_id
-ds_std_dev_incep_a = ds_std_dev_incep * pow(12, 0.5)
-
-// 0.277208 null null
-t = SELECT *, count(fund_id) AS cnt FROM tb_ret WHERE end_date >= end_day.year()$STRING + "-01"  CONTEXT BY fund_id
-ds_std_dev_ytd = SELECT fund_id, (sum2(ret - rfr.ret) / (t.cnt[0]-1)).pow(0.5) AS ds_std_dev
-                 FROM t
-                 INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-                 WHERE t.ret < rfr.ret
-                 GROUP BY fund_id 
-ds_std_dev_ytd_a = ds_std_dev_ytd * pow(12, 0.5)
-
-
-/* beta  */
-//  0.530483 null null
-t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk
-     FROM tb_ret t
-     INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-
-beta_incep = SELECT ret.beta(ret_bmk) AS beta FROM t GROUP BY fund_id
-
-// 1.819822 null null
-t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk
-     FROM tb_ret t
-     INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-     WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
-
-beta_ytd =SELECT ret.beta(ret_bmk) AS beta FROM t GROUP BY fund_id
-
-/* annualized alpha -- numbers are off ！ because Java doesn't substract risk free rate */
-
- //  0.110500 null null
-t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk
-      FROM tb_ret t
-      INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-
-alpha_incep = SELECT t.fund_id, (t.ret - rfr.ret).mean() - beta.beta[0] * (t.ret_bmk - rfr.ret).mean() AS alpha
-              FROM t 
-              INNER JOIN beta_incep beta ON t.fund_id = beta.fund_id
-              INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-              GROUP BY t.fund_id
-alpha_incep_a = alpha_incep * 12
-
- // -0.11019 null null
-t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk
-    FROM tb_ret t
-    INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-    WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
-
- alpha_ytd  = SELECT t.fund_id, (t.ret - rfr.ret).mean() - beta.beta[0] * (t.ret_bmk - rfr.ret).mean() AS alpha
-              FROM t 
-              INNER JOIN beta_ytd beta ON t.fund_id = beta.fund_id
-              INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-              GROUP BY t.fund_id
-alpha_ytd_a = alpha_ytd * 12
-
-/* win rate -- numbers are slightly way off ！effective data count issue? */
-
- // 0.585185 null null
- t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk, count(fund_id) AS cnt
-     FROM tb_ret t
-     INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-     CONTEXT BY t.fund_id
-
-winrate_incep = SELECT fund_id, count(fund_id) \ cnt[0] AS winrate
-                FROM t
-                WHERE ret > ret_bmk
-                GROUP BY fund_id
-
-// 0.666667 null null
- t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk, count(fund_id) AS cnt
-     FROM tb_ret t
-     INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-     WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
-     CONTEXT BY t.fund_id
-
-winrate_ytd = SELECT fund_id, count(fund_id) \ cnt[0] AS winrate
-              FROM t
-              WHERE ret > ret_bmk
-              GROUP BY fund_id
-
-/* skewness */
-// -0.090416
-skewness_incep = SELECT fund_id, ret.skew(false) AS skewness FROM tb_ret GROUP BY fund_id
-// -0.513185
-skewness_ytd = SELECT fund_id, ret.skew(false) AS skewness FROM tb_ret WHERE end_date >= end_day.datetimeFormat("yyyy-01") GROUP BY fund_id
-
-/* kurtosis */
-// 0.527901
-kurtosis_incep = SELECT fund_id, ret.kurtosis(false) - 3 AS kurtosis FROM tb_ret GROUP BY fund_id
-// 0.961329
-kurtosis_ytd = SELECT fund_id, ret.kurtosis(false) - 3 AS kurtosis FROM tb_ret WHERE end_date >= end_day.datetimeFormat("yyyy-01") GROUP BY fund_id
-
-/* worst month */
-// --0.172580
-wrst_month_incep = SELECT ret.min() AS ret FROM tb_ret GROUP BY fund_id
-// -0.172580
-wrst_month_ytd = SELECT ret.min() AS ret FROM tb_ret WHERE end_date >= end_day.datetimeFormat("yyyy-01") GROUP BY fund_id
-
-/* longest down month*/
-
-/* max drawdown */
-// 0.305496 0.5621 0.120200
-drawdown_incep = SELECT fund_id, max( 1 - nav \ nav.cummax() ) AS drawdown FROM tb_ret GROUP BY fund_id
-
-// 0.05645 0 0.06553
-drawdown_ytd = SELECT fund_id, max( 1 - nav \ nav.cummax() ) AS drawdown FROM tb_ret WHERE end_date >= end_day.datetimeFormat("yyyy-01") GROUP BY fund_id
-
-/* sharpe ratio */
-// 0.568739
-sharpe_incep = SELECT t.fund_id, (t.ret - rfr.ret).mean() / std.std_ret[0] AS sharpe
-               FROM tb_ret t
-               INNER JOIN std_incep std ON t.fund_id = std.fund_id
-               INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-               GROUP BY t.fund_id
-sharpe_incep_a = sharpe_incep * pow(12, 0.5)
-
-// -0.186892
-sharpe_ytd   = SELECT t.fund_id, (t.ret - rfr.ret).mean() / std.std_ret[0] AS sharpe
-               FROM tb_ret t
-               INNER JOIN std_ytd std ON t.fund_id = std.fund_id
-               INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-               WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
-               GROUP BY t.fund_id
-sharpe_ytd_a = sharpe_ytd * pow(12, 0.5)
-
-// -0.568024
-sharpe_1y =     SELECT t.fund_id, (t.ret - rfr.ret).mean() / std.std_ret[0] AS sharpe
-                FROM tb_ret t
-                INNER JOIN std_1y std ON t.fund_id = std.fund_id
-                INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-                WHERE t.end_date > end_day.temporalAdd(-1, "y").temporalFormat("yyyy-MM")
-                GROUP BY t.fund_id
-sharpe_1y_a = sharpe_1y * pow(12, 0.5)
-
-// -0.131570
-sharpe_2y =     SELECT t.fund_id, (t.ret - rfr.ret).mean() / std.std_ret[0] AS sharpe
-                FROM tb_ret t
-                INNER JOIN std_2y std ON t.fund_id = std.fund_id
-                INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-                WHERE t.end_date > end_day.temporalAdd(-2, "y").temporalFormat("yyyy-MM")
-                GROUP BY t.fund_id
-sharpe_2y_a = sharpe_2y * pow(12, 0.5)
-
-
-/* sortino ratio  NOTE: sortino is LPM2*/
-
-// 0.916167
-sortino_incep = SELECT t.fund_id, (t.ret - rfr.ret ).mean() / std.ds_std_dev[0] AS sortino
-                FROM tb_ret t
-                INNER JOIN ds_std_dev_incep std ON t.fund_id = std.fund_id
-                INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-                GROUP BY t.fund_id
-sortino_incep_a = sortino_incep * pow(12, 0.5)
-
-// -0.241256
-sortino_ytd   = SELECT t.fund_id, (t.ret - rfr.ret ).mean() / std.ds_std_dev[0] AS sortino
-                FROM tb_ret t
-                INNER JOIN ds_std_dev_ytd std ON t.fund_id = std.fund_id
-                INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-                WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
-                GROUP BY t.fund_id
-sortino_ytd_a = sortino_ytd * pow(12, 0.5)
-
-/* sortino MAR  -- what's the MAR number? */
-
-
-
-/* treynor ratio  ytd numbers are way off ! because current java calcuation is not follow GIPS annualization rule*/
-// 0.195812
-t= SELECT *, count(fund_id) AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date CONTEXT BY t.fund_id
-treynor_incep = SELECT t.fund_id, ((1 + t.ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0])) - (1 + t.rfr_ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0]))) / beta.beta[0] AS treynor
-                FROM t
-                INNER JOIN beta_incep beta ON t.fund_id = beta.fund_id
-                GROUP BY t.fund_id
-
-// -0.064390
-t= SELECT *, count(fund_id) AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date WHERE t.end_date >= end_day.datetimeFormat("yyyy-01") CONTEXT BY t.fund_id
-treynor_ytd =   SELECT t.fund_id, ((1 + t.ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0])) - (1 + t.rfr_ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0]))) / beta.beta[0] AS treynor
-                FROM t
-                INNER JOIN beta_ytd beta ON t.fund_id = beta.fund_id
-                GROUP BY t.fund_id
-
-
-/* jensen's alpha  numbers are slightly off ! */
-// 0.101781
-jensen_incep = SELECT t.fund_id, t.ret.mean() - rfr.ret.mean() - beta.beta[0] * (bmk.ret.mean() - rfr.ret.mean()) AS jensen
-               FROM tb_ret t
-               INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-               INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-               INNER JOIN beta_incep beta ON t.fund_id = beta.fund_id
-               GROUP BY t.fund_id
-jensen_incep_a = jensen_incep * 12
-
-// -0.098310
-jensen_ytd   = SELECT t.fund_id, t.ret.mean() - rfr.ret.mean() - beta.beta[0] * (bmk.ret.mean() - rfr.ret.mean()) AS jensen
-               FROM tb_ret t
-               INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-               INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-               INNER JOIN beta_ytd beta ON t.fund_id = beta.fund_id
-               WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
-               GROUP BY t.fund_id
-jensen_ytd_a = jensen_ytd * 12
-
-/* calmar ratio   numbers are way off !  */
-// 0.376378 -0.279307 -0.81280
-calmar_incep = SELECT fund_id, ar.ret_incep_a \ dd.drawdown AS calmar
-               FROM ret_incep_a ar
-               INNER JOIN drawdown_incep dd ON ar.fund_id = dd.fund_id
-// 2.567034 999999. -0.81280
-calmar_ytd =   SELECT fund_id, ar.ret_ytd_a \ dd.drawdown  AS calmar
-               FROM ret_ytd_a ar
-               INNER JOIN drawdown_ytd dd ON ar.fund_id = dd.fund_id
-
-/* omega ratio   numbers are off ! could because Java uses annualized returns and cnt-1  NOTE: omega is LPM1 */
-// 1.471981
-t0 = SELECT *, fund_id.count() AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date CONTEXT BY t.fund_id
-       
-t1 = SELECT fund_id, (ret - rfr_ret).sum() \ cnt[0] AS ex_ret
-     FROM t0
-     WHERE ret > rfr_ret
-     GROUP BY fund_id
-t2 = SELECT fund_id, (rfr_ret - ret).sum() \ cnt[0] AS ds_ret
-     FROM t0
-     WHERE ret < rfr_ret
-     GROUP BY fund_id
-
-omega_incep = SELECT t1.fund_id,  t1.ex_ret \ t2.ds_ret AS omega
-              FROM t1
-              INNER JOIN t2 ON t1.fund_id = t2.fund_id
-
-// 0.790864
-t0 = SELECT *, fund_id.count() AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date WHERE t.end_date >= end_day.datetimeFormat("yyyy-01") CONTEXT BY t.fund_id
-       
-t1 = SELECT fund_id, (ret - rfr_ret).mean() AS ex_ret
-     FROM t0
-     GROUP BY fund_id
-t2 = SELECT fund_id, (rfr_ret - ret).sum() \ cnt[0] AS ds_ret
-     FROM t0
-     WHERE ret < rfr_ret
-     GROUP BY fund_id
-
-omega_ytd =   SELECT t1.fund_id,  1 + t1.ex_ret \ t2.ds_ret AS omega
-              FROM t1
-              INNER JOIN t2 ON t1.fund_id = t2.fund_id
-
-/* kappa ratio NOTE: kappa is LMP3  numbers are off ! Java's implementation could be very wrong */ 
-
-// 0.848648
-t0 = SELECT *, fund_id.count() AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date CONTEXT BY t.fund_id
-t1 = SELECT fund_id, (ret - rfr_ret).mean() AS ex_ret
-     FROM t0
-     GROUP BY fund_id
-t2 = SELECT fund_id, (rfr_ret - ret).sum3() \ cnt[0] AS ds_ret
-     FROM t0
-     WHERE ret < rfr_ret
-     GROUP BY fund_id
-
-kappa_incep = SELECT t1.fund_id,  1 + t1.ex_ret \ t2.ds_ret.pow(1\3) AS kappa
-              FROM t1
-              INNER JOIN t2 ON t1.fund_id = t2.fund_id
-// -0.501813
-t0 = SELECT *, fund_id.count() AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date WHERE t.end_date >= end_day.datetimeFormat("yyyy-01") CONTEXT BY t.fund_id
-t1 = SELECT fund_id, (ret - rfr_ret).mean() AS ex_ret
-     FROM t0
-     GROUP BY fund_id
-t2 = SELECT fund_id, (rfr_ret - ret).sum3() \ cnt[0] AS ds_ret
-     FROM t0
-     WHERE ret < rfr_ret
-     GROUP BY fund_id
-
-kappa_ytd =   SELECT t1.fund_id,  1+ t1.ex_ret \ t2.ds_ret.pow(1\3) AS kappa
-              FROM t1
-              INNER JOIN t2 ON t1.fund_id = t2.fund_id
-
-/* tracking error */
-// 0.203268
-track_error_incep = SELECT fund_id,  (t.ret - bmk.ret).std() AS track_error
-                    FROM tb_ret t
-                    INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-                    GROUP BY t.fund_id
-track_error_incep_a = track_error_incep * pow(12, 0.5)
-// 0.193291
-track_error_ytd =   SELECT fund_id,  (t.ret - bmk.ret).std() AS track_error
-                    FROM tb_ret t
-                    INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-                    WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
-                    GROUP BY t.fund_id
-track_error_ytd_a = track_error_ytd * pow(12, 0.5)
-
-/* information ratio  numbers are way off! */
-// 5.472180
-info_incep = SELECT fund_id, (t.ret - bmk.ret).mean() / (t.ret - bmk.ret).std() AS info
-             FROM tb_ret t
-             INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-             GROUP BY t.fund_id
-info_incep_a = info_incep * pow(12, 0.5)
-
-
-/* modigliani  = sharpe * std(benchmark) + risk_free_rate )*/ 
-// 0.141025
-m2_incep = SELECT t.fund_id, (t.ret - rfr.ret).mean() / t.ret.std() * bmk.ret.std() + rfr.ret.mean()
-           FROM tb_ret t
-           INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-           INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-           GROUP BY t.fund_id
-m2_incep_a = m2_incep * 12
-// -0.020145
-m2_ytd   = SELECT t.fund_id, (t.ret - rfr.ret).mean() / t.ret.std() * bmk.ret.std() + rfr.ret.mean()
-           FROM tb_ret t
-           INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
-           INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
-           WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
-           GROUP BY t.fund_id
-m2_ytd_a = m2_ytd * 12
-
-/* historical var  numbers are off ! due to different implementations */
-CONFIDENCE_LEVAL = 95
-// 0.093206
-var_incep = SELECT fund_id, - ret.percentile(100-CONFIDENCE_LEVAL) AS var
-            FROM tb_ret
-            GROUP BY fund_id
-// 0.162951
-var_2y    = SELECT fund_id, - ret.percentile(100-CONFIDENCE_LEVAL) AS var
-            FROM tb_ret
-            WHERE end_date > end_day.temporalAdd(-2, "y").datetimeFormat("yyyy-MM")
-            GROUP BY fund_id
-
-
-
-/* historical cvar  numbers are slightly off ! due to different implementations of var */
-// 0.129327
-cvar_incep = SELECT t.fund_id, - t.ret.mean() AS cvar
-             FROM tb_ret t
-             INNER JOIN var_incep var ON t.fund_id = var.fund_id 
-             WHERE t.ret < - var.var
-             GROUP BY t.fund_id
-
-// 0.17258
-cvar_2y    = SELECT t.fund_id, - t.ret.mean() AS cvar
-             FROM tb_ret t
-             INNER JOIN var_2y var ON t.fund_id = var.fund_id 
-             WHERE end_date > end_day.temporalAdd(-2, "y").datetimeFormat("yyyy-MM")
-                AND t.ret < - var.var
-             GROUP BY t.fund_id
-
-/* SMDD var */
-
-
-/* stutzer index, used by Tian Xiang rating */ 
-// stutzer = (tb_ret - risk_free_rate) \ cvar