DolphinDB/codes/Sample_cal_indicators.dos

login(`admin, `123456)
loadPlugin("ODBC")

clearCachedModules()
use fundit::fundCalculator
use fundit::dataPuller
use fundit::returnCalculator
use fundit::indicatorCalculator


end_day = 2024.06.28
//end_day = today()

bmk_ret = SELECT fund_id, temporalParse(end_date, 'yyyy-MM') AS end_date, ret FROM get_fund_monthly_ret("'IN00000008'", 1990.01.01, end_day, true); 
risk_free_rate = SELECT fund_id, temporalParse(end_date, 'yyyy-MM') AS end_date, ret FROM get_risk_free_rate("'IN0000000M'", 1990.01.01, end_day);



/* TEST CASE 1  */

// fund_ids = "'HF000004KN','HF000103EU','HF00018WXG'";

/* TEST CASE 2 */
tb_updated_funds = get_fund_list_by_nav_updatetime(null, 2024.07.19T10:00:00);

// take 1000 funds for testing
fund_ids = "'" + tb_updated_funds.fund_id[0:1000].concat("','") + "'";



tb_ret = SELECT * FROM cal_hedge_fund_returns(fund_ids, true) WHERE price_date <= end_day;
tb_ret.rename!(['fund_id', 'cumulative_nav'], ['entity_id', 'nav']);


// since inception
r_incep = cal_indicators(tb_ret, bmk_ret, risk_free_rate, 'm');

// ytd
tb_ret_ytd = SELECT * FROM tb_ret WHERE end_date >= end_day.yearBegin().month();
r_ytd = cal_indicators(tb_ret_ytd, bmk_ret, risk_free_rate, 'm');

// trailing 6m
tb_ret_6m = SELECT * FROM tb_ret WHERE end_date > end_day.month()-6;
r_6m = cal_indicators(tb_ret_6m, bmk_ret, risk_free_rate, 'm');

// trailing 1y
tb_ret_1y = SELECT * FROM tb_ret WHERE end_date > end_day.month()-12;
r_1y = cal_indicators(tb_ret_1y, bmk_ret, risk_free_rate, 'm');

// trailing 2y
tb_ret_2y = SELECT * FROM tb_ret WHERE end_date > end_day.month()-24;
r_2y = cal_indicators(tb_ret_2y, bmk_ret, risk_free_rate, 'm');

// trailing 3y
tb_ret_3y = SELECT * FROM tb_ret WHERE end_date > end_day.month()-36;
r_3y = cal_indicators(tb_ret_3y, bmk_ret, risk_free_rate, 'm');

// trailing 4y
tb_ret_4y = SELECT * FROM tb_ret WHERE end_date > end_day.month()-48;
r_4y = cal_indicators(tb_ret_4y, bmk_ret, risk_free_rate, 'm');

// trailing 5y
tb_ret_5y = SELECT * FROM tb_ret WHERE end_date > end_day.month()-60;
r_5y = cal_indicators(tb_ret_5y, bmk_ret, risk_free_rate, 'm');

// trailing 10y
tb_ret_10y = SELECT * FROM tb_ret WHERE end_date > end_day.month()-120;
r_10y = cal_indicators(tb_ret_10y, bmk_ret, risk_free_rate, 'm');