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("','")$STRING;
fund_ids = "'" + fund_ids + "'";

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']);

tb_indicators = cal_all_trailing_indicators(tb_ret, end_day, bmk_ret, risk_free_rate, 'm');

SELECT * FROM tb_indicators[0];