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- 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');
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