70 lines
1.9 KiB
Matlab
70 lines
1.9 KiB
Matlab
clear;
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usdcad=load('../Data/inputData_USDCAD_20120426', 'tday', 'hhmm', 'cl');
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audusd=load('../Data/inputData_AUDUSD_20120426', 'tday', 'hhmm', 'cl');
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firstDate=20090101;
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idx=find(usdcad.tday>firstDate & usdcad.hhmm==1659);
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usdcad.tday=usdcad.tday(idx);
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usdcad.hhmm=usdcad.hhmm(idx);
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usdcad.cl=usdcad.cl(idx);
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idx=find(audusd.tday>firstDate & audusd.hhmm==1659);
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audusd.tday=audusd.tday(idx);
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audusd.hhmm=audusd.hhmm(idx);
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audusd.cl=audusd.cl(idx);
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tday=audusd.tday;
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% Need to invert currency pair so that each unit has same capital in local
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% currency
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cad=1./usdcad.cl;
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aud=audusd.cl;
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y=[ aud cad ];
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trainlen=250;
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lookback=20;
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hedgeRatio=NaN(size(y));
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numUnits=NaN(size(y, 1), 1);
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for t=trainlen+1:size(y, 1)
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res=johansen(y(t-trainlen:t-1, :), 0, 1);
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hedgeRatio(t, :)=res.evec(:, 1)';
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% yport is the market value of a unit portfolio of AUDUSD and CADUSD expressed in US$.
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yport=sum(y(t-lookback+1:t, :).*repmat(hedgeRatio(t, :), [lookback 1]), 2);
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ma=mean(yport);
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mstd=std(yport);
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zScore=(yport(end)-ma)/mstd;
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% numUnits are number of units of unit portfolio of AUDUSD and CADUSD
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numUnits(t)=-(yport(end)-ma)/mstd;
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end
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% positions are market values of AUDUSD and CADUSD in portfolio expressed
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% in US$.
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positions=repmat(numUnits, [1 size(y, 2)]).*hedgeRatio.*y;
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% daily P&L of portfolio in US$.
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pnl=sum(lag(positions, 1).*(y-lag(y, 1))./lag(y, 1), 2);
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ret=pnl./sum(abs(lag(positions, 1)), 2);
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ret(isnan(ret))=0;
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plot(cumprod(1+ret(trainlen+1:end))-1); % Cumulative compounded return
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fprintf(1, 'APR=%f Sharpe=%f\n', prod(1+ret(trainlen+1:end)).^(252/length(ret(trainlen+1:end)))-1, sqrt(252)*mean(ret(trainlen+1:end))/std(ret(trainlen+1:end)));
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% APR=0.112410 Sharpe=1.610890
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% Kelly leverage
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f=mean(ret(trainlen+1:end))/std(ret(trainlen+1:end))^2;
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fprintf(1, 'f=%f\n', f);
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% f=23.845328
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ret=ret(trainlen+1:end);
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save('../Data/AUDCAD_unequal_ret', 'ret');
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