private void PrepareStatData(IPortfolioBuilderBuildParams builderParams)
{
int nInstruments = builderParams.Instruments.Count;
rets = new double[nInstruments];
stDevs = new double[nInstruments];
matCov = new double[nInstruments, nInstruments];
// getting instruments and calculating avg returns and stdevs for given time period
IQuotesDalGetTimeSeriesValuesParams getQuotesParams = _quotesDal.CreateGetQuotesParams();
getQuotesParams.PeriodStart = builderParams.PeriodStart;
getQuotesParams.PeriodEnd = builderParams.PeriodEnd;
getQuotesParams.TimeFrame = (QuotesInterfaces.ETimeFrame)builderParams.TimeFrame;
getQuotesParams.Tickers.AddRange(builderParams.Instruments);
IQuotesDalGetTimeseriesValuesResult getQuotesResult = _quotesDal.GetTimseriesValues(getQuotesParams);
Dictionary <string, List <double> > returns = new Dictionary <string, List <double> >();
// calculating returns & stdev
for (int i = 0; i < nInstruments; ++i)
{
double avgRet = 0;
returns.Add(getQuotesResult.Quotes[i].Ticker, new List <double>());
for (int d = 0; d < getQuotesResult.Quotes[i].Quotes.Count(); ++d)
{
double ret = (double)(getQuotesResult.Quotes[i].Quotes[d]["Close"] - getQuotesResult.Quotes[i].Quotes[d]["Open"]) / (double)getQuotesResult.Quotes[i].Quotes[d]["Open"];
returns[getQuotesResult.Quotes[i].Ticker].Add(ret);
avgRet += ret;
}
avgRet /= getQuotesResult.Quotes[i].Quotes.Count() - 1;
switch (builderParams.TimeFrame)
{
case PortfolioInterfaces.ETimeFrame.Monthly:
avgRet = Math.Pow(1 + avgRet, 12) - 1;
break;
}
rets[i] = avgRet;
stDevs[i] = MathNet.Numerics.Statistics.Statistics.PopulationStandardDeviation(returns[getQuotesResult.Quotes[i].Ticker]);
switch (builderParams.TimeFrame)
{
case PortfolioInterfaces.ETimeFrame.Monthly:
stDevs[i] *= Math.Sqrt(12);
break;
}
}
// calculating covariances
for (int k = 0; k < returns.Keys.Count; ++k)
{
for (int o = k; o < returns.Keys.Count; ++o)
{
matCov[k, o] = MathNet.Numerics.Statistics.Statistics.PopulationCovariance(returns[returns.Keys.ElementAt(k)], returns[returns.Keys.ElementAt(o)]);
matCov[o, k] = matCov[k, o];
}
}
}
public void BuildPortfolio_5Tickers_MaxReturn_Success()
{
IQuotesDal dal = PrepareQuotesDal();
IPortfolioBuilder builder = PreparePortfolioBuilder(dal);
// preparing list of instruments
IPortfolioBuilderBuildParams buildParams = builder.CreatePortfolioBuilderBuildParams();
buildParams.Goal = EOptimizationGoal.Max; // maximizing portfolio return
buildParams.OptimizationTarget = EProtfolioProperty.Return;
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerSPY"]);
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerQQQ"]);
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerGLD"]);
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerSLV"]);
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerTLT"]);
buildParams.TimeFrame = PortfolioInterfaces.ETimeFrame.Monthly;
buildParams.PeriodStart = DateTime.Parse(ConfigurationManager.AppSettings["PeriodStart"]);
buildParams.PeriodEnd = DateTime.Parse(ConfigurationManager.AppSettings["PeriodEnd"]);
// setting constraints
foreach (var i in buildParams.Instruments)
{
IPortfolioBuilderConstraint cl = builder.CreateConstraint();
cl.Operation = EConstraintOp.GreaterOrEqual;
cl.Property = EProtfolioProperty.Instrument;
cl.Ticker = i;
cl.Value = 0;
IPortfolioBuilderConstraint cu = builder.CreateConstraint();
cu.Operation = EConstraintOp.LessOrEqual;
cu.Property = EProtfolioProperty.Instrument;
cu.Ticker = i;
cu.Value = 1;
buildParams.Constraints.Add(cl);
buildParams.Constraints.Add(cu);
}
IPortfolioBuilderConstraint cstdev = builder.CreateConstraint();
cstdev.Operation = EConstraintOp.LessOrEqual;
cstdev.Property = EProtfolioProperty.StDev;
cstdev.Value = (decimal)0.1; // limiting stdev to 10%
buildParams.Constraints.Add(cstdev);
IPortfolioBuilderBuildResult result = builder.Build(buildParams);
Assert.IsTrue(result.Success);
Assert.IsNotNull(result.Portfolio);
Assert.IsNotNull(result.Portfolio.Instruments);
Assert.AreEqual(result.Portfolio.Instruments.Count, 5);
Assert.AreEqual(result.Portfolio.Instruments.Values.ElementAt(0) + result.Portfolio.Instruments.Values.ElementAt(1) + result.Portfolio.Instruments.Values.ElementAt(2) + result.Portfolio.Instruments.Values.ElementAt(3) + result.Portfolio.Instruments.Values.ElementAt(4), (decimal)1, "Sum of weights is not 100%");
}
public IPortfolioBuilderBuildResult Build(IPortfolioBuilderBuildParams buildParams)
{
IPortfolioBuilderBuildResult result = null;
PrepareStatData(buildParams);
fReturn = PrepareReturnFunction();
fStDev = PrepareStDevFunction();
//lower bound is 0 - we cannot have negative weights
double[] bndl = new double[buildParams.Instruments.Count];
for (int i = 0; i < buildParams.Instruments.Count; ++i)
{
string symbol = buildParams.Instruments[i];
IPortfolioBuilderConstraint constr = buildParams.Constraints.FirstOrDefault(x =>
x.Property == EProtfolioProperty.Instrument &&
x.Ticker == symbol &&
(x.Operation == EConstraintOp.Greater || x.Operation == EConstraintOp.GreaterOrEqual || x.Operation == EConstraintOp.Equal));
bndl[i] = constr != null ? (constr.Value >= 0 ? (double)constr.Value : 0) : 0;
}
//upper bound
double[] bndu = new double[buildParams.Instruments.Count];
for (int i = 0; i < buildParams.Instruments.Count; ++i)
{
string symbol = buildParams.Instruments[i];
IPortfolioBuilderConstraint constr = buildParams.Constraints.FirstOrDefault(x =>
x.Property == EProtfolioProperty.Instrument &&
x.Ticker == symbol &&
(x.Operation == EConstraintOp.Less || x.Operation == EConstraintOp.LessOrEqual || x.Operation == EConstraintOp.Equal));
bndu[i] = constr != null ? (constr.Value >= 0 ? (double)constr.Value : 1) : 1;
}
// constraining weights' sum to 100%
double[,] c = new double[1, buildParams.Instruments.Count + 1]; //{ 1, 1, 1, 1, 1, 1 }
for (int i = 0; i < buildParams.Instruments.Count + 1; ++i)
{
c[0, i] = 1;
}
int[] ct = { 0 };
// array to hold weights
double[] w = new double[buildParams.Instruments.Count];
alglib.minbleicstate state;
alglib.minbleicreport rep;
double epsg = 0.000001;
double epsf = 0;
double epsx = 0;
int maxits = 0;
for (int i = 0; i < buildParams.MaxIterations; ++i)
{
GenerateRandomWeights(w);
alglib.minbleiccreate(w, out state);
alglib.minbleicsetbc(state, bndl, bndu);
alglib.minbleicsetlc(state, c, ct);
alglib.minbleicsetcond(state, epsg, epsf, epsx, maxits);
switch (buildParams.OptimizationTarget)
{
case EProtfolioProperty.Return:
alglib.minbleicoptimize(state, FunReturn, null, null);
break;
default:
throw new InvalidOperationException(string.Format("Optimization for {0} is not supported", buildParams.OptimizationTarget.ToString()));
}
alglib.minbleicresults(state, out w, out rep);
}
TPortfolio bestPortfolio = null;
switch (buildParams.OptimizationTarget)
{
case EProtfolioProperty.Return:
IPortfolioBuilderConstraint stDevConstr = buildParams.Constraints.FirstOrDefault(x => x.Property == EProtfolioProperty.StDev);
IEnumerable <TPortfolio> orderedPortfolios = null;
switch (buildParams.Goal)
{
case EOptimizationGoal.Max:
orderedPortfolios = portfolios.OrderByDescending(x => x.Return);
break;
case EOptimizationGoal.Min:
orderedPortfolios = portfolios.OrderBy(x => x.Return);
break;
}
if (stDevConstr != null)
{
switch (stDevConstr.Operation)
{
case EConstraintOp.Greater:
orderedPortfolios = orderedPortfolios.Where(x => x.StDev > (double)stDevConstr.Value);
break;
case EConstraintOp.Equal:
orderedPortfolios = orderedPortfolios.Where(x => Double.Equals(x.StDev, (double)stDevConstr.Value));
break;
case EConstraintOp.GreaterOrEqual:
orderedPortfolios = orderedPortfolios.Where(x => x.StDev >= (double)stDevConstr.Value);
break;
case EConstraintOp.Less:
orderedPortfolios = orderedPortfolios.Where(x => x.StDev < (double)stDevConstr.Value);
break;
case EConstraintOp.LessOrEqual:
orderedPortfolios = orderedPortfolios.Where(x => x.StDev <= (double)stDevConstr.Value);
break;
}
}
bestPortfolio = orderedPortfolios.FirstOrDefault();
break;
}
// getting result
result = new PortfolioBuilderBuildResult();
if (bestPortfolio != null)
{
result.Success = true;
result.Portfolio = new Portfolio();
for (int i = 0; i < bestPortfolio.Weights.Count; ++i)
{
result.Portfolio.Instruments.Add(buildParams.Instruments[i], Math.Round((decimal)bestPortfolio.Weights[i], 4));
}
result.Return = (decimal)bestPortfolio.Return;
result.StDev = (decimal)bestPortfolio.StDev;
}
else
{
result.Success = false;
}
return(result);
}