# Commands that generated the results of Section 2.4 of
# "The Portfolio Probe User's Manual"
#
# These commands demonstrate the shadowing random portfolio
# method of performance measurement 
#
# This depends on functions listed in 'pprobe_functions01.R'
# The data are created in 'pprobe_R_data01.txt'
#
# The functions that create the graphs are in 'pprobe_graphFun01.R'
# If you want hardcopies of the graphs, then you need to start a
# graphics device (like 'pdf') and do 'dev.off()' after the graphs
# are created.




# things to CHANGE, possibly

PP_LOC <- ".." 





# initial setup

if(!exists("us.pricemat")) attach(paste(PP_LOC, "us.pricemat.rda", sep="/"))
if(!exists("us.macdmat")) attach(paste(PP_LOC, "us.macdmat.rda", sep="/"))



# These optimizations do not involve a variance for simplicity
# Real optimizations almost certainly will, see the file
# 'pprobe_R_varCache.txt' for a method of dealing with 
# large variance matrices


	# Possibly OPTIONAL if 'pprobe_R_perfMeas_static.txt is done

# create the starting portfolio
init.20.w10 <- trade.optimizer(us.pricemat[251,], 
	expected.return=us.macdmat[251,], port.size=20, max.weight=.1, 
	gross.value=1e6, long.only=TRUE, utility="maximum return",
	do.warn=c(novariance.optim=FALSE))

# do the series of optimizations for 200% turnover
ser.20.w10.t200 <- pp.serial.opt(init.20.w10, pricemat=us.pricemat[-1:-251,], 
	alphamat=us.macdmat, frac.turnover=2/252, max.weight=.1, 
	port.size=20, do.warn=c(novar=FALSE, utility.switch=FALSE), 
	keep.port=TRUE)

# do the series of optimizations for 400% turnover
ser.20.w10.t400 <- pp.serial.opt(init.20.w10, pricemat=us.pricemat[-1:-251,], 
	alphamat=us.macdmat, frac.turnover=4/252, max.weight=.1, 
	port.size=20, do.warn=c(novar=FALSE, utility.switch=FALSE), 
	keep.port=TRUE)

# calculate return of optimal portfolios for 2007
serret200.07 <- ser.20.w10.t200$value[251]/ser.20.w10.t200$value[1] - 1
serret400.07 <- ser.20.w10.t400$value[251]/ser.20.w10.t400$value[1] - 1

# calculate return of optimal portfolios for 2007-2008
serret200.0708 <- ser.20.w10.t200$value[504]/ser.20.w10.t200$value[1] - 1
serret400.0708 <- ser.20.w10.t400$value[504]/ser.20.w10.t400$value[1] - 1

	# End possibly OPTIONAL part



# generate random series of trades
randser.20.w10.t200 <- pp.serial.rand(200, init.20.w10, 
	pricemat=us.pricemat[-1:-251,], alphamat=us.macdmat, 
	frac.turnover=2/252, max.weight=.1, port.size=20, 
	do.warn=c(novar=FALSE, utility.switch=FALSE))

randser.20.w10.t400 <- pp.serial.rand(200, init.20.w10, 
	pricemat=us.pricemat[-1:-251,], alphamat=us.macdmat, 
	frac.turnover=4/252, max.weight=.1, port.size=20, 
	do.warn=c(novar=FALSE, utility.switch=FALSE))



# do plots

P.matchpm.t200.07(NULL)
P.matchpm.t200.0708(NULL)

P.matchpm.t400.07(NULL)
P.matchpm.t400.0708(NULL)