using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Net;
using System.Threading;
using System.Threading.Tasks;
using System.IO;
namespace ETFAnalyzer {
struct Event {
internal Event(DateTime date, double price) { Date = date; Price = price; }
internal readonly DateTime Date;
internal readonly double Price;
}
class Summary {
internal Summary(string ticker, string name, string assetClass,
string assetSubClass, double? weekly, double? fourWeeks,
double? threeMonths, double? sixMonths, double? oneYear,
double? stdDev, double price, double? mav200) {
Ticker = ticker;
Name = name;
AssetClass = assetClass;
AssetSubClass = assetSubClass;
// Abracadabra ...
LRS = (fourWeeks + threeMonths + sixMonths + oneYear) / 4;
Weekly = weekly;
FourWeeks = fourWeeks;
ThreeMonths = threeMonths;
SixMonths = sixMonths;
OneYear = oneYear;
StdDev = stdDev;
Mav200 = mav200;
Price = price;
}
internal readonly string Ticker;
internal readonly string Name;
internal readonly string AssetClass;
internal readonly string AssetSubClass;
internal readonly double? LRS;
internal readonly double? Weekly;
internal readonly double? FourWeeks;
internal readonly double? ThreeMonths;
internal readonly double? SixMonths;
internal readonly double? OneYear;
internal readonly double? StdDev;
internal readonly double? Mav200;
internal double Price;
internal static void Banner() {
Console.Write("{0,-6}", "Ticker");
Console.Write("{0,-50}", "Name");
Console.Write("{0,-12}", "Asset Class");
Console.Write("{0,4}", "RS");
Console.Write("{0,4}", "1Wk");
Console.Write("{0,4}", "4Wk");
Console.Write("{0,4}", "3Ms");
Console.Write("{0,4}", "6Ms");
Console.Write("{0,4}", "1Yr");
Console.Write("{0,6}", "Vol");
Console.WriteLine("{0,2}", "Mv");
}
internal void Print() {
Console.Write("{0,-6}", Ticker);
Console.Write("{0,-50}", new String(Name.Take(48).ToArray()));
Console.Write("{0,-12}", new String(AssetClass.Take(10).ToArray()));
Console.Write("{0,4:N0}", LRS * 100);
Console.Write("{0,4:N0}", Weekly * 100);
Console.Write("{0,4:N0}", FourWeeks * 100);
Console.Write("{0,4:N0}", ThreeMonths * 100);
Console.Write("{0,4:N0}", SixMonths * 100);
Console.Write("{0,4:N0}", OneYear * 100);
Console.Write("{0,6:N0}", StdDev * 100);
if (Price <= Mav200)
Console.WriteLine("{0,2}", "X");
else
Console.WriteLine();
}
}
class TimeSeries {
internal readonly string Ticker;
readonly DateTime _start;
readonly Dictionary<DateTime, double> _adjDictionary;
readonly string _name;
readonly string _assetClass;
readonly string _assetSubClass;
internal TimeSeries(string ticker, string name, string assetClass, string assetSubClass, IEnumerable<event> events) {
Ticker = ticker;
_name = name;
_assetClass = assetClass;
_assetSubClass = assetSubClass;
_start = events.Last().Date;
_adjDictionary = events.ToDictionary(e => e.Date, e => e.Price);
}
bool GetPrice(DateTime when, out double price, out double shift) {
// To nullify the effect of hours/min/sec/millisec being different from 0
when = new DateTime(when.Year, when.Month, when.Day);
var found = false;
shift = 1;
double aPrice = 0;
while (when >= _start && !found) {
if (_adjDictionary.TryGetValue(when, out aPrice)) {
found = true;
}
when = when.AddDays(-1);
shift -= 1;
}
price = aPrice;
return found;
}
double? GetReturn(DateTime start, DateTime end) {
var startPrice = 0.0;
var endPrice = 0.0;
var shift = 0.0;
var foundEnd = GetPrice(end, out endPrice, out shift);
var foundStart = GetPrice(start.AddDays(shift), out startPrice, out shift);
if (!foundStart || !foundEnd)
return null;
else
return endPrice / startPrice - 1;
}
internal double? LastWeekReturn() {
return GetReturn(DateTime.Now.AddDays(-7), DateTime.Now);
}
internal double? Last4WeeksReturn() {
return GetReturn(DateTime.Now.AddDays(-28), DateTime.Now);
}
internal double? Last3MonthsReturn() {
return GetReturn(DateTime.Now.AddMonths(-3), DateTime.Now);
}
internal double? Last6MonthsReturn() {
return GetReturn(DateTime.Now.AddMonths(-6), DateTime.Now);
}
internal double? LastYearReturn() {
return GetReturn(DateTime.Now.AddYears(-1), DateTime.Now);
}
internal double? StdDev() {
var now = DateTime.Now;
now = new DateTime(now.Year, now.Month, now.Day);
var limit = now.AddYears(-3);
var rets = new List<double>();
while (now >= _start.AddDays(12) && now >= limit) {
var ret = GetReturn(now.AddDays(-7), now);
rets.Add(ret.Value);
now = now.AddDays(-7);
}
var mean = rets.Average();
var variance = rets.Select(r => Math.Pow(r - mean, 2)).Sum();
var weeklyStdDev = Math.Sqrt(variance / rets.Count);
return weeklyStdDev * Math.Sqrt(40);
}
internal double? MAV200() {
return _adjDictionary.ToList()
.OrderByDescending(k => k.Key)
.Take(200).Average(k => k.Value);
}
internal double TodayPrice() {
var price = 0.0;
var shift = 0.0;
GetPrice(DateTime.Now, out price, out shift);
return price;
}
internal Summary GetSummary() {
return new Summary(Ticker, _name, _assetClass, _assetSubClass,
LastWeekReturn(), Last4WeeksReturn(), Last3MonthsReturn(),
Last6MonthsReturn(), LastYearReturn(), StdDev(), TodayPrice(),
MAV200());
}
}
class Program {
static string CreateUrl(string ticker, DateTime start, DateTime end)
{
return @"http://ichart.finance.yahoo.com/table.csv?s=" + ticker +
"&a="+(start.Month - 1).ToString()+"&b="+start.Day.ToString()+"&c="+start.Year.ToString() +
"&d="+(end.Month - 1).ToString()+"&e="+end.Day.ToString()+"&f="+end.Year.ToString() +
"&g=d&ignore=.csv";
}
static void Main(string[] args) {
// If you rise this above 5 you tend to get frequent connection closing on my machine
// I'm not sure if it is msft network or yahoo web service
ServicePointManager.DefaultConnectionLimit = 10;
var tickers =
File.ReadAllLines("ETFTest.csv")
.Skip(1)
.Select(l => l.Split(new[] { ',' }))
.Where(v => v[2] != "Leveraged")
.Select(values => Tuple.Create(values[0], values[1], values[2], values[3]))
.ToArray();
var len = tickers.Length;
var start = DateTime.Now.AddYears(-2);
var end = DateTime.Now;
var cevent = new CountdownEvent(len);
var summaries = new Summary[len];
for(var i = 0; i < len; i++) {
var t = tickers[i];
var url = CreateUrl(t.Item1, start, end);
using (var webClient = new WebClient()) {
webClient.DownloadStringCompleted +=
new DownloadStringCompletedEventHandler(downloadStringCompleted);
webClient.DownloadStringAsync(new Uri(url), Tuple.Create(t, cevent, summaries, i));
}
}
cevent.Wait();
Console.WriteLine("\n");
var top15perc =
summaries
.Where(s => s.LRS.HasValue)
.OrderByDescending(s => s.LRS)
.Take((int)(len * 0.15));
var bottom15perc =
summaries
.Where(s => s.LRS.HasValue)
.OrderBy(s => s.LRS)
.Take((int)(len * 0.15));
Console.WriteLine();
Summary.Banner();
Console.WriteLine("TOP 15%");
foreach(var s in top15perc)
s.Print();
Console.WriteLine();
Console.WriteLine("Bottom 15%");
foreach (var s in bottom15perc)
s.Print();
}
static void downloadStringCompleted(object sender, DownloadStringCompletedEventArgs e) {
var bigTuple = (Tuple<Tuple<string, string, string, string>, CountdownEvent, Summary[], int>)e.UserState;
var tuple = bigTuple.Item1;
var cevent = bigTuple.Item2;
var summaries = bigTuple.Item3;
var i = bigTuple.Item4;
var ticker = tuple.Item1;
var name = tuple.Item2;
var asset = tuple.Item3;
var subAsset = tuple.Item4;
if (e.Error == null) {
var adjustedPrices =
e.Result
.Split(new[] { '\n' })
.Skip(1)
.Select(l => l.Split(new[] { ',' }))
.Where(l => l.Length == 7)
.Select(v => new Event(DateTime.Parse(v[0]), Double.Parse(v[6])));
var timeSeries = new TimeSeries(ticker, name, asset, subAsset, adjustedPrices);
summaries[i] = timeSeries.GetSummary();
cevent.Signal();
Console.Write("{0} ", ticker);
} else {
Console.WriteLine("[{0} ERROR] ", ticker);
summaries[i] = new Summary(ticker,name,"ERROR","ERROR",0,0,0,0,0,0,0,0);
cevent.Signal();
}
}
}
}
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package etf.analyzer;
import static java.lang.System.out;
import static java.util.Comparator.comparing;
import static java.util.stream.Collectors.*;
import java.io.IOException;
import java.nio.file.*;
import java.time.LocalDate;
import java.time.format.DateTimeFormatter;
import java.util.*;
import java.util.Map.Entry;
import java.util.concurrent.CountDownLatch;
import java.util.stream.Stream;
class Event {
public Event(LocalDate date, double price) {
this.date = date;
this.price = price;
}
public LocalDate getDate() {
return date;
}
public double getPrice() {
return price;
}
private LocalDate date;
private double price;
}
class Summary {
public Summary(String ticker, String name, String assetClass,
String assetSubClass, OptionalDouble weekly, OptionalDouble fourWeeks,
OptionalDouble threeMonths, OptionalDouble sixMonths, OptionalDouble oneYear,
OptionalDouble stdDev, double price, OptionalDouble mav200) {
this.ticker = ticker;
this.name = name;
this.assetClass = assetClass;
// this.assetSubClass = assetSubClass;
// Abracadabra ...
this.lrs = fourWeeks.add(threeMonths).add(sixMonths).add(oneYear).divide(OptionalDouble.of(4.0d));
this.weekly = weekly;
this.fourWeeks = fourWeeks;
this.threeMonths = threeMonths;
this.sixMonths = sixMonths;
this.oneYear = oneYear;
this.stdDev = stdDev;
this.mav200 = mav200;
this.price = price;
}
private String ticker;
private String name;
private String assetClass;
// private String assetSubClass;
public OptionalDouble lrs;
private OptionalDouble weekly;
private OptionalDouble fourWeeks;
private OptionalDouble threeMonths;
private OptionalDouble sixMonths;
private OptionalDouble oneYear;
private OptionalDouble stdDev;
private OptionalDouble mav200;
private double price;
static void banner() {
out.printf("%-6s", "Ticker");
out.printf("%-50s", "Name");
out.printf("%-12s", "Asset Class");
out.printf("%4s", "RS");
out.printf("%4s", "1Wk");
out.printf("%4s", "4Wk");
out.printf("%4s", "3Ms");
out.printf("%4s", "6Ms");
out.printf("%4s", "1Yr");
out.printf("%6s", "Vol");
out.printf("%2s\n", "Mv");
}
void print() {
out.printf("%-6s", ticker);
out.printf("%-50s", name);
out.printf("%-12s", assetClass);
out.printf("%4.0f", lrs.orElse(0.0d) * 100);
out.printf("%4.0f", weekly.orElse(0.0d) * 100);
out.printf("%4.0f", fourWeeks.orElse(0.0d) * 100);
out.printf("%4.0f", threeMonths.orElse(0.0d) * 100);
out.printf("%4.0f", sixMonths.orElse(0.0d) * 100);
out.printf("%4.0f", oneYear.orElse(0.0d) * 100);
out.printf("%6.0f", stdDev.orElse(0.0d) * 100);
if (price <= mav200.orElse(-Double.MAX_VALUE))
out.printf("%2s\n", "X");
else
out.println();
}
}
class TimeSeries {
private String ticker;
private LocalDate _start;
private Map<LocalDate, Double> _adjDictionary;
private String _name;
private String _assetClass;
private String _assetSubClass;
public TimeSeries(String ticker, String name, String assetClass, String assetSubClass, List<Event> events) {
this.ticker = ticker;
this._name = name;
this._assetClass = assetClass;
this._assetSubClass = assetSubClass;
this._adjDictionary = events.stream().collect(toMap(Event::getDate, Event::getPrice));
this._start = events.size() - 1 > 0 ? events.get(events.size() - 1).getDate() : LocalDate.now().minusYears(99);
}
private static final class FindPriceAndShift {
public FindPriceAndShift(boolean found, double aPrice, int shift) {
this.found = found;
this.price = aPrice;
this.shift = shift;
}
private boolean found;
private double price;
private int shift;
}
private FindPriceAndShift getPrice(LocalDate when) {
boolean found = false;
int shift = 1;
double aPrice = 0.0d;
while ((when.equals(_start) || when.isAfter(_start)) && !found) {
if (found = _adjDictionary.containsKey(when)) {
aPrice = _adjDictionary.get(when);
}
when = when.minusDays(1);
shift -= 1;
}
return new FindPriceAndShift(found, aPrice, shift);
}
OptionalDouble getReturn(LocalDate start, LocalDate endDate) {
FindPriceAndShift foundEnd = getPrice(endDate);
FindPriceAndShift foundStart = getPrice(start.plusDays(foundEnd.shift));
if (!foundStart.found || !foundEnd.found)
return OptionalDouble.empty();
else {
return OptionalDouble.of(foundEnd.price / foundStart.price - 1.0d);
}
}
private OptionalDouble lastWeekReturn() {
return getReturn(LocalDate.now().minusDays(7), LocalDate.now());
}
private OptionalDouble last4WeeksReturn() {
return getReturn(LocalDate.now().minusDays(28), LocalDate.now());
}
private OptionalDouble last3MonthsReturn() {
return getReturn(LocalDate.now().minusMonths(3), LocalDate.now());
}
private OptionalDouble last6MonthsReturn() {
return getReturn(LocalDate.now().minusMonths(6), LocalDate.now());
}
private OptionalDouble lastYearReturn() {
return getReturn(LocalDate.now().minusYears(1), LocalDate.now());
}
private Double sum(Collection<Double> d) {
return d.parallelStream().reduce(0d, Double::sum);
}
private Double avg(Collection<Double> d) {
return sum(d) / d.size();
}
private OptionalDouble stdDev() {
LocalDate now = LocalDate.now();
LocalDate limit = now.minusYears(3);
List<Double> rets = new ArrayList<>();
while (now.compareTo(_start.plusDays(12)) >= 0 && now.compareTo(limit) >= 0) {
OptionalDouble ret = getReturn(now.minusDays(7), now);
rets.add(ret.orElse(0d));
now = now.minusDays(7);
}
Double mean = avg(rets);
Double variance = avg(rets.parallelStream().map(r -> Math.pow(r - mean, 2)).collect(toList()));
Double weeklyStdDev = Math.sqrt(variance);
return OptionalDouble.of(weeklyStdDev * Math.sqrt(40));
}
private OptionalDouble MAV200() {
return OptionalDouble.of(
_adjDictionary.entrySet().parallelStream()
.sorted(comparing((Entry<LocalDate,Double> p) -> p.getKey()).reversed())
.limit(200).mapToDouble(e -> e.getValue()).average().orElse(0d)
);
}
private double todayPrice() {
return getPrice(LocalDate.now()).price;
}
public Summary getSummary() {
return new Summary(ticker, _name, _assetClass, _assetSubClass,
lastWeekReturn(), last4WeeksReturn(), last3MonthsReturn(),
last6MonthsReturn(), lastYearReturn(), stdDev(), todayPrice(),
MAV200());
}
}
public class Program {
static String createUrl(String ticker, LocalDate start, LocalDate end) {
return "http://ichart.finance.yahoo.com/table.csv?s=" + ticker + "&a="
+ (start.getMonthValue() - 1) + "&b=" + start.getDayOfMonth()
+ "&c=" + start.getYear() + "&d=" + (end.getMonthValue() - 1)
+ "&e=" + end.getDayOfMonth() + "&f=" + end.getYear()
+ "&g=d&ignore=.csv";
}
public static void main(String[] args) throws IOException, InterruptedException {
List<String[]> tickers = Files.lines(FileSystems.getDefault().getPath("ETFs.csv"))
.skip(1)
.parallel()
.map(line -> line.split(",", 4))
.filter(v -> !v[2].equals("Leveraged"))
.collect(toList());
int len = tickers.size();
LocalDate start = LocalDate.now().minusYears(2);
LocalDate end = LocalDate.now();
CountDownLatch cevent = new CountDownLatch(len);
Summary[] summaries = new Summary[len];
try (WebClient webClient = new WebClient()) {
for (int i = 0; i < len; i++) {
String[] t = tickers.get(i);
final int index = i;
webClient.downloadStringAsync(createUrl(t[0], start, end), result -> {
summaries[index] = downloadStringCompleted(t[0], t[1], t[2], t[3], result);
cevent.countDown();
});
}
cevent.await();
}
Stream<Summary> top15perc =
Arrays.stream(summaries)
.filter(s -> s.lrs.isPresent())
.sorted(comparing((Summary p) -> p.lrs.get()).reversed())
.limit((int)(len * 0.15));
Stream<Summary> bottom15perc =
Arrays.stream(summaries)
.filter(s -> s.lrs.isPresent())
.sorted(comparing((Summary p) -> p.lrs.get()))
.limit((int)(len * 0.15));
System.out.println();
Summary.banner();
System.out.println("TOP 15%");
top15perc.forEach(
s -> s.print());
System.out.println();
Summary.banner();
System.out.println("BOTTOM 15%");
bottom15perc.forEach(
s -> s.print());
}
public static Summary downloadStringCompleted(String ticker, String name, String asset, String subAsset,
DownloadStringAsyncCompletedArgs e
) {
Summary summary;
if (e.getError() == null) {
List<Event> adjustedPrices =
Arrays.stream(e.getResult().split("\n"))
.skip(1)
.parallel()
.map(line -> line.split(",", 7))
.filter(l -> l.length == 7)
.map(v -> new Event(LocalDate.parse(v[0], DateTimeFormatter.ISO_LOCAL_DATE), Double.valueOf(v[6]))).collect(toList());
TimeSeries timeSeries = new TimeSeries(ticker, name, asset, subAsset, adjustedPrices);
summary = timeSeries.getSummary();
} else {
System.err.printf("[%s ERROR]", ticker);
final OptionalDouble zero = OptionalDouble.of(0d);
summary = new Summary(ticker, name, "ERROR", "ERROR", zero, zero, zero, zero, zero, zero, 0d, zero);
}
return summary;
}
}
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