tmshu1

R - FOM effect

Mar 26th, 2011
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  1. library(TTR);
  2. library(Hmisc);
  3.  
  4. #symbols = c("SPY","DBC","EEM","QQQQ","DIA","XLF","IWM","VWO","FXI","XLB","XRT","XLE","GLD","DBA","OIL");
  5. #symbols = c("AAPL", "GOOG", "WMT", "KO", "MCD", "IBM", "INTC", "XOM", "AA", "X", "BAC", "GS", "CAT", "CLF", "COST", "AMGN", "ESRX", "CHK");
  6. symbols = c("SPY", "DIA", "QQQQ");
  7.  
  8.  
  9. #create empty avgReturnTables
  10. avgReturnTable = c();
  11. avgReturnTableRev = c();
  12.  
  13. #loop to get the TradingDay, RevTradingDay, and Close for each symbol
  14. #then get get the avgDailyReturns, store them in the avgDailyReturns matrix
  15. for (i in 1:length(symbols)) {
  16.  
  17.     stockdata = getYahooData(symbols[i]);
  18.     closes = stockdata$Close;
  19.    
  20.    
  21.  
  22.     dates = row.names(as.matrix(stockdata));
  23.  
  24.     #calculate 1 day returns
  25.     returns = c();
  26.     for (day in 2:length(dates)) {
  27.         returns[day]=as.numeric(closes[day])/as.numeric(closes[day-1])-1;
  28.     }
  29.  
  30.     days = c();
  31.     months = c();
  32.  
  33.     #loop through dates, getting the day and month
  34.     for (day in 1:length(dates)) {
  35.         months[day] = as.numeric(substr(dates[day],6,7));
  36.         days[day] = as.numeric(substr(dates[day],9,10));
  37.     }
  38.  
  39.     #reverse loop through dates, populating revTradingDay
  40.     revTradingDay=c();
  41.     switch = 0; #switch/flag to start populating revTradingDay
  42.     revTradingDay[length(dates)]=NA;
  43.     for (day in (length(dates)-1):1) {
  44.         #print(day); #diagnostic
  45.         #when month switches, flip the switch to start populating
  46.         #revTradingDay, set revTradingDay to 1
  47.         if (months[day]<months[day+1]) {
  48.             #print("month change"); #diagnostic
  49.             switch = 1;
  50.             revTradingDay[day]=1;
  51.         }
  52.         else if (switch == 1) {
  53.             revTradingDay[day]=revTradingDay[day+1]+1;
  54.         }
  55.         else if (switch==0) {
  56.             revTradingDay[day]=NA;
  57.         }
  58.     }
  59.  
  60.     #forward loop through dates, populating tradingDay
  61.     tradingDay = c();
  62.     switch = 0;
  63.     for (day in 2:(length(dates))) {
  64.         if (months[day]!=months[day-1]) {
  65.             switch=1;
  66.             tradingDay[day]=1;
  67.         }
  68.         else if (switch ==1) {
  69.             tradingDay[day]=tradingDay[day-1]+1;
  70.         }
  71.     }
  72.    
  73.     # create data frame of closes, dates, and their tradingDay numbers
  74.     data=data.frame(cbind(revTradingDay,tradingDay,days,months,closes,returns));
  75.     rownames(data)=dates;
  76.     colnames(data)=c("TradingDayRev","TradingDay","Day","Month","Close","Return");
  77.    
  78.     #populate avgReturnTables
  79.     #first days of the month
  80.     daysin = 22;
  81.     avgReturnTableTemp = c();
  82.     for (i in 1:daysin) {
  83.         avgReturnTableTemp[i] = mean(data[data$TradingDay==i,]$Return[!is.na(data[data$TradingDay==i,]$Return)]);
  84.     }
  85.  
  86.     #last days of the month
  87.     avgReturnTableRevTemp = c();
  88.     for (i in 1:daysin) {
  89.         avgReturnTableRevTemp[1+daysin-i] = mean(data[data$TradingDayRev==i,]$Return[!is.na(data[data$TradingDayRev==i,]$Return)]);
  90.     }
  91.     avgReturnTable = cbind(avgReturnTable,avgReturnTableTemp);
  92.     avgReturnTableRev = cbind(avgReturnTableRev,avgReturnTableRevTemp);
  93. }
  94.  
  95. colnames(avgReturnTable)=symbols;
  96. colnames(avgReturnTableRev)=symbols;
  97.  
  98. avgReturnTable = data.frame(avgReturnTable);
  99. avgReturnTableRev = data.frame(avgReturnTableRev);
  100.  
  101. #matplot(avgReturnTable,type="l");
  102.  
  103. #construct vector of avg returns from 10 to 1 TradingDayRev, then from 1 to 10 TradingDay
  104. avgReturnWindow = c();
  105. avgReturnWindow = rbind(avgReturnTableRev[10:1,],avgReturnTable[1:10,]);
  106.  
  107. #plot
  108. arwf = data.frame(avgReturnWindow);
  109. arwf=cbind(c(-10,-9, -8, -7, -6, -5, -4, -3, -2, -1, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10),arwf);
  110. names(arwf)[1]="day";
  111. matplot(arwf$day,arwf[-1],type="l");
  112. minor.tick(5);
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