Kill 2008 DD

library(QuantTools)

# Функция для рассчета портфеля
calc_simple_portfolio = function( assets, weights, full = F ){

  setorder(assets, date)

  # start and end date of assets
  start_date = max(assets[, date[1] , by = symbol]$V1)
  end_date   = min(assets[, date[.N], by = symbol]$V1)
  assets = assets[date %bw% c(start_date, end_date)]

  assets.matrix = dcast(assets, date ~ symbol, value.var = "return", mean, fill = 0)
  assets.matrix = assets.matrix[, .SD * weights, date]
  assets.matrix[, return := rowSums(.SD[,-1])]
  if(full)
    assets.matrix[]
  else
    assets.matrix[, .(date, return)]

}


# Названия бумаг
symbols = sort(c( "MAGN", "GMKN", "TATN"))

# Собираем данные с финама
candles = lapply( symbols, function( s ) get_finam_data( s, from = '2007-01-01', to = '2007-12-31')[, .( date, close, symbol = s ) ] )
# Объединяем данные в одну таблицу
candles = rbindlist( candles )
# Считаем доходности
candles[, return := close / shift( close, fill = close[1] ) - 1, by = symbol ]

# Считаем портфель
portfolio = calc_simple_portfolio(candles, c( 0.33, 0.33, 0.33 ) )

# Рисуем график
plot_dts(portfolio[,.(date, pnl = cumprod(1+return))])



dt = fread("
from          to            assets
2007-01-01    2007-12-31    MAGN,GMKN,TATN
2008-01-01    2008-12-31    MAGN,GMKN
")

dt = dt[,{

  symbols = unlist(strsplit(assets, ","))
  n_symb = length(symbols)

  candles = lapply( symbols, function( s ) get_finam_data( s, from = from, to = to)[, .( date, close, symbol = s ) ] )
  candles = rbindlist( candles )

  # Считаем доходности
  candles[, return := close / shift( close, fill = close[1] ) - 1, by = symbol ]

  # Считаем портфель
  calc_simple_portfolio(candles, rep(1/n_symb, n_symb) )


}, by = from]

plot_dts(dt[,.(date, pnl = cumprod(1+return))])