Universal portfolio, part 11

• by showing the global time evolution of all stocks in time
• by showing the growth rate at two times separated by N market days (shown as a price relative between the two dates).

# Some statistics on the NYSE series

library(logopt)
x <- coredata(nyse.cover.1962.1984)
w <- logopt:::x2w(x)
nDays <- dim(x)[1]
nStocks <- dim(x)[2] 
Days <- 1:nDays
iWin <- 1 ; plot(1:10)
Time <- index(nyse.cover.1962.1984)

# for each stock calculate:
# - min, max
# - average geometric return

MaxFinal <- max(w[nDays,])
MinFinal <- min(w[nDays,])
MaxAll <- max(w)
MinAll <- min(w)

if(length(dev.list()) < iWin) { x11() } ; iWin <- iWin + 1 ; dev.set(iWin) ;
plot(Time, w[,1], col="gray", ylim=range(w), log="y", type="l")
for (i in 1:nStocks) {
 lines(Time, w[,i], col="gray")
 if (w[nDays,i] == MaxFinal) { cat(sprintf("Stock with best final value: %s finishing at %.2f\n", colnames(w)[i], MaxFinal)) ; iMax <- i }
 if (w[nDays,i] == MinFinal) { cat(sprintf("Stock with worst final value: %s finishing at %.2f\n", colnames(w)[i], MinFinal)) ; iMin <- i }
 if (max(w[,i]) == MaxAll) { cat(sprintf("Stock with best peak value: %s at %.2f\n", colnames(w)[i], MaxAll)) }
 if (min(w[,i]) == MinAll) { cat(sprintf("Stock with worst valley value: %s at %.2f\n", colnames(w)[i], MinAll)) } 
}

lines(Time, w[,iMax], col="green")
lines(Time, w[,iMin], col="red")
lines(Time, apply(w,1,mean), col="blue")
grid()

# do a summary across n quotes
nDelta <- 1200
wD <- w[(nDelta+1):nDays,] / w[1:(nDays-nDelta),]
Time <- Time[1:(nDays-nDelta)]
MaxDAll <- max(wD)
MinDAll <- min(wD)
if(length(dev.list()) < iWin) { x11() } ; iWin <- iWin + 1 ; dev.set(iWin) ;
plot(Time, wD[,1], col="gray", ylim=range(wD), log ="y", type="l")
for (i in 1:nStocks) {
 lines(Time, wD[,i], col="gray")
 if (max(wD[,i]) == MaxDAll) { cat(sprintf("Stock with best gain on %s days: %s at %.2f\n", nDelta, colnames(w)[i], MaxDAll)) }
 if (min(wD[,i]) == MinDAll) { cat(sprintf("Stock with worst lost on %s days: %s at %.2f\n", nDelta, colnames(w)[i], MinDAll)) } 
} 
lines(Time, apply(wD,1,mean), col="blue")

grid()