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Issue_05_Futures

Last update 1999/02/20

TPJ: Issue_05_Futures

This is a collection of programs published by The Perl Journal. You can download all source-code also from TPJ: Programs.

channel.pl
stats.pl
More Samples on Futures

Issue_05_Futures

1. channel.pl

Download channel.pl

<html>

<head>

<title> channel.pl </title>

</head>

<body>

<h1> channel.pl </h1>

<pre>

# Simulate basic channel system

# M. Edward Borasky

# 26-DEC-96

# usage:

#        perl channel.pl <contract> <days>

# where <contract> is the contract name and <days> is the

# number of days in the channel.



$start = time(); # starting time stamp



# open input file

$contract = $ARGV[0]; # contract name

$infile = "a:\\pinnacle\\clc\\temp\\${contract}_clc.asc";

open(INPUT, $infile);

print "Input from $infile\n";



$days = $ARGV[1]+0; # number of days in channel

print "Days in channel = $days\n";

# open output file

$outfile = "${contract}.prn";

open(OUTPUT, ">> $outfile");

print "Output to $outfile\n";



@high = @low = (); # allocate saved data arrays empty

$position = 0; # start neutral

$rollflag = 0; # first day is regular record



# main loop over data file

while (<INPUT>) {# read a line

         @F = split(' ', $_); # split into fields

         $date = $F[0]+0; # date

         if ($date == 0) {# rollover record

                 $rollflag = 1; # set rollover flag

                 $offset = $F[4] - $F[1]; # compute offset

         }

         else {# regular data record

                 $open = $F[1]+0; # opening price

                 $high = $F[2]+0; # day's high

                 $low = $F[3]+0; # day's low

                 $close = $F[4]+0; # closing price

                 $trdays++ if $position != 0; # days in trade



                 if ($rollflag) {# this is a rollover day

                         &backadjust; # back adjust data

                         &rolltrade; # do rollover trade

                         &newdata; # update data buffer/stops

                         $rollflag = 0; # reset flag

                         printf ("%s %d Rollover %6g %12.9g\n",

                             $contract, $days, $date, $offset);

                 }

                 else {# regular day

                         &trades; # simulate any trades

                         &newdata; # update data buffer/stops

                 }

         }

}

$stop = time(); $minutes = ($stop - $start)/60; # elapsed time

printf ("%s %d Elapsed minutes=%6g\n",

   $contract, $days, $minutes);

printf OUTPUT ("%s %d Elapsed minutes=%6g\n",

   $contract, $days, $minutes);

close(INPUT); close(OUTPUT); # close files



sub rolltrade { # trades on rollover day

         return if $#high < ($days - 1); # not enough data

         if ($open >= $buystop && $position != 1) {

                 &closeshort($open - $offset); # close short

                 &openlong($open); # open new long

         }



         elsif ($open <= $sellstop && $position != -1) {

                 &closelong($open - $offset); # close long

                 &openshort($open); # open new short

         }

         elsif ($high >= $buystop && $position != 1) {

                 &closeshort($buystop - $offset);

                 &openlong($buystop);

         }



         elsif ($low <= $sellstop && $position != -1) {

                 &closelong($sellstop - $offset);

                 &openshort($sellstop);

         }

         elsif ($position == -1) {# holding short

                 &closeshort($close - $offset); # close

                 &openshort($close); # open new

         }



         elsif ($position == 1) {# holding long

                 &closelong($close - $offset); # close

                 &openlong($close); # open new

         }

}



sub backadjust { # adjust past price data on rollover day

         for ($ix=0; $ix<=$#high; $ix++) { # adjust back data

                 $high[$ix] += $offset;

                 $low[$ix] += $offset;

         }

         $buystop += $offset; $sellstop += $offset; # and stops

}



sub trades { # simulate any trades for this day

         return if $#high < ($days - 1); # not enough data

         if ($open >= $buystop && $position != 1) {

                 &closeshort($open); # close any open short

                 &openlong($open); # open new long

         }



         elsif ($open <= $sellstop && $position != -1) {

                 &closelong($open); # close any open long

                 &openshort($open); # open new short

         }

         elsif ($high >= $buystop && $position != 1) {

                 &closeshort($buystop);

                 &openlong($buystop);

         }



         elsif ($low <= $sellstop && $position != -1) {

                 &closelong($sellstop);

                 &openshort($sellstop);

         }

}



sub newdata { # add today's data, drop oldest point

         push(@high, $high); # today's high

         push(@low, $low); # today's low

         if ($#high >= $days) { # buffer full

                 shift(@high); shift(@low); # drop oldest

         }

         # search for stops

         $buystop = $high[0]; $sellstop = $low[0]; # init

         for ($ix=1; $ix<=$#high; $ix++) { # search

                 $buystop = $high[$ix] if $high[$ix] > $buystop;

                 $sellstop = $low[$ix] if $low[$ix] < $sellstop;

         }

}

sub closeshort { # close out any short position

         return if $position != -1; # not short -- go away

         $price = $_[0]; # argument is price

         # print to trade log

         #print "$contract $days -1 ";

         #printf ("%6g %12.9g %6g %12.9g %d\n",

           #$opendate, $paid, $date, $price ,$trdays);

         print OUTPUT "$contract $days -1 ";

         printf OUTPUT ("%6g %12.9g %6g %12.9g %d\n",

           $opendate, $paid, $date, $price ,$trdays);

         $position = 0; # we're neutral

}

sub closelong { # close out any long position

         return if $position != 1; # not long -- go away

         $price = $_[0]; # argument is price



         # print to trade log

         #print "$contract $days  1 ";

         #printf ("%6g %12.9g %6g %12.9g %d\n",

           #$opendate, $paid, $date, $price ,$trdays);

         print OUTPUT "$contract $days  1 ";

         printf OUTPUT ("%6g %12.9g %6g %12.9g %d\n",

           $opendate, $paid, $date, $price ,$trdays);

         $position = 0; # we're neutral

}



sub openlong {

         return if $position == 1; # already long -- go away

         $paid = $_[0]; # argument is price

         $trdays = 0; # days in trade

         $position = 1; # we're now long

         $opendate = $date; # remember when we opened trade

}

sub openshort {

         return if $position == -1; # already short -- go away

         $paid = $_[0]; # argument is price

         $trdays = 0; # days in trade

         $position = -1; # we're now short

         $opendate = $date; # remember when we opened trade

}

</pre>

</body>

</html>

Issue_05_Futures
2. stats.pl

Download stats.pl

<html>

<head>

<title>stats.pl</title>

</head>

<body>

<h1>stats.pl</h1>

<pre>

# stats.pl -- basic statistics on trade logs

# M. Edward Borasky -- 27-DEC-96



$commslip = 100; # deduction for commission and slippage



# dollar table -- price*table value is contract value

%dollars = (); # allocate dollar table

$dollars{"c_"} = 50; # corn

$dollars{"dm"} = 1250; # Deutschemark

$dollars{"ed"} = 2500; # Eurodollars

$dollars{"fb"} = 1000; # five-year Treasuries

$dollars{"gc"} = 100; # COMEX gold

$dollars{"jy"} = 1250; # Japanese yen

$dollars{"s_"} = 50; # soybeans

$dollars{"si"} = 50; # COMEX silver

$dollars{"ty"} = 1000; # ten-year Treasuries

$dollars{"us"} = 1000; # US T-bonds {30-year}

$count = $sum = $sumsq = 0; # all lengths, all contracts

%ccount = %csum = %csumsq = (); # all lengths, each contract

%dcount = %dsum = %dsumsq = (); # each length, all contracts

%cdcount = %cdsum = %cdsumsq = (); # each length/contract combo



# open P/L record file

open (OUTPUT, "> record.out");

# loop over trade logs

foreach $file (`dir /o /b /l *.prn`) {

         chop ($file);

         open (INPUT, $file);

         print "Loading $file\n";

         &dostats; # load the data

         close (INPUT);

}



close (OUTPUT);



# print statistics for contract / length combinations

foreach $key (sort(keys(%cdcount))) {

         $mean = $cdsum{$key}/$cdcount{$key};

         $stdev = sqrt($cdsumsq{$key}/$cdcount{$key} - $mean**2);

         $stderr = $stdev/sqrt($cdcount{$key});

         printf ("%s %10g %10g %10g %10.2f %10.2f %10.2f\n",

           $key, $cdcount{$key}, $cdsum{$key}, $cdsumsq{$key},

           $mean, $stdev, $stderr);

}



# print statistics for each length

foreach $key (sort(keys(%dcount))) {

         $mean = $dsum{$key}/$dcount{$key};

         $stdev = sqrt($dsumsq{$key}/$dcount{$key} - $mean**2);

         $stderr = $stdev/sqrt($dcount{$key});

         printf ("%s %10g %10g %10g %10.2f %10.2f %10.2f\n",

           $key, $dcount{$key}, $dsum{$key}, $dsumsq{$key},

           $mean, $stdev, $stderr);

}



# print statistics for each contract

foreach $key (sort(keys(%ccount))) {

         $mean = $csum{$key}/$ccount{$key};

         $stdev = sqrt($csumsq{$key}/$ccount{$key} - $mean**2);

         $stderr = $stdev/sqrt($ccount{$key});

         printf ("%s %10g %10g %10g %10.2f %10.2f %10.2f\n",

           $key, $ccount{$key}, $csum{$key}, $csumsq{$key},

           $mean, $stdev, $stderr);

}



# print statistics for all trades

$mean = $sum/$count;

$stdev = sqrt($sumsq/$count - $mean**2);

$stderr = $stdev/sqrt($count);

$key = "Total";

printf ("%s %10g %10g %10g %10.2f %10.2f %10.2f\n",

   $key, $count, $sum, $sumsq,

   $mean, $stdev, $stderr);

sub dostats { # accumulate statistics

         while (<INPUT>) {

                 chop ($_); # get rid of EOL

                 @F = split (' ', $_);

                 if ($F[2] eq "1" || $F[2] eq "-1") {

                         $contract = $F[0];

                         $days = $F[1];

                         # compute profit from trade

                         $profit = $dollars{$contract}*$F[2]*

                           ($F[6]-$F[4]) - $commslip;

                         printf OUTPUT

                           ("%s %12.2f\n",  $_, $profit);

                         $key = "$contract $days";



                         # compute counts

                         $count++;

                         $ccount{$contract}++;

                         $dcount{$days}++;

                         $cdcount{$key}++;



                         # compute sums

                         $sum += $profit;

                         $csum{$contract} += $profit;

                         $dsum{$days} += $profit;

                         $cdsum{$key} += $profit;



                         # compute sums of squares

                         $sumsq += $profit**2;

                         $csumsq{$contract} += $profit**2;

                         $dsumsq{$days} += $profit**2;

                         $cdsumsq{$key} += $profit**2;

                 }

         }

}

</pre>

</body>

</html>

Issue_05_Futures
3. More Samples on Futures

Issue_05_Futures

Last update 1999/02/20

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