定期レバ調整比較

historical_data.go

package main

import (
	"encoding/csv"
	"os"
	"strconv"
)

type HistoricalData struct {
	date  string
	open  float64
	close float64
	high  float64
	low   float64
}

func ReadYahooData(path string) ([]*HistoricalData, error) {
	f, err := os.Open(path)
	if err != nil {
		return nil, err
	}

	r := csv.NewReader(f)

	var line []string
	acc := []*HistoricalData{}
	_, err = r.Read()
	if err != nil {
		return nil, err
	}

	for {
		line, err = r.Read()
		if err != nil {
			break
		}
		open, err := strconv.ParseFloat(line[1], 64)
		if err != nil {
			return nil, err
		}
		high, err := strconv.ParseFloat(line[2], 64)
		if err != nil {
			return nil, err
		}
		low, err := strconv.ParseFloat(line[3], 64)
		if err != nil {
			return nil, err
		}
		close, err := strconv.ParseFloat(line[4], 64)
		if err != nil {
			return nil, err
		}
		d := &HistoricalData{
			date:  line[0],
			open:  open,
			close: close,
			high:  high,
			low:   low,
		}
		acc = append(acc, d)
	}

	return acc, nil
}

main.go

package main

import (
	"fmt"
	"io"
	"log"
	"os"
	"time"
)

func main() {
	historicalData, err := ReadYahooData("./spx_daily.csv")
	if err != nil {
		log.Fatalf("Failed to read daily data")
	}

	ratios := []float64{1.0, 1.5, 2.0, 2.5, 3.0}
	periods := []RebalancePeriod{dailyRebalance, weeklyRebalance, monthlyRebalance, yearlyRebalance}

	for _, ratio := range ratios {
		for _, period := range periods {
			f, err := os.Create(fmt.Sprintf("out/%s_%.1f.tsv", periodToString(period), ratio))
			if err != nil {
				log.Fatalf("Failed to create tsv")
			}
			run(f, historicalData, ratio, period, 100.0)
		}
	}
}

type RebalancePeriod int

const (
	dailyRebalance RebalancePeriod = iota
	weeklyRebalance
	monthlyRebalance
	yearlyRebalance
)

// 毎回レバ調整する
func run(w io.Writer, data []*HistoricalData, ratio float64, period RebalancePeriod, initialMargin float64) {
	if len(data) == 0 {
		return
	}
	// 最初に実効レバレッジを設定
	//
	// 実効レバレッジ = 現在価格 * 枚数 / 時価評価総額
	// 時価評価総額 = 証拠金 + 評価損益
	//
	// 枚数は面倒なので float (1未満もあり) とする
	price := data[0].open
	valuation := initialMargin
	size := positionSize(price, valuation, ratio)
	requiredMargin := price * size / 10 // 株価指数は10倍までというルールがあるはず
	prev := data[0]
	marginCallExecuted := 0
	for _, d := range data {
		// 事前準備
		// 月初、年初などの場合は、前日の close でリバランスしたとする
		// 時価評価総額は変わらない
		if isRebalanceRequired(period, prev.date, d.date) {
			size = positionSize(prev.close, valuation, ratio)
			requiredMargin = prev.close * size / 10
		}

		// 実行中
		// 追証: 必要証拠金が、時価評価総額を割り込む
		// だいたいどこも追証の定義はこれ、のはず
		if (valuation+(d.low-prev.close)*size)/requiredMargin < 1 {
			log.Printf("margin call is executed: date=%s, period=%s, ratio=%.1f", d.date, periodToString(period), ratio)
			valuation = valuation + (d.low-prev.close)*size
			size = positionSize(d.low, valuation, ratio)
			requiredMargin = d.low * size / 10
			valuation = valuation + (d.close-d.low)*size
			marginCallExecuted = 1
		} else {
			valuation = valuation + (d.close-prev.close)*size
			marginCallExecuted = 0
		}
		// TODO: 強制ロスカット

		fmt.Fprintf(w, "%s\t%f\t%d\n", d.date, valuation, marginCallExecuted)

		// 事後
		// for next
		prev = d
	}
}

func positionSize(price float64, valuation float64, ratio float64) float64 {
	// ratio = price * size / margin
	// size = ratio * margin / price
	return ratio * valuation / price
}

func isRebalanceRequired(period RebalancePeriod, prevDate string, currentDate string) bool {
	switch period {
	case dailyRebalance:
		return prevDate != currentDate
	case weeklyRebalance:
		layout := "2006-01-02"
		prev, err := time.Parse(layout, prevDate)
		if err != nil {
			log.Fatalf("unreachable")
		}
		current, err := time.Parse(layout, currentDate)
		if err != nil {
			log.Fatalf("unreachable")
		}
		_, prevWeek := prev.ISOWeek()
		_, currentWeek := current.ISOWeek()
		return prevWeek != currentWeek
	case monthlyRebalance:
		return prevDate[5:6] != currentDate[5:6]
	case yearlyRebalance:
		return prevDate[0:3] != currentDate[0:3]
	default:
		log.Fatalf("unreachable")
		return false
	}
}

func periodToString(period RebalancePeriod) string {
	switch period {
	case dailyRebalance:
		return "daily"
	case weeklyRebalance:
		return "weekly"
	case monthlyRebalance:
		return "monthly"
	case yearlyRebalance:
		return "yearly"
	default:
		return "unreachable"
	}
}