R/KDA.R

In causality-loop/mnmt: Mot Nam, Mot Thang

KDA <- function(rets, leverageFactor)
{
  # i never change these args
  offset <- 0
  momWeights <- c(12, 4, 2, 1)

  ep <- xts::endpoints(rets) + offset
  ep[ep < 1] <- 1
  ep[ep > nrow(rets)] <- nrow(rets)
  ep <- unique(ep)
  epDiff <- diff(ep)

  if(xts::last(epDiff)==1)
    ep <- ep[-length(ep)]

  emptyVec <- data.frame(t(rep(0, ncol(rets)-2)))
  names(emptyVec) <- names(rets)[1:(ncol(rets)-2)]

  allWts <- list()
  for(i in 1:(length(ep)-12)) {
    retSubset <- rets[c((ep[i]+1):ep[(i+12)]),]
    epSub <- ep[i:(i+12)]
    sixMonths <- rets[(epSub[7]+1):epSub[13],]
    threeMonths <- rets[(epSub[10]+1):epSub[13],]
    oneMonth <- rets[(epSub[12]+1):epSub[13],]

    moms <- PerformanceAnalytics::Return.cumulative(oneMonth) * momWeights[1] +
      PerformanceAnalytics::Return.cumulative(threeMonths) * momWeights[2] +
      PerformanceAnalytics::Return.cumulative(sixMonths) * momWeights[3] +
      PerformanceAnalytics::Return.cumulative(retSubset) * momWeights[4]
    assetMoms <- moms[,1:(ncol(moms)-2),drop=FALSE]
    cpMoms <- moms[,(ncol(moms)-1):ncol(moms)]

    selectedAssets <- assetMoms > 0

    investedAssets <- emptyVec
    if (sum(selectedAssets)==0) {
      investedAssets <- emptyVec
    } else if (sum(selectedAssets)==1) {
      investedAssets <- emptyVec + selectedAssets
    } else {
      idx <- which(selectedAssets)
      cors <- (stats::cor(oneMonth[,idx]) * momWeights[1] +
                 stats::cor(threeMonths[,idx]) * momWeights[2] +
                 stats::cor(sixMonths[,idx]) * momWeights[3] +
                 stats::cor(retSubset[,idx]) * momWeights[4]) / sum(momWeights)
      vols <- PerformanceAnalytics::StdDev(oneMonth[,idx])
      covs <- t(vols) %*% vols * cors

      minVolRets <- t(matrix(rep(1, sum(selectedAssets))))
      minVolWt <- tseries::portfolio.optim(x=minVolRets, covmat = covs)$pw
      names(minVolWt) <- colnames(covs)
      investedAssets <- emptyVec
      investedAssets[,selectedAssets] <- minVolWt
    }

    pctAggressive <- mean(cpMoms > 0)
    investedAssets <- investedAssets * pctAggressive

    if (pctAggressive == 1) 
      investedAssets = investedAssets * leverageFactor

    wts <- xts::xts(investedAssets, order.by=xts::last(zoo::index(retSubset)))
    allWts[[i]] <- wts
  }

  allWts <- do.call(rbind, allWts)
  allWts$CASH <- 1-rowSums(allWts)

  allWts
}