CoCalc -- test2_rp_transform2.R

GitHub Repository: braverock/portfolioanalytics
Path: blob/master/sandbox/test2_rp_transform2.R
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min_sum <- 0.99
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max_sum <- 1.01
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min_box <- rep(-0.15, length(weights))
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max_box <- rep(0.6, length(weights))
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# violate min_sum and box constraint
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weights <- c(0.2, -0.2, 0.4, 0.5)
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sum(weights)
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rp_transform(w=weights,
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             min_sum=min_sum,
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             max_sum=max_sum,
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             min_box=min_box,
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             max_box=max_box)
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# violate max_sum and box constraints
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weights <- c(0.35, 0.05, 0.7, 0.1)
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sum(weights)
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rp_transform(w=weights,
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              min_sum=min_sum,
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              max_sum=max_sum,
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              min_box=min_box,
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              max_box=max_box)
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# violate box constraints and leverage
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weights <- c(-0.45, 0.45, 0.55, 0.45)
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sum(weights)
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sum(abs(weights))
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leverage <- 1.6
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rp_transform(w=weights,
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              min_sum=min_sum,
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              max_sum=max_sum,
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              min_box=min_box,
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              max_box=max_box,
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              leverage=leverage)
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# violate max position limit constraint
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weights <- c(0.15, 0.25, 0.4, 0.2)
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sum(weights)
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max_pos <- 3
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rp_transform(w=weights,
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              min_sum=min_sum,
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              max_sum=max_sum,
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              min_box=min_box,
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              max_box=max_box,
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              max_pos=max_pos)
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# violate position limit constraint
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weights <- c(-0.05, -0.05, 0.4, 0.7)
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sum(weights)
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max_pos_short <- 1
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rp_transform(w=weights,
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              min_sum=min_sum,
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              max_sum=max_sum,
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              min_box=min_box,
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              max_box=max_box,
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              max_pos_short=max_pos_short)
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# violate position limit constraint
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weights <- c(-0.05, -0.05, 0.4, 0.7)
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sum(weights)
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max_pos_long <- 3
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max_pos_short <- 1
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rp_transform(w=weights,
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              min_sum=min_sum,
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              max_sum=max_sum,
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              min_box=min_box,
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              max_box=max_box,
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              max_pos_long=max_pos_long,
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              max_pos_short=max_pos_short)
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# violate position limit constraint
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weights <- c(-0.05, -0.05, 0.4, 0.7)
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sum(weights)
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max_pos_long <- 3
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max_pos_short <- 1
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max_pos <- 3
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rp_transform(w=weights,
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              min_sum=min_sum,
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              max_sum=max_sum,
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              min_box=min_box,
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              max_box=max_box,
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              max_pos=max_pos,
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              max_pos_long=max_pos_long,
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              max_pos_short=max_pos_short)
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# violate position limit and leverage constraint
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weights <- c(-0.25, -0.15, 0.4, 0.7)
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sum(weights)
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sum(abs(weights))
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max_pos_long <- 3
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max_pos_short <- 1
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max_pos <- 3
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leverage <- 1.3
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rp_transform(w=weights,
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              min_sum=min_sum,
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              max_sum=max_sum,
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              min_box=min_box,
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              max_box=max_box,
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              max_pos=max_pos,
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              max_pos_long=max_pos_long,
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              max_pos_short=max_pos_short,
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              leverage=leverage)
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# The second group is above cUP and the fourth group is below cLO
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weights <- c(0.06, 0.1, 0.07, 0.2, 0.22, 0.10, 0.05, 0.08, 0.05, 0.04, 0.03)
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sum(weights[1:2])
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sum(weights[3:6])
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sum(weights[7:10])
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sum(weights[10:11])
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sum(weights)
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groups <- list(1:2,
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               3:6,
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               7:10,
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               10:11)
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# group_pos <- c(2, 3, 2, 2)
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group_pos <- NULL
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cLO <- c(0.05, 0.10, 0.05, 0.08)
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cUP <- c(0.4, 0.55, 0.65, 0.45)
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min_sum <- 0.99
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max_sum <- 1.01
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min_box <- rep(0.05, length(weights))
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max_box <- rep(0.65, length(weights))
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group_fail(weights, groups, cLO, cUP, group_pos)
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w <- rp_transform(weights, min_sum, max_sum, min_box, max_box, groups, cLO, cUP)
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PortfolioAnalytics:::group_fail(w, groups, cLO, cUP, group_pos)
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# Note that this was typically not working with max_permutations=200
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# Relax constraints or increase max_permutations
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# max_pos <- 3
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# max_pos_long <- 4
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# max_pos_short <- 4
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# leverage <- Inf
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# max_permutations <- 200
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# 
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# rp_transform2(weights=weights, 
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#               min_sum=min_sum, 
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#               max_sum=max_sum, 
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#               min_box=min_box, 
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#               max_box=max_box, 
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#               max_pos=max_pos, 
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#               max_pos_long=max_pos_long,
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#               max_pos_short=max_pos_short,
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#               leverage=leverage, 
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#               max_permutations=max_permutations)
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