commit aa66d17912149daae98f3093e027c92347614223
parent 6509527adb21e3e2af4ab33afb78a2db4fa3b983
Author: Jared Tobin <jared@jtobin.ca>
Date: Sun, 26 May 2013 12:17:55 +1200
Add portfolio picking exercise.
Diffstat:
1 file changed, 84 insertions(+), 0 deletions(-)
diff --git a/20130526_stocks/stockpairthing.hs b/20130526_stocks/stockpairthing.hs
@@ -0,0 +1,84 @@
+{-# OPTIONS_GHC -Wall #-}
+
+import Data.Function
+import Data.List
+
+main :: IO ()
+main = print $ minimumBy (compare `on` sumDiffs) portfolios
+
+-- Data ------------------------------------------------------------------------
+
+-- | A list of stocks we're interested in.
+stocks :: [String]
+stocks = [ "HUSK", "NALC", "SUNC", "EXXN"
+ , "AAPL", "MSFT", "CISC", "ORAC"
+ , "BHP", "GOLD", "JPM", "BOA"
+ , "GM", "FORD", "VOLK", "KIA"
+ , "CHAR", "MERRY", "KENM", "TOPS"
+ ]
+
+-- | A list of sectors to match.
+sectors :: [String]
+sectors = concatMap (replicate 4)
+ [ "Energy", "Technology", "Finance", "Auto", "STJOHNS"]
+
+-- | Market betas for each.
+betas :: [Float]
+betas = [ 0.56, -0.76, 0.81, 0.34
+ , 0.79, 0.88, 0.98, 0.65
+ , 0.38, -0.89, 0.91, 0.32
+ , -0.05, -0.23, 0.16, 0.65
+ , 0.53, 0.28, -0.06, 0.72
+ ]
+
+-- | All combinations of unique stock pairs such that the first stock is from
+-- the Energy sector.
+combos :: [((String, String), String, Float)]
+combos = let paired = zip3 stocks sectors betas
+ in [ ((a, d), e, abs (c - f)) | (a, b, c) <- paired
+ , (d, e, f) <- paired
+ , b /= e, b == "Energy" ]
+
+-- | All possible portfolios.
+portfolios :: [Portfolio]
+portfolios = [ (huskPair, nalcPair, suncPair, exxnPair)
+ | huskPair <- pickStock "HUSK" combos
+ , nalcPair <- pickStock "NALC" combos
+ , suncPair <- pickStock "SUNC" combos
+ , exxnPair <- pickStock "EXXN" combos
+ , second huskPair /= second nalcPair
+ , second huskPair /= second suncPair
+ , second huskPair /= second exxnPair
+ , second nalcPair /= second suncPair
+ , second nalcPair /= second exxnPair
+ , second suncPair /= second exxnPair
+ ]
+
+-- Utilities -------------------------------------------------------------------
+
+-- | The sum of beta differences for a portfolio.
+sumDiffs :: Portfolio -> Float
+sumDiffs (h, n, s, e) = third h + third n + third s + third e
+
+-- | Get the first element of a triple.
+first :: (t, t1, t2) -> t
+first (a, _, _) = a
+
+-- | Get the second element of a triple.
+second :: (t, t1, t2) -> t1
+second (_, b, _) = b
+
+-- | Get the third element of a triple.
+third :: (t, t1, t2) -> t2
+third (_, _, c) = c
+
+-- | Retrieve combinations of stock pairs including the given stock.
+pickStock :: Eq a => a -> [((a, b), t, t1)] -> [((a, b), t, t1)]
+pickStock s = filter (\x -> (fst . first) x == s)
+
+-- | Just an abbreviation for the Portfolio type.
+type Portfolio = (((String, String), String, Float)
+ ,((String, String), String, Float)
+ ,((String, String), String, Float)
+ ,((String, String), String, Float))
+
