# load the libraries
library(quantmod)
library(tseries)
library(timeDate)
library(fUnitRoots)
 
load(file = "/home/robo/Dropbox/work/FX/PairTrading/cointeg.RData")
 
# prepare variables
zscore <- 0;
rscore <- matrix(data = NA, ncol = 4, nrow = (nrStocks^2)/2)
pairSummary <- matrix(data = NA, ncol = 6, nrow = (nrStocks^2)/2)
 
ii <- 1;
 
# lets evaluate the spreads
for (j in 1:(nrStocks-1)) {
	for (i in (j+1):nrStocks) {
 
                # if no data, skip
		if (is.na(ht[j, i])) {
			next
		}
 
                # is spread stationary (i.e. pair is co-integrated)
		if (ht[j, i] < 0.02) {
 
			sprd <- z[,j] - beta[j, i]*z[,i]
			sprd <- na.omit(sprd)
 
                        # calculate z-score
			zscore <- sum(abs(scale((sprd))))/length(sprd)
                        rscore[ii, 3] <- sd((sprd))
			rscore[ii, 4] <- zscore
			rscore[ii, 1] <- j
			rscore[ii, 2] <- i
 
                        pairSummary[ii, ] = summary(coredata(sprd))[1:6]
			ii <- ii + 1
		}
	}
 
	cat("Calculating ", j, "\n")
}
 
#save(list = ls(all=TRUE), file = "/home/robo/Dropbox/work/FX/PairTrading/analysis4.RData")
#load(file = "/home/robo/Dropbox/work/FX/PairTrading/analysis4.RData")
 
# set up boundaries for 1st and 3rd quartiles
badSprd_up <- 1
badSprd_down <- -1
 
# re-order spreads
rscore <- na.remove(rscore)
pairSummary <- na.remove(pairSummary)
 
order_id <- order((rscore[,3]), decreasing = T)
rscore <- rscore[order_id,]
pairSummary <- pairSummary[order_id,]
 
goodSprd_id <- (pairSummary[, 2] >  badSprd_down) & (pairSummary[, 5] <  badSprd_up)
 
rscore <- rscore[goodSprd_id, ]
pairSummary <- pairSummary[goodSprd_id, ]
 
sddist <- 2
boundary <- 4.5
 
for (pos in 1:length(rscore[,1])) {
	j <- rscore[pos, 1]
	i <- rscore[pos, 2]
 
	sprd <- na.omit(z[,j] - beta[j, i]*z[,i])
	sprdTest <- na.omit(zTest[,j] - beta[j, i]*zTest[,i])
 
        sprd_mean = mean(sprd, na.rm = T)
        sprd_sd = sd(sprd, na.rm = T)
 
        lb = sprd_mean - boundary*sprd_sd
        ub = sprd_mean + boundary*sprd_sd
 
	par(mfrow=c(3,1))
        plot(z[, j], type = "l", col = "blue")
        title(main = rscore[pos, 1:2])
	points(beta[j, i]*z[, i], type = "l", col = "red")
 
        plot(sprd, ylim = c(lb, ub))
	abline(h = (sprd_mean - sddist*sprd_sd), col = "red")
	abline(h = (sprd_mean + sddist*sprd_sd), col = "red")
 
        plot(sprdTest, , ylim = c(lb, ub))
	abline(h = (sprd_mean - sddist*sprd_sd), col = "red")
	abline(h = (sprd_mean + sddist*sprd_sd), col = "red")
 
	#Sys.sleep(1)
        readline()
}
 
#save(list = ls(all=TRUE), file = "/home/robo/workspace/R-Test/analysis2.RData")