updates

Signed-off-by: systematicinvestor <[email protected]>

R/aa.bl.r

@@ -1,22 +1,23 @@
 ###############################################################################
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-#
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU General Public License for more details.
-#
-# You should have received a copy of the GNU General Public License
-# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
 ###############################################################################
 # Black-Litterman model Functions
-# Copyright (C) 2011  Michael Kapler
 #
-# For more information please visit my blog at www.SystematicInvestor.wordpress.com
-# or drop me a line at TheSystematicInvestor at gmail
+# For more information please email at TheSystematicInvestor at gmail
 ###############################################################################
 
 

R/aa.gmpl.r

@@ -1,22 +1,23 @@
 ###############################################################################
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-#
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU General Public License for more details.
-#
-# You should have received a copy of the GNU General Public License
-# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
 ###############################################################################
 # Read GNU MathProg model 
-# Copyright (C) 2012  Michael Kapler
 #
-# For more information please visit my blog at www.SystematicInvestor.wordpress.com
-# or drop me a line at TheSystematicInvestor at gmail
+# For more information please email at TheSystematicInvestor at gmail
 ###############################################################################
 
 

R/aa.omega.r

@@ -1,22 +1,23 @@
 ###############################################################################
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-#
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU General Public License for more details.
-#
-# You should have received a copy of the GNU General Public License
-# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
 ###############################################################################
 # Optimizing Omega Ration Functions
-# Copyright (C) 2011  Michael Kapler
 #
-# For more information please visit my blog at www.SystematicInvestor.wordpress.com
-# or drop me a line at TheSystematicInvestor at gmail
+# For more information please email at TheSystematicInvestor at gmail
 ###############################################################################
 
 

R/aa.r

@@ -1,22 +1,23 @@
 ###############################################################################
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-#
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU General Public License for more details.
-#
-# You should have received a copy of the GNU General Public License
-# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
 ###############################################################################
 # Asset Allocation Functions
-# Copyright (C) 2011  Michael Kapler
 #
-# For more information please visit my blog at www.SystematicInvestor.wordpress.com
-# or drop me a line at TheSystematicInvestor at gmail
+# For more information please email at TheSystematicInvestor at gmail
 ###############################################################################
 
 

R/aa.test.r

@@ -1,22 +1,23 @@
 ###############################################################################
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-#
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU General Public License for more details.
-#
-# You should have received a copy of the GNU General Public License
-# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
 ###############################################################################
 # Test cases for Asset Allocation Functions
-# Copyright (C) 2011  Michael Kapler
 #
-# For more information please visit my blog at www.SystematicInvestor.wordpress.com
-# or drop me a line at TheSystematicInvestor at gmail
+# For more information please email at TheSystematicInvestor at gmail
 ###############################################################################
 
 
@@ -2158,7 +2159,7 @@ aa.test.create.ia <- function()
 	#--------------------------------------------------------------------------
 	# Create historical input assumptions
 	#--------------------------------------------------------------------------
-	ia = create.historical.ia(hist.returns, 12, symbols, symbol.names)
+	ia = create.historical.ia(hist.returns, 12)
 
 	return(ia)	
 }

R/branchbound.r

@@ -1,23 +1,24 @@
 ###############################################################################
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-#
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU General Public License for more details.
-#
-# You should have received a copy of the GNU General Public License
-# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
 ###############################################################################
 # Binary Branch and Bound and it's adaption for QP problem
 # Copyright (C) 1998-2000  Alberto Bemporad, Domenico Mignone - author's of the original Matlab version					
-# Copyright (C) 2011  Michael Kapler - adapted code to R
 #
-# For more information please visit my blog at www.SystematicInvestor.wordpress.com
-# or drop me a line at TheSystematicInvestor at gmail
+# For more information please email at TheSystematicInvestor at gmail
 ###############################################################################
 
 

R/bt.r

@@ -1,22 +1,23 @@
 ###############################################################################
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-#
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU General Public License for more details.
-#
-# You should have received a copy of the GNU General Public License
-# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
 ###############################################################################
 # Backtest Functions
-# Copyright (C) 2011  Michael Kapler
 #
-# For more information please visit my blog at www.SystematicInvestor.wordpress.com
-# or drop me a line at TheSystematicInvestor at gmail
+# For more information please email at TheSystematicInvestor at gmail
 ###############################################################################
 
 
@@ -737,7 +738,7 @@ bt.trim <- function
 			bt$equity = bt$equity[index]
 				bt$equity = bt$equity / as.double(bt$equity[1])
 			bt$ret = bt$ret[index]
-			bt$weight = bt$weight[index,,drop=F]
+			if (!is.null(bt$weight)) bt$weight = bt$weight[index,,drop=F]
 			if (!is.null(bt$share)) bt$share = bt$share[index,,drop=F]
 
 		    bt$best = max(bt$ret)
@@ -2038,7 +2039,7 @@ bt.simple.test <- function()
 #' weight = matrix(weight, nrow=2, byrow=TRUE)
 #' print(bt.apply.min.weight(weight, 0.1))
 #' }
-#' @author Ivan Popivanov and Michael Kapler
+#' @author Ivan Popivanov
 #' @export 
 ###############################################################################
 # Possible use

R/bt.share.r

@@ -1,22 +1,23 @@
 ###############################################################################
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-#
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU General Public License for more details.
-#
-# You should have received a copy of the GNU General Public License
-# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
 ###############################################################################
-# Backtest Functions
-# Copyright (C) 2015 Systematic Investor
+# Backtest Functions based on shares invested
 #
-# For more information please visit my blog at www.SystematicInvestor.wordpress.com
-# or drop me a line at TheSystematicInvestor at gmail
+# For more information please email at TheSystematicInvestor at gmail
 ###############################################################################
 
 
@@ -220,6 +221,7 @@ bt.run.share.ex <- function
 
 	prices = coredata(prices)
 		n = ncol(prices)
+		nperiods = nrow(prices)	
 
 	# execution.price logic
 	trade = !is.na(weight)
@@ -266,7 +268,7 @@ bt.run.share.ex <- function
 
 
 	bankrupt = which(bt$ret <= -1)
-	if(len(bankrupt) > 0) bt$ret[bankrupt[1]:n] = -1
+	if(len(bankrupt) > 0) bt$ret[bankrupt[1]:nperiods] = -1
 
 
 	bt$equity = cumprod(1 + bt$ret)

R/bt.share.test.r

@@ -1,3 +1,24 @@
+###############################################################################
+# This software is provided 'as-is', without any express or implied
+# warranty. In no event will the authors be held liable for any damages
+# arising from the use of this software.
+# 
+# Permission is granted to anyone to use this software for any purpose,
+# including commercial applications, and to alter it and redistribute it
+# freely, subject to the following restrictions:
+# 
+# 1. The origin of this software must not be misrepresented; you must not
+#    claim that you wrote the original software. If you use this software
+#    in a product, an acknowledgment in the product documentation would be
+#    appreciated but is not required.
+# 2. Altered source versions must be plainly marked as such, and must not be
+#    misrepresented as being the original software.
+# 3. This notice may not be removed or altered from any source distribution.
+###############################################################################
+# Evaluating Sample Trading Strategies using Backtesting library
+#
+# For more information please email at TheSystematicInvestor at gmail
+###############################################################################
 
 bt.run.share.ex.example.match.adjusted.unadjusted = function()
 {