31:T659,calculatePortfolios = (syms = []) => { const coorelations = coorelationMatrix(syms) const weights = combinationSum(syms.length, 100).map(x => x.map(x => x/100)) const returns = weights.map(comb => simpleStatistics.sum(comb.map((weight,i) => weight * forwardExpectedReturn[syms[i]]))) //TODO look into use PMPT - sortino/ downside volatility only const stds = syms.map(ticker => { const pctChanges = getSymbolPercentageChanges(ticker).slice(-sharpeLookback) const std = simpleStatistics.standardDeviation(pctChanges) return std }) const weightedStds = weights.map(comb => simpleStatistics.sum(comb.map((weight, i) => (weight * stds[i])**2))) const weightedCors = weights.map(weights => { let cors = [] for(let i=0;i Math.sqrt(std + weightedCors[i])) const details = weights .map(w => w.map((w, i) => `${syms[i]}: ${w}`)) .map(w => w.reduce((pv,cv) => `${pv} ${cv}`)) .map((w,i) => `${w} sharpe: ${(returns[i] - riskFreeRate) / portfolioStds[i]}`) const riskReturns = portfolioStds.map((p,i) => ({ portfolioStd: p, returns: returns[i], details: details[i]})) return { weights,returns, portfolioStds, stds, weightedStds, coorelations, weightedCors, riskReturns, details } }32:T7be,calculateSortinoPortfolios = (syms = []) => { const coorelations = coorelationMatrix(syms) const weights = combinationSum(syms.length, 100).map(x => x.map(x => x/100)) const returns = weights.map(comb => simpleStatistics.sum(comb.map((weight,i) => weight * forwardExpectedReturn[syms[i]]))) const stds = syms.map(ticker => { const targetReturn = 0 const pctChanges = getSymbolPercentageChanges(ticker).slice(-sharpeLookback) //TODO look into use PMPT - sortino/ downside volatility only // http://investexcel.net/calculate-the-sortino-ratio-with-excel/ // https://xplaind.com/262577/sortino-ratio const downsideVol = simpleStatistics.sum(pctChanges.map(pct => pct > targetReturn ? 0 : (pct - targetReturn)**2)) const dailyDownside = Math.sqrt(downsideVol / (pctChanges.length - 1)) const annualDownside = dailyDownside * Math.sqrt(365) return annualDownside }) const weightedStds = weights.map(comb => simpleStatistics.sum(comb.map((weight, i) => (weight * stds[i])**2))) const weightedCors = weights.map(weights => { let cors = [] for(let i=0;i Math.sqrt(std + weightedCors[i])) const details = weights .map(w => w.map((w, i) => `${syms[i]}: ${w}`)) .map(w => w.reduce((pv,cv) => `${pv} ${cv}`)) .map((w,i) => `${w} sortino: ${(returns[i] - riskFreeRate) / portfolioStds[i]}`) const riskReturns = portfolioStds.map((p,i) => ({ portfolioStd: p, returns: returns[i], details: details[i]})) return { weights,returns, portfolioStds, stds, weightedStds, coorelations, weightedCors, riskReturns, details } }33:[] 2f:{"title":"Crypto Networks Exploration with Data Export","cells":[{"id":0,"value":"md`# Crypto Networks Exploration with Data Export `","pinned":false,"hidden":false,"mode":"ojs"},{"id":291,"value":"viewof selectedSymbol = select({\n title: \"Cryptos\",\n description: \"Pick a symbol to explore\",\n options: symbols,\n value: \"ETH\"\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":881,"value":"{\n const button = DOM.download(serialize(dailyPrices[selectedIdx]), null, \"Download Price Data as CSV\");\n button.style.position = 'relative';\n return button;\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":138,"value":"symbols = ['BTC', 'ETH', 'XRP', 'LTC', 'BCH', 'ETC', 'MKR', 'SNT', 'REP', 'GNO', 'GNT', 'DCR', 'BNB', 'MLN', 'ANT', 'DAI', 'NMR', 'BAT', 'ZRX', 'SPANK']","pinned":false,"hidden":false,"mode":"ojs"},{"id":58,"value":"betaLookback = 60","pinned":false,"hidden":false,"mode":"ojs"},{"id":552,"value":"sharpeLookback = 200","pinned":false,"hidden":false,"mode":"ojs"},{"id":128,"value":"riskFreeRate = 0.0241","pinned":false,"hidden":false,"mode":"ojs"},{"id":123,"value":"illiquidityPremium = 0.04","pinned":false,"hidden":false,"mode":"ojs"},{"id":126,"value":"privateVentureExpectations = 0.1767","pinned":false,"hidden":false,"mode":"ojs"},{"id":120,"value":"marketReturnExpectation = privateVentureExpectations - illiquidityPremium","pinned":false,"hidden":false,"mode":"ojs"},{"id":213,"value":"table(tableData)","pinned":false,"hidden":false,"mode":"ojs"},{"id":306,"value":"selectedIdx = symbols.indexOf(selectedSymbol)","pinned":false,"hidden":false,"mode":"ojs"},{"id":70,"value":"md`## ${selectedSymbol} rolling beta`","pinned":false,"hidden":false,"mode":"ojs"},{"id":46,"value":"vz.layer(mkrBetaRule, mkrBetaLine)\n .width(800)\n .plot()","pinned":false,"hidden":false,"mode":"ojs"},{"id":130,"value":"md`### ${selectedSymbol} Rolling Beta vs 30 day change`","pinned":false,"hidden":false,"mode":"ojs"},{"id":101,"value":"vz.layer(rollingBetaRule, mkrForwardPredictionline)\n .width(900)\n .height(600)\n .plot()","pinned":false,"hidden":false,"mode":"ojs"},{"id":73,"value":"viewof returnsLookforward = slider({\n min: 0, \n max: 100, \n step: 1, \n value: 30, \n title: \"Returns Look Forward\", \n description: \"Number of days forward to compare returns with intercept\"\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":112,"value":"forwardChangeRsquared = simpleStatistics.rSquared(mkrForwardChangeClean, simpleStatistics.linearRegressionLine(mkrForwardChangeRegression))","pinned":false,"hidden":false,"mode":"ojs"},{"id":40,"value":"oneYearBeta = calculateBeta(dailyPercentageChanges[selectedIdx].slice(-365), btcPercentChange.slice(-365))","pinned":false,"hidden":false,"mode":"ojs"},{"id":115,"value":"costOfEquity = calculateCostOfEquity(riskFreeRate, marketReturnExpectation, oneYearBeta)","pinned":false,"hidden":false,"mode":"ojs"},{"id":81,"value":"rollingBetaRule = vz(betaChart)\n .rule()\n .y('forwardChange')\n .x('beta')\n .point();","pinned":false,"hidden":false,"mode":"ojs"},{"id":64,"value":"betaChart = mkrRollingBeta.map((day, i) => ({ date: dates[i], beta: day, forwardChange: mkrForwardChange[i]})).slice(betaLookback).filter(day => day.forwardChange < 4)","pinned":false,"hidden":false,"mode":"ojs"},{"id":56,"value":"mkrRollingBeta = {\n return dailyCloses[selectedIdx].map((close, idx) => {\n let cleaned = dailyPercentageChanges[selectedIdx]\n let btc = btcPercentChange.slice(-cleaned.length)\n if (idx < betaLookback) return 0\n let startIdx = idx - betaLookback\n return calculateBeta(cleaned.slice(startIdx, idx), btc.slice(startIdx, idx))\n })\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":435,"value":"dailyPercentageChanges[selectedIdx]","pinned":false,"hidden":false,"mode":"ojs"},{"id":437,"value":"btcPercentChange.slice(-431)","pinned":false,"hidden":false,"mode":"ojs"},{"id":83,"value":"mkrForwardPredictionline = mkrForwardChangePredictionRule.copy().line().color('none');","pinned":false,"hidden":false,"mode":"ojs"},{"id":98,"value":"mkrForwardChangePredictionRule = vz(mkrForwardChangeTrendline)\n .rule()\n .x('x')\n .y('y');","pinned":false,"hidden":false,"mode":"ojs"},{"id":84,"value":"mkrForwardChangeTrendline = mkrForwardChangeClean.map(data => ({ y: mkrForwardChangePredictor(data[0]), x: data[0] }))","pinned":false,"hidden":false,"mode":"ojs"},{"id":78,"value":"mkrForwardChange = getForwardChange(dailyPercentageChanges[selectedIdx], dailyCloses[selectedIdx])","pinned":true,"hidden":false,"mode":"ojs"},{"id":48,"value":"mkrBetaRule = vz(betaChart.slice(betaLookback))\n .rule()\n .x('date', 't')\n .y('beta');","pinned":false,"hidden":false,"mode":"ojs"},{"id":50,"value":"mkrBetaLine = mkrBetaRule.copy()\n .line();","pinned":false,"hidden":false,"mode":"ojs"},{"id":21,"value":"btcDailyPrices = {\n return (await (await fetch(btcUrl)).json())\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":25,"value":"btcCloses = btcDailyPrices.Data.map(day => day.close)","pinned":false,"hidden":false,"mode":"ojs"},{"id":28,"value":"btcPercentChange = getPercentChange(btcCloses)","pinned":false,"hidden":false,"mode":"ojs"},{"id":23,"value":"dates = btcDailyPrices.Data.map(day => day.time * 1000)","pinned":false,"hidden":false,"mode":"ojs"},{"id":32,"value":"mkrDailyPrices = {\n return (await (await fetch(mkrUrl)).json())\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":35,"value":"mkrCloses = dailyCloses[selectedIdx]","pinned":false,"hidden":false,"mode":"ojs"},{"id":87,"value":"mkrForwardChangeClean = betaChart.map(data => [data.beta, data.forwardChange]).filter(x => !isNaN(x[0]))","pinned":true,"hidden":false,"mode":"ojs"},{"id":89,"value":"mkrForwardChangeRegression = simpleStatistics.linearRegression(mkrForwardChangeClean)","pinned":false,"hidden":false,"mode":"ojs"},{"id":91,"value":"mkrForwardChangePredictor = simpleStatistics.linearRegressionLine(mkrForwardChangeRegression)","pinned":false,"hidden":false,"mode":"ojs"},{"id":10,"value":"startDate = \"2017-07-01\"","pinned":false,"hidden":false,"mode":"ojs"},{"id":8,"value":"momentStartDate = moment(startDate, \"YYYY-MM-DD\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":6,"value":"daysSinceIco = moment().diff(momentStartDate, 'days')","pinned":false,"hidden":false,"mode":"ojs"},{"id":4,"value":"btcUrl = `https://min-api.cryptocompare.com/data/histoday?fsym=BTC&tsym=USD&limit=${daysSinceIco}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":14,"value":"ethUrl = `https://min-api.cryptocompare.com/data/histoday?fsym=ETH&tsym=USD&limit=${daysSinceIco}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":17,"value":"sntUrl = `https://min-api.cryptocompare.com/data/histoday?fsym=SNT&tsym=USD&limit=${daysSinceIco}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":19,"value":"mkrUrl = `https://min-api.cryptocompare.com/data/histoday?fsym=MKR&tsym=USD&limit=${daysSinceIco}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":135,"value":"getSymbolUrl = sym => `https://min-api.cryptocompare.com/data/histoday?fsym=${sym}&tsym=USD&limit=${daysSinceIco}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":140,"value":"dailyPricesRaw = Promise.all(\n symbols.map(async s => {\n const response = await d3.json(getSymbolUrl(s))\n return response.Data\n }))","pinned":false,"hidden":false,"mode":"ojs"},{"id":487,"value":"dailyPrices = dailyPricesRaw.map(x => x.filter(p => p.open != 0 && p.close != 0))","pinned":false,"hidden":false,"mode":"ojs"},{"id":174,"value":"dailyCloses = dailyPrices.map(s => s.map(day => day.close))","pinned":false,"hidden":false,"mode":"ojs"},{"id":179,"value":"dailyPercentageChanges = dailyCloses.map(s => getPercentChange(s))","pinned":false,"hidden":false,"mode":"ojs"},{"id":267,"value":"rollingBeta = dailyPercentageChanges.map(pctChange => calculateRollingBeta(pctChange).slice(betaLookback))","pinned":false,"hidden":false,"mode":"ojs"},{"id":263,"value":"md`### Volume data likely needs a better source`","pinned":false,"hidden":false,"mode":"ojs"},{"id":226,"value":"averageVolumes = dailyPrices.map(price => getAverageVolume(price))","pinned":false,"hidden":false,"mode":"ojs"},{"id":230,"value":"md`### We want to determine relative liquidity in order to compute the illiquidity premium`","pinned":false,"hidden":false,"mode":"ojs"},{"id":228,"value":"liquidityToBtc = averageVolumes.map((day,i) => day / averageVolumes[0])","pinned":false,"hidden":false,"mode":"ojs"},{"id":798,"value":"md`## TODO normalize liquidty premiums using something like https://openmarketcap.com/exchanges/difference`","pinned":false,"hidden":false,"mode":"ojs"},{"id":232,"value":"liquidityPremiums = liquidityToBtc.map(liquidity => liquidity * illiquidityPremium)","pinned":false,"hidden":false,"mode":"ojs"},{"id":234,"value":"expectedReturns = liquidityPremiums.map(ip => privateVentureExpectations - ip)","pinned":false,"hidden":false,"mode":"ojs"},{"id":188,"value":"betas = dailyPercentageChanges.map((p, i) => calculateBeta(p.slice(-365), dailyPercentageChanges[0].slice(-365)))","pinned":false,"hidden":false,"mode":"ojs"},{"id":216,"value":"costOfCapitals = betas.map((beta, i) => calculateCostOfEquity(riskFreeRate, expectedReturns[i], beta))","pinned":false,"hidden":false,"mode":"ojs"},{"id":285,"value":"tableData = symbols.map((s,i) => {\n return { \n symbol: s,\n beta: betas[i].toFixed(3),\n costOfCapital: costOfCapitals[i].toFixed(3),\n liquidityPremium: liquidityPremiums[i].toFixed(6),\n averageVolume: averageVolumes[i].toFixed(0),\n rollingBeta90: Number(rollingBeta[i].slice(-1)).toFixed(3),\n betaStd: simpleStatistics.sampleStandardDeviation(rollingBeta[i]).toFixed(3),\n sharpe: getSharpe(forwardExpectedReturn[s], riskFreeRate, dailyPercentageChanges[i])\n }\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":492,"value":"forwardExpectedReturn = ({\n 'DAI': getDaiExpectedReturn(),\n 'MKR': mkrExpectedReturn,\n 'SNT': sntExpectedReturn,\n 'BAT': batExpectedReturn,\n 'ETH': 0.2\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":459,"value":"md`## TODO, add expected returns table and then sharpe calculations`","pinned":false,"hidden":false,"mode":"ojs"},{"id":12,"value":"moment = require('moment')","pinned":false,"hidden":false,"mode":"ojs"},{"id":117,"value":"calculateCostOfEquity = (riskFree, marketReturn, beta) => riskFree + beta * (marketReturn - riskFree)","pinned":false,"hidden":false,"mode":"ojs"},{"id":30,"value":"getPercentChange = prices => prices.map((price, i) => {\n if (!i) return 0\n let yesterdaysPrice = prices[i-1]\n return (price - yesterdaysPrice) / yesterdaysPrice\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":42,"value":"calculateBeta = (priceChanges, indexPriceChanges) => {\n return simpleStatistics.sampleCovariance(priceChanges, indexPriceChanges) / simpleStatistics.variance(indexPriceChanges)\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":265,"value":"calculateRollingBeta = pctChanges => pctChanges.map((close, idx) => {\n if (idx < betaLookback) return 0\n let startIdx = idx - betaLookback\n return calculateBeta(pctChanges.slice(startIdx, idx), dailyPercentageChanges[0].slice(startIdx, idx))\n })","pinned":false,"hidden":false,"mode":"ojs"},{"id":76,"value":"getForwardChange = (percentageChangeArray, closesArray) => percentageChangeArray.map((change, idx) => {\n let closes = closesArray.slice(-percentageChangeArray.length)\n const start = idx + 1\n const end = idx + returnsLookforward\n if (start >= percentageChangeArray.length || end >= percentageChangeArray.length) return 0\n const startClose = closes[start]\n const endClose = closes[end]\n return (endClose - startClose) / startClose\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":223,"value":"getAverageVolume = prices => simpleStatistics.median(prices.slice(-90).map(day => simpleStatistics.median([day.volumefrom, day.volumeto])))","pinned":false,"hidden":false,"mode":"ojs"},{"id":44,"value":"simpleStatistics = require('simple-statistics')","pinned":false,"hidden":false,"mode":"ojs"},{"id":52,"value":"vz = {\n const vz = await require('@gjmcn/vizsla');\n vz.Vizsla.prototype.plot = function(opt) {\n return vegaEmbed(this.prep(), opt);\n };\n return vz;\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":54,"value":"vegaEmbed = require(\"vega-embed@3\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":159,"value":"d3 = require('d3@5')","pinned":false,"hidden":false,"mode":"ojs"},{"id":359,"value":"getTableData = symbol => tableData.find(s => s.symbol === symbol)","pinned":false,"hidden":false,"mode":"ojs"},{"id":497,"value":"getSymbolPrices = symbol => {\n let index = symbols.indexOf(symbol)\n return dailyPrices[index]\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":625,"value":"getSymbolPercentageChanges = symbol => {\n let index = symbols.indexOf(symbol)\n return dailyPercentageChanges[index]\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":502,"value":"getAveragePrice = (symbol, days = 5) => {\n let prices = getSymbolPrices(symbol)\n let closes = prices.slice(-days).map(x => x.close)\n return simpleStatistics.median(closes)\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":507,"value":"getDaiExpectedReturn = () => {\n // TODO pull yield from compound api or find/create interest aggregation api\n const currentYield = 0.07\n const par = 1\n let averagePrice = getAveragePrice('DAI')\n return (par - averagePrice) + currentYield\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":211,"value":"import { table } from \"@gampleman/table\"\n","pinned":false,"hidden":false,"mode":"ojs"},{"id":289,"value":"import {select, slider} from \"@jashkenas/inputs\"","pinned":false,"hidden":false,"mode":"ojs"},{"id":544,"value":"import {mkrExpectedReturn} from '@bgits/crypto-protocol-expected-returns'","pinned":false,"hidden":false,"mode":"ojs"},{"id":832,"value":"import {batExpectedReturn} from '@bgits/crypto-protocol-expected-returns'","pinned":true,"hidden":false,"mode":"ojs"},{"id":547,"value":"import {sntExpectedReturn} from '@bgits/status-network-combined-utility-values'","pinned":false,"hidden":false,"mode":"ojs"},{"id":564,"value":"md`https://corporatefinanceinstitute.com/resources/knowledge/finance/capital-allocation-line-cal-and-optimal-portfolio/`","pinned":false,"hidden":false,"mode":"ojs"},{"id":666,"value":"effPortfolios = md`### Efficient frontier portfolios (Sharpe)`","pinned":false,"hidden":false,"mode":"ojs"},{"id":569,"value":"$31","pinned":true,"hidden":false,"mode":"ojs"},{"id":736,"value":"$32","pinned":false,"hidden":false,"mode":"ojs"},{"id":576,"value":"covarianceMatrix = syms => {\n const matrix = {}\n for(let i=0; i {\n const matrix = {}\n for(let i=0; i {\n let std = ubique.std(dailyReturns.slice(-sharpeLookback))\n return (expectedReturn - riskFree) / std\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":413,"value":"rowCleanse = row => row.filter(x => !isNaN(x) && x != Infinity)","pinned":false,"hidden":false,"mode":"ojs"},{"id":364,"value":"md`ubique docs: http://maxto.github.io/`","pinned":false,"hidden":false,"mode":"ojs"},{"id":362,"value":"ubique = require('ubique@0.5.1/dist/ubique.js')","pinned":false,"hidden":false,"mode":"ojs"},{"id":531,"value":"function combinationSum(k, n) {\n function _combinationSum(k, n, array) {\n let result = []\n if (k == 1 && n > 0 && n <= 100) {\n result.push(array.concat(n))\n } else {\n for (let i = array[array.length - 1] + 1; i < n / k && i <= 100; i++) {\n result = result.concat(_combinationSum(k - 1, n - i, array.concat(i)))\n }\n }\n return result\n }\n\n let result = []\n for (let i = 0; i < n / k && i <= 100; i++) {\n result = result.concat(_combinationSum(k - 1, n - i, [i]))\n }\n return result\n};","pinned":false,"hidden":false,"mode":"ojs"},{"id":594,"value":"simpleStatistics.sampleCovariance([1,2,3],[3,4,5])","pinned":false,"hidden":false,"mode":"ojs"},{"id":603,"value":"covariance = (returns1 = [], returns2 = []) => {\n const avg1 = simpleStatistics.mean(returns1)\n const avg2 = simpleStatistics.mean(returns2)\n const covariances = returns1.map((day1, idx) => {\n const day2 = returns2[idx]\n const var1 = day1 - avg1\n const var2 = day2 - avg2\n return var1 * var2\n })\n const sum = simpleStatistics.sum(covariances)\n return sum / (covariances.length - 1)\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":692,"value":"function permutations(xs) {\n let ret = [];\n\n for (let i = 0; i < xs.length; i = i + 1) {\n let rest = permutations(xs.slice(0, i).concat(xs.slice(i + 1)));\n\n if(!rest.length) {\n ret.push([xs[i]])\n } else {\n for(let j = 0; j < rest.length; j = j + 1) {\n ret.push([xs[i]].concat(rest[j]))\n }\n }\n }\n return ret;\n}\n","pinned":false,"hidden":false,"mode":"ojs"},{"id":796,"value":"md`### model portfolio based on efficient frontier w/ mid risk tolerance: https://www.cryptocompare.com/portfolio-public/?id=437150`","pinned":false,"hidden":false,"mode":"ojs"},{"id":605,"value":"covariance([0.011, 0.017, 0.021, 0.014, 0.002],[0.03, 0.042, 0.049, 0.041, 0.025])","pinned":false,"hidden":false,"mode":"ojs"},{"id":611,"value":"simpleStatistics.sampleCovariance([0.011, 0.017, 0.021, 0.014, 0.002],[0.03, 0.042, 0.049, 0.041, 0.025]) ","pinned":false,"hidden":false,"mode":"ojs"},{"id":596,"value":"simpleStatistics.sampleCovariance([1,2,3],[4,5,6])","pinned":false,"hidden":false,"mode":"ojs"},{"id":800,"value":"md`# More considerations`","pinned":false,"hidden":false,"mode":"ojs"},{"id":802,"value":"md`## Should the transparency of the team behind the protocol be factored into the discount rate?`","pinned":false,"hidden":false,"mode":"ojs"},{"id":860,"value":"import {serialize} from \"@palewire/saving-csv\"","pinned":true,"hidden":false,"mode":"ojs"}],"files":"$W33","stdlib":"1","titling":"auto"}