30:T6bc,calculatePortfolios = (syms = []) => { const historicalReturns = degenCulmulatives.map(x => x.slice(-1)[0]) 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 * historicalReturns[i]))) const stds = syms.map(ticker => { const pctChanges = getSymbolPercentageChanges(ticker) 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: ${(returns[i] - riskFreeRate) / portfolioStds[i]}`) const consolidated = portfolioStds.map((p,i) => ({ portfolioStd: p, returns: returns[i], sharpe: (returns[i] - riskFreeRate) / p, weights: weights[i], details: details[i]})) return { weights,returns, portfolioStds, stds, weightedStds, coorelations, weightedCors, consolidated, details } }31:T5ec,function hover(svg, path) { svg .style("position", "relative"); if ("ontouchstart" in document) svg .style("-webkit-tap-highlight-color", "transparent") .on("touchmove", moved) .on("touchstart", entered) .on("touchend", left) else svg .on("mousemove", moved) .on("mouseenter", entered) .on("mouseleave", left); const dot = svg.append("g") .attr("display", "none"); dot.append("circle") .attr("r", 2.5); dot.append("text") .style("font", "10px sans-serif") .attr("text-anchor", "middle") .attr("y", -8); function moved() { d3.event.preventDefault(); const ym = y.invert(d3.event.layerY); const xm = x.invert(d3.event.layerX); const i1 = d3.bisectLeft(comparisionChartData.dates, xm, 1); const i0 = i1 - 1; const i = xm - comparisionChartData.dates[i0] > comparisionChartData.dates[i1] - xm ? i1 : i0; const s = comparisionChartData.series.reduce((a, b) => Math.abs(a.values[i] - ym) < Math.abs(b.values[i] - ym) ? a : b); path.attr("stroke", d => d === s ? null : "#ddd").filter(d => d === s).raise(); dot.attr("transform", `translate(${x(comparisionChartData.dates[i])},${y(s.values[i])})`); dot.select("text").text(s.name); } function entered() { path.style("mix-blend-mode", null).attr("stroke", "#ddd"); dot.attr("display", null); } function left() { path.style("mix-blend-mode", "multiply").attr("stroke", null); dot.attr("display", "none"); } }32:T473,function drawBrackets (svg, matrix, label, bracketWeight, bracketOffset, gridSize, gridSpacing) { const drawLine = d3.line() .x(d => d.x) .y(d => d.y); const spacing = bracketOffset + bracketWeight/2; const matrixWidth = matrix[0].length * (gridSize + gridSpacing) - gridSpacing const matrixHeight = matrix.length * (gridSize + gridSpacing) - gridSpacing const leftPath = [ {x: spacing, y: -spacing}, {x: -spacing, y: -spacing}, {x: -spacing, y: matrixHeight + spacing}, {x: spacing, y: matrixHeight + spacing}] const rightPath = [ {x: matrixWidth - spacing, y: -spacing}, {x: matrixWidth + spacing, y: -spacing}, {x: matrixWidth + spacing, y: matrixHeight + spacing}, {x: matrixWidth - spacing, y: matrixHeight + spacing}] svg.append("path").attr("d", drawLine(leftPath)) svg.append("path").attr("d", drawLine(rightPath)) svg.append("text") .attr("text-anchor", "end") .attr("dy", ".75em") .attr("x", -(bracketOffset * 2 + bracketWeight)) .text(`${label} =`) .attr("fill", "black") .attr("stroke", "none") }33:[] 2e:{"title":"$$DEGEN10 Exploration","cells":[{"id":0,"value":"md`# $DEGEN10 Exploration`","pinned":false,"hidden":false,"mode":"ojs"},{"id":18,"value":"tweet(\"1345577570457280514\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":387,"value":"slide`We start by plotting the returns of the equal weight $DEGEN vs BTC and ETH`","pinned":false,"hidden":false,"mode":"ojs"},{"id":399,"value":"md`### If you see a RuntimeError try reloading the page`","pinned":false,"hidden":false,"mode":"ojs"},{"id":194,"value":"multi_line_chart = {\n const svg = d3.select(DOM.svg(width, height));\n\n svg.append(\"g\")\n .call(xAxis);\n\n svg.append(\"g\")\n .call(yAxis);\n\n const path = svg.append(\"g\")\n .attr(\"fill\", \"none\")\n .attr(\"stroke\", \"steelblue\")\n .attr(\"stroke-width\", 1.5)\n .attr(\"stroke-linejoin\", \"round\")\n .attr(\"stroke-linecap\", \"round\")\n .selectAll(\"path\")\n .data(comparisionChartData.series)\n .enter().append(\"path\")\n .style(\"mix-blend-mode\", \"multiply\")\n .attr(\"d\", d => line(d.values));\n \n svg.append(\"text\")\n .attr(\"id\",\"title\")\n .attr(\"x\", (width / 2)) \n .attr(\"y\", (20))\n .attr(\"text-anchor\", \"middle\") \n .style(\"font-size\", \"20px\") \n .text(`Change in value over past ${lookBackDays} days`);\n\n svg.call(hover, path);\n\n return svg.node();\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":773,"value":"coorelationsTable = table(generateReturnsTable([\n {symbol: \"$BTC\", culmulative: benchmarkCulmulative[0]},\n {symbol: \"$ETH\", culmulative: benchmarkCulmulative[1]},\n {symbol: \"$DEGEN EQ WEIGHT\", culmulative: degenEqualWeight},\n {symbol: \"$DPI\", culmulative: dpiPrices.culmulativeReturns},\n { symbol: \"SNX SUSHI 50/50\", culmulative: snxSushiEqWeight},\n { symbol: \"SNX SUSHI 20/80\", culmulative: snxSushiRiskParity},\n { symbol: \"Negitive Coorelation min optimized\", culmulative: negitiveCoorReturns},\n { symbol: \"$DAI\", culmulative: daiPrices.culmulativeReturns },\n { symbol: \"Cluster Risk Parity\", culmulative: clusterRP},\n { symbol: \"Min coorelation\", culmulative: minCoorel },\n { symbol: \"Mean variance optimized\", culmulative: degenMaxSharpe},\n { symbol: \"Low corr eq weight\", culmulative: lowCorrEqWeight},\n]))","pinned":false,"hidden":false,"mode":"ojs"},{"id":263,"value":"slide`\n\nSharpe Ratios (risk adjusted returns)\n\nBTC: ${Math.round(btcSharpe)}\n\nETH: ${Math.round(ethSharpe)}\n\n$DPI: ${Math.round(dpiRiskReturn.sharpe)}\n\n$DEGEN EQ WEIGHT: ${Math.round(degenEqWeightSharpe)}\n\nSNX SUSHI 50/50: ${Math.round(snxSushiEqSharpe)}\n\nSNX SUSHI 20/80: ${Math.round(snxSushiRiskParitySharpe)}\n\nLow Coorelation group: ${Math.round(lowCorrEqSharpe)}\n\nNegitive Coorelation group: ${Math.round(negCoorelSharpe)}\n\nMean Variance Optimized: ${Math.round(degenMaxSharpeRatio)}\n\n*To properly compute sharpe ratios forward looking returns are needed, we used the historical as a proxy*\n`","pinned":false,"hidden":false,"mode":"ojs"},{"id":486,"value":"slide`\nStandard deviation of daily returns\n\nBTC: ${toPct(btcStd)}\n\nETH: ${toPct(ethStd)}\n\n$DPI: ${toPct(dpiRiskReturn.std)}\n\n$DEGEN EQ WEIGHT: ${toPct(degenEqWeightStd)}\n\nSNX SUSHI 50/50: ${toPct(snxSushiEqStd)}\n\nSNX SUSHI 20/80: ${toPct(snxSushiRiskParityStd)}\n\nCluster Risk Parity: ${toPct(clustRPStd)}\n\nMin coorelation: ${toPct(minCoorelStd)}\n\nLow Coorelation group: ${toPct(lowCorrEqStd)}\n\nNegitive Coorelation Group: ${toPct(negCoorStd)}\n`","pinned":false,"hidden":false,"mode":"ojs"},{"id":376,"value":"md`# Coorelations between pairs`","pinned":false,"hidden":false,"mode":"ojs"},{"id":372,"value":"table(sortedCoorelations.map(x => ({ pair: x[0], coorelation: x[1] })))","pinned":false,"hidden":false,"mode":"ojs"},{"id":379,"value":"slide`\n\nSNX/SUSHI, SUSHI/GRT, SNX/RUNE and SNX/DOT have zero or negitive daily return coorelations.\n\nWorth investigating overweighting them to reduce the variance in the portfolio returns\n`","pinned":false,"hidden":false,"mode":"ojs"},{"id":7,"value":"benchmarks = [\"BTC\", \"ETH\"]","pinned":false,"hidden":false,"mode":"ojs"},{"id":22,"value":"symbols = [\"SNX\", \"AAVE\", \"SUSHI\", \"RUNE\", \"YFI\", \"LINK\", \"DOT\", \"UNI\", \"GRT\", \"SYN\"]","pinned":false,"hidden":false,"mode":"ojs"},{"id":123,"value":"specialSymbols = {\n return {\n SYN: {\n url: (days) => `https://min-api.cryptocompare.com/data/histoday?fsym=SYN&tsym=ETH&limit=${days}&e=BILAXY`,\n convertSym: \"ETH\"\n },\n DPI: {\n url: (days) => `https://min-api.cryptocompare.com/data/histoday?fsym=DPI&tsym=WETH&limit=${days}&e=uniswapv2`,\n convertSym: \"ETH\"\n },\n } \n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":39,"value":"allSymbols = [...benchmarks, ...symbols]","pinned":false,"hidden":false,"mode":"ojs"},{"id":732,"value":"indexTokens = [\"DPI\"]","pinned":false,"hidden":false,"mode":"ojs"},{"id":855,"value":"stableCoins = [\"DAI\", \"ESD\"]","pinned":true,"hidden":false,"mode":"ojs"},{"id":59,"value":"md `### Due to $GRT only recently started trading we have to limit our lookback period`","pinned":false,"hidden":false,"mode":"ojs"},{"id":27,"value":"lookBackDays = 70","pinned":false,"hidden":false,"mode":"ojs"},{"id":24,"value":"getSymbolUrl = sym => `https://min-api.cryptocompare.com/data/histoday?fsym=${sym}&tsym=USD&limit=${lookBackDays}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":96,"value":"md`### use for SYN - perform conversion against ETH`","pinned":false,"hidden":false,"mode":"ojs"},{"id":95,"value":"`https://min-api.cryptocompare.com/data/histoday?fsym=SYN&tsym=ETH&limit=30&e=BILAXY`","pinned":false,"hidden":false,"mode":"ojs"},{"id":727,"value":"md`### use for DPI`","pinned":false,"hidden":false,"mode":"ojs"},{"id":723,"value":"\"https://min-api.cryptocompare.com/data/histoday?fsym=DPI&tsym=WETH&limit=30&e=uniswapv2\"","pinned":true,"hidden":false,"mode":"ojs"},{"id":33,"value":"dailyPricesRaw = Promise.all(\n allSymbols.filter(x => !specialSymbols[x]).map(async s => {\n const response = await d3.json(getSymbolUrl(s))\n return response.Data\n }))","pinned":false,"hidden":false,"mode":"ojs"},{"id":130,"value":"specialPricesRaw = Promise.all(\n allSymbols.filter(x => !!specialSymbols[x]).map(async s => {\n const sym = specialSymbols[s]\n const { convertSym } = sym\n const index = allSymbols.findIndex(x => x == convertSym)\n const convertData = dailyPricesRaw[index]\n const url = sym.url(lookBackDays)\n const response = await d3.json(url)\n return response.Data.map((day, idx) => {\n const convertDate = convertData[idx]\n return {\n ...day,\n close: day.close * convertDate.close,\n open: day.open * convertDate.open,\n high: day.high * convertDate.high,\n low: day.low * convertDate.low\n }\n });\n })\n)","pinned":false,"hidden":false,"mode":"ojs"},{"id":737,"value":"indexPrices = Promise.all(\n indexTokens.filter(x => !!specialSymbols[x]).map(async s => {\n const sym = specialSymbols[s]\n const { convertSym } = sym\n const index = allSymbols.findIndex(x => x == convertSym)\n const convertData = dailyPricesRaw[index]\n const url = sym.url(lookBackDays)\n const response = await d3.json(url)\n return response.Data.map((day, idx) => {\n const convertDate = convertData[idx]\n return {\n ...day,\n close: day.close * convertDate.close,\n open: day.open * convertDate.open,\n high: day.high * convertDate.high,\n low: day.low * convertDate.low\n }\n });\n })\n)","pinned":false,"hidden":false,"mode":"ojs"},{"id":857,"value":"stableCoinPricesRaw = Promise.all(\n stableCoins.filter(x => !specialSymbols[x]).map(async s => {\n const response = await d3.json(getSymbolUrl(s))\n return response.Data\n }))","pinned":false,"hidden":false,"mode":"ojs"},{"id":861,"value":"stableCoinPrices = stableCoinPricesRaw.map(formatRawPrices)","pinned":true,"hidden":false,"mode":"ojs"},{"id":863,"value":"daiPrices = stableCoinPrices[0]","pinned":true,"hidden":false,"mode":"ojs"},{"id":148,"value":"allPricesRaw = [...dailyPricesRaw, ...specialPricesRaw]","pinned":true,"hidden":false,"mode":"ojs"},{"id":45,"value":"dailyPrices = allPricesRaw.map(x => x.filter(p => p.open != 0 && p.close != 0))","pinned":true,"hidden":false,"mode":"ojs"},{"id":77,"value":"dailyPricesExBenchmarks = dailyPrices.slice(-symbols.length)","pinned":true,"hidden":false,"mode":"ojs"},{"id":79,"value":"dailyPricesBenchmarks = dailyPrices.slice(0, benchmarks.length)","pinned":true,"hidden":false,"mode":"ojs"},{"id":47,"value":"dailyCloses = dailyPrices.map(s => s.map(day => day.close))","pinned":true,"hidden":false,"mode":"ojs"},{"id":49,"value":"dailyPercentageChanges = dailyCloses.map(s => getPercentChange(s))","pinned":true,"hidden":false,"mode":"ojs"},{"id":86,"value":"culmulativeReturns = dailyPercentageChanges.map(getCulmulativeReturns)","pinned":false,"hidden":false,"mode":"ojs"},{"id":779,"value":"getTotalReturn = culmulative => culmulative.slice(-1)[0]","pinned":true,"hidden":false,"mode":"ojs"},{"id":751,"value":"dpiPrices = formatRawPrices(indexPrices[indexTokens.indexOf(\"DPI\")])","pinned":true,"hidden":false,"mode":"ojs"},{"id":767,"value":"dpiRiskReturn = getRiskReturnMetrics(dpiPrices)","pinned":false,"hidden":false,"mode":"ojs"},{"id":89,"value":"benchmarkCulmulative = culmulativeReturns.slice(0, benchmarks.length)","pinned":true,"hidden":false,"mode":"ojs"},{"id":561,"value":"degenPercentageChanges = dailyPercentageChanges.slice(-symbols.length)","pinned":false,"hidden":false,"mode":"ojs"},{"id":580,"value":"degenAverageDailyReturns = degenPercentageChanges.map(simpleStatistics.mean)","pinned":false,"hidden":false,"mode":"ojs"},{"id":92,"value":"degenCulmulatives = culmulativeReturns.slice(0, symbols.length)","pinned":false,"hidden":false,"mode":"ojs"},{"id":688,"value":"degenCulmulativeReturns = degenCulmulatives.map(x => x[Math.floor(x.length / 2)])","pinned":false,"hidden":false,"mode":"ojs"},{"id":408,"value":"snxSushiCulmulatives = [degenCulmulatives[symbols.indexOf(\"SNX\")], degenCulmulatives[symbols.indexOf(\"SUSHI\")]]","pinned":false,"hidden":false,"mode":"ojs"},{"id":653,"value":"negitiveCorrCulmulatives = [degenCulmulatives[symbols.indexOf(\"SNX\")], degenCulmulatives[symbols.indexOf(\"SUSHI\")], degenCulmulatives[symbols.indexOf(\"GRT\")], degenCulmulatives[symbols.indexOf(\"RUNE\")]]","pinned":true,"hidden":false,"mode":"ojs"},{"id":659,"value":"negitiveCoorPct = negitiveCorrCulmulatives.map(getDailyReturnsFromCulmulative)","pinned":false,"hidden":false,"mode":"ojs"},{"id":655,"value":"negCovarianceMatrix = PA.covarianceMatrix(negitiveCoorPct.map(x => x.slice(0, Math.floor(x.length / 2))))","pinned":false,"hidden":false,"mode":"ojs"},{"id":665,"value":"negCoorelWeights = PA.minimumCorrelationWeights(negCovarianceMatrix)","pinned":true,"hidden":false,"mode":"ojs"},{"id":667,"value":"negitiveCorrAllocations = negitiveCorrCulmulatives.map((x, i) => {\n return x.map(y => y * negCoorelWeights[i])\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":669,"value":"negitiveCoorReturns = sumArrays(negitiveCorrAllocations)","pinned":true,"hidden":false,"mode":"ojs"},{"id":672,"value":"negitiveCoorReturnsPct = getDailyReturnsFromCulmulative(negitiveCoorReturns)","pinned":true,"hidden":false,"mode":"ojs"},{"id":675,"value":"negCoorelSharpe = getSharpe(negitiveCoorReturns.slice(-1)[0], 0.01, negitiveCoorReturnsPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":680,"value":"negCoorStd = ubique.std(negitiveCoorReturnsPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":425,"value":"lowCorrCulmulatives = [degenCulmulatives[symbols.indexOf(\"SNX\")], degenCulmulatives[symbols.indexOf(\"SUSHI\")], degenCulmulatives[symbols.indexOf(\"GRT\")], degenCulmulatives[symbols.indexOf(\"RUNE\")], degenCulmulatives[symbols.indexOf(\"DOT\")]]","pinned":false,"hidden":false,"mode":"ojs"},{"id":427,"value":"lowCorrCulEq = lowCorrCulmulatives.map((x) => {\n const weight = 1 / lowCorrCulmulatives.length\n return x.map(y => y * weight)\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":429,"value":"lowCorrEqWeight = sumArrays(lowCorrCulEq)","pinned":true,"hidden":false,"mode":"ojs"},{"id":432,"value":"lowCorrEqWeightPct = getDailyReturnsFromCulmulative(lowCorrEqWeight)","pinned":false,"hidden":false,"mode":"ojs"},{"id":686,"value":"symbols","pinned":true,"hidden":false,"mode":"ojs"},{"id":626,"value":"minCoorelWeights = PA.minimumCorrelationWeights(degenCovarianceMatrix)","pinned":true,"hidden":false,"mode":"ojs"},{"id":629,"value":"minCoorelAllocations = degenCulmulatives.map((x, i) => {\n return x.map(y => y * minCoorelWeights[i])\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":633,"value":"minCoorel = sumArrays(minCoorelAllocations)","pinned":false,"hidden":false,"mode":"ojs"},{"id":636,"value":"minCoorelPct = getDailyReturnsFromCulmulative(minCoorel)","pinned":false,"hidden":false,"mode":"ojs"},{"id":638,"value":"minCoorelSharpe = getSharpe(minCoorel.slice(-1)[0], 0.01, minCoorelPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":601,"value":"clusterRPWeights = PA.clusterRiskParityWeights(degenCovarianceMatrix)","pinned":true,"hidden":false,"mode":"ojs"},{"id":610,"value":"clusterRPAllocations = degenCulmulatives.map((x, i) => {\n return x.map(y => y * clusterRPWeights[i])\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":615,"value":"clusterRP = sumArrays(clusterRPAllocations)","pinned":true,"hidden":false,"mode":"ojs"},{"id":617,"value":"clusterRPPct = getDailyReturnsFromCulmulative(clusterRP)","pinned":true,"hidden":false,"mode":"ojs"},{"id":619,"value":"clusterRPSharpeRatio = getSharpe(clusterRP.slice(-1)[0], 0.01, clusterRPPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":586,"value":"degenMaxSharpeWeights = PA.maximumSharpeRatioWeights(degenCulmulativeReturns ,degenCovarianceMatrix, riskFreeRate)","pinned":false,"hidden":false,"mode":"ojs"},{"id":592,"value":"degenMaxSharpeAllocations = degenCulmulatives.map((x, i) => {\n return x.map(y => y * degenMaxSharpeWeights[i])\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":594,"value":"degenMaxSharpe = sumArrays(degenMaxSharpeAllocations)","pinned":true,"hidden":false,"mode":"ojs"},{"id":596,"value":"degenMaxSharpePct = getDailyReturnsFromCulmulative(degenMaxSharpe)","pinned":true,"hidden":false,"mode":"ojs"},{"id":598,"value":"degenMaxSharpeRatio = getSharpe(degenMaxSharpe.slice(-1)[0], 0.01, degenMaxSharpePct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":412,"value":"snxSushiCulEq = snxSushiCulmulatives.map((x) => {\n const weight = 1 / snxSushiCulmulatives.length\n return x.map(y => y * weight)\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":439,"value":"snxSushiRiskParityWeights = snxSushiCulmulatives.map((x,i) => {\n const weight = !i ? 0.8 : 0.2\n return x.map(y => y * weight)\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":443,"value":"snxSushiRiskParity = sumArrays(snxSushiRiskParityWeights)","pinned":false,"hidden":false,"mode":"ojs"},{"id":445,"value":"snxSushiRiskParityPct = getDailyReturnsFromCulmulative(snxSushiRiskParity)","pinned":false,"hidden":false,"mode":"ojs"},{"id":188,"value":"degenCulEq = degenCulmulatives.map((x) => {\n const weight = 1 / degenCulmulatives.length\n return x.map(y => y * weight)\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":155,"value":"degenEqualWeight = sumArrays(degenCulEq)","pinned":false,"hidden":false,"mode":"ojs"},{"id":415,"value":"snxSushiEqWeight = sumArrays(snxSushiCulmulatives)","pinned":true,"hidden":false,"mode":"ojs"},{"id":420,"value":"snxSushiEqWeightPct = getDailyReturnsFromCulmulative(snxSushiEqWeight)","pinned":true,"hidden":false,"mode":"ojs"},{"id":248,"value":"degenEqWeightPct = getDailyReturnsFromCulmulative(degenEqualWeight)","pinned":true,"hidden":false,"mode":"ojs"},{"id":321,"value":"degenHighestSharpe = degenPortfolios[0]","pinned":true,"hidden":false,"mode":"ojs"},{"id":328,"value":"degenCulHighSharpe = degenCulmulatives.map((x, i) => {\n const weight = degenHighestSharpe.weights[i]\n return x.map(y => y * weight)\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":332,"value":"degenLowVol = sumArrays(degenCulHighSharpe)","pinned":true,"hidden":false,"mode":"ojs"},{"id":235,"value":"degenEqWeightSharpe = getSharpe(degenEqualWeight.slice(-1)[0], 0.01, degenEqWeightPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":482,"value":"degenEqWeightStd = ubique.std(degenEqWeightPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":623,"value":"clustRPStd = ubique.std(clusterRPPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":640,"value":"minCoorelStd = ubique.std(minCoorelPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":418,"value":"snxSushiEqSharpe = getSharpe(snxSushiEqWeight.slice(-1)[0], 0.01, snxSushiEqWeightPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":480,"value":"snxSushiEqStd = ubique.std(snxSushiEqWeightPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":450,"value":"snxSushiRiskParitySharpe = getSharpe(snxSushiRiskParity.slice(-1)[0], 0.01, snxSushiRiskParityPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":478,"value":"snxSushiRiskParityStd = ubique.std(snxSushiRiskParityPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":434,"value":"lowCorrEqSharpe = getSharpe(lowCorrEqWeight.slice(-1)[0], 0.01, lowCorrEqWeightPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":476,"value":"lowCorrEqStd = ubique.std(lowCorrEqWeightPct)","pinned":true,"hidden":false,"mode":"ojs"},{"id":255,"value":"ethSharpe = getSharpe(benchmarkCulmulative[1].slice(-1)[0], 0.01, getDailyReturnsFromCulmulative(benchmarkCulmulative[1]))","pinned":true,"hidden":false,"mode":"ojs"},{"id":499,"value":"ethStd = ubique.std(benchmarkCulmulative[1])","pinned":true,"hidden":false,"mode":"ojs"},{"id":257,"value":"btcSharpe = getSharpe(benchmarkCulmulative[0].slice(-1)[0], 0.01, getDailyReturnsFromCulmulative(benchmarkCulmulative[0]))","pinned":true,"hidden":false,"mode":"ojs"},{"id":501,"value":"btcStd = ubique.std(benchmarkCulmulative[0])","pinned":true,"hidden":false,"mode":"ojs"},{"id":556,"value":"degenCovarianceMatrix = PA.covarianceMatrix(degenPercentageChanges.map(x => x.slice(0, Math.floor(x.length / 2))))","pinned":true,"hidden":false,"mode":"ojs"},{"id":701,"value":"degenPercentageChanges","pinned":true,"hidden":false,"mode":"ojs"},{"id":110,"value":"dates = dailyPricesRaw[0].map(x => new Date(x.time * 1000))","pinned":true,"hidden":false,"mode":"ojs"},{"id":115,"value":"comparisionChartData = ({\n series: [\n { name: \"$DEGEN Equal Weight\", values: degenEqualWeight },\n { name: \"SNX SUSHI 50/50\", values: snxSushiEqWeight},\n { name: \"SNX SUSHI 20/80\", values: snxSushiRiskParity},\n { name: \"Negitive Coorelation min optimized\", values: negitiveCoorReturns},\n { name: \"Cluster Risk Parity\", values: clusterRP},\n { name: \"Min coorelation\", values: minCoorel },\n { name: \"Mean variance optimized\", values: degenMaxSharpe},\n { name: \"Low corr eq weight\", values: lowCorrEqWeight},\n { name: \"BTC\", values: benchmarkCulmulative[0] },\n { name: \"ETH\", values: benchmarkCulmulative[1] },\n { name: \"DPI\", values: dpiPrices.culmulativeReturns }\n ],\n dates\n})","pinned":true,"hidden":false,"mode":"ojs"},{"id":65,"value":"betas = dailyPercentageChanges.map((p, i) => calculateBeta(p, dailyPercentageChanges[0]))","pinned":true,"hidden":false,"mode":"ojs"},{"id":178,"value":"sumArrays = (arrays) => {\n const sum = []\n for(let i=0; i 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":62,"value":"calculateBeta = (priceChanges, indexPriceChanges) => {\n return simpleStatistics.sampleCovariance(priceChanges, indexPriceChanges) / simpleStatistics.variance(indexPriceChanges)\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":303,"value":"riskFreeRate = 0.01","pinned":true,"hidden":false,"mode":"ojs"},{"id":868,"value":"allCovariance = PA.covarianceMatrix(dailyPercentageChanges)","pinned":true,"hidden":false,"mode":"ojs"},{"id":917,"value":"md`### WIP Covariance and Coorelation matrix`","pinned":true,"hidden":false,"mode":"ojs"},{"id":912,"value":"allSymbols.map((x, i) => {\n return allSymbols.map((y, j) => {\n const covar = allCovariance.data[i+j]\n const coorel = allCoorelations[i+j]\n return {\n pair: `${x}_${y}`,\n covar,\n coorel\n }\n })\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":897,"value":"allCoorelations = allCovariance.getCorrelationMatrix().data","pinned":true,"hidden":false,"mode":"ojs"},{"id":873,"value":"allCovariance.data.map((x, i) => {\n const sym = allSymbols[i]\n const cross = allSymbols[i % allSymbols.length]\n const obj = [cross, x]\n return allSymbols[i]\n})","pinned":true,"hidden":false,"mode":"ojs"},{"id":870,"value":"dailyPercentageChanges","pinned":true,"hidden":false,"mode":"ojs"},{"id":285,"value":"portfolioDetails = calculatePortfolios(symbols)","pinned":true,"hidden":false,"mode":"ojs"},{"id":361,"value":"coorelations = portfolioDetails.coorelations","pinned":true,"hidden":false,"mode":"ojs"},{"id":363,"value":"sortedCoorelations = Object.entries(coorelations).sort((a,b) => a[1] - b[1])","pinned":true,"hidden":false,"mode":"ojs"},{"id":310,"value":"degenPortfolios = portfolioDetails.consolidated.sort((a,b) => b.sharpe - a.sharpe)","pinned":true,"hidden":false,"mode":"ojs"},{"id":341,"value":"highVol = degenPortfolios.slice(-1)[0]","pinned":true,"hidden":false,"mode":"ojs"},{"id":282,"value":"$30","pinned":true,"hidden":false,"mode":"ojs"},{"id":279,"value":"coorelationMatrix = syms => {\n const matrix = {}\n for(let i=0; i {\n let updatedReturns = []\n \n arr.forEach((year, idx) => {\n if (!idx) updatedReturns.push(year)\n else updatedReturns.push(year + updatedReturns[idx-1])\n })\n return updatedReturns\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":244,"value":"getDailyReturnsFromCulmulative = arr => {\n let updatedReturns = []\n \n arr.forEach((day, idx, days) => {\n if (!idx) updatedReturns.push(day)\n else updatedReturns.push(day - days[idx-1])\n })\n return updatedReturns\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":295,"value":"getSymbolPercentageChanges = symbol => {\n let index = symbols.indexOf(symbol)\n return dailyPercentageChanges[index]\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":15,"value":"import {tweet} from \"@mbostock/tweet\"","pinned":false,"hidden":false,"mode":"ojs"},{"id":55,"value":"simpleStatistics = require('simple-statistics')","pinned":false,"hidden":false,"mode":"ojs"},{"id":34,"value":"d3 = require('d3@5')","pinned":false,"hidden":false,"mode":"ojs"},{"id":200,"value":"margin = ({top: 30, right:0, bottom: 30, left: 50})","pinned":true,"hidden":false,"mode":"ojs"},{"id":198,"value":"x = d3.scaleTime()\n .domain(d3.extent(comparisionChartData.dates))\n .range([margin.left, width - margin.right])","pinned":false,"hidden":false,"mode":"ojs"},{"id":202,"value":"y = d3.scaleLinear()\n .domain([d3.min(comparisionChartData.series, d => d3.min(d.values)), d3.max(comparisionChartData.series, d => d3.max(d.values))]).nice()\n .range([height - margin.bottom, margin.top])","pinned":false,"hidden":false,"mode":"ojs"},{"id":206,"value":"xAxis = g => g\n .attr(\"transform\", `translate(0,${height - margin.bottom})`)\n .call(d3.axisBottom(x).ticks(width / 80).tickSizeOuter(0))","pinned":false,"hidden":false,"mode":"ojs"},{"id":208,"value":"yAxis = g => g\n .attr(\"transform\", `translate(${margin.left},0)`)\n .call(d3.axisLeft(y))\n .call(g => g.select(\".domain\").remove())\n .call(g => g.select(\".tick:last-of-type text\").clone()\n .attr(\"x\", 3)\n .attr(\"text-anchor\", \"start\")\n .attr(\"font-weight\", \"bold\")\n .text(\"Percent Change\"))","pinned":false,"hidden":false,"mode":"ojs"},{"id":210,"value":"line = d3.line()\n .defined(d => !isNaN(d))\n .x((d, i) => x(comparisionChartData.dates[i]))\n .y(d => y(d))","pinned":false,"hidden":false,"mode":"ojs"},{"id":204,"value":"height = 600","pinned":false,"hidden":false,"mode":"ojs"},{"id":196,"value":"$31","pinned":false,"hidden":false,"mode":"ojs"},{"id":228,"value":"getSharpe = (expectedReturn, riskFree, dailyReturns) => {\n let std = ubique.std(dailyReturns.slice(-lookBackDays))\n return (expectedReturn - riskFree) / std\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":224,"value":"ubique = require('ubique@0.5.1/dist/ubique.js')","pinned":false,"hidden":false,"mode":"ojs"},{"id":288,"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":true,"hidden":false,"mode":"ojs"},{"id":351,"value":"$32","pinned":false,"hidden":false,"mode":"ojs"},{"id":490,"value":"toPct = x => parseFloat(x*100).toFixed(2)+\"%\"","pinned":true,"hidden":false,"mode":"ojs"},{"id":762,"value":"getRiskReturnMetrics = (data) => {\n const { culmulativeReturns, dailyPercentageChanges } = data\n const totalReturn = culmulativeReturns.slice(-1)[0]\n const sharpe = getSharpe(totalReturn, riskFreeRate, dailyPercentageChanges)\n const std = ubique.std(dailyPercentageChanges)\n return { totalReturn, sharpe, std }\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":838,"value":"getRiskReturnMetricsFromCulmulative = (culmulative) => {\n const totalReturn = culmulative.slice(-1)[0]\n const dailyPercentageChanges = getDailyReturnsFromCulmulative(culmulative)\n const sharpe = getSharpe(totalReturn, riskFreeRate, dailyPercentageChanges)\n const std = ubique.std(dailyPercentageChanges)\n return { totalReturn, sharpe, std, dailyPercentageChanges }\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":798,"value":"generateReturnsTable = data => {\n return data.map(x => {\n const returnCol = `${lookBackDays} Day Return`\n const riskReturn = getRiskReturnMetricsFromCulmulative(x.culmulative)\n return {\n Allocation: x.symbol,\n [returnCol]: toPct(getTotalReturn(x.culmulative)),\n sharpe: riskReturn.sharpe,\n \"daily std\": toPct(riskReturn.std)\n }\n })\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":743,"value":"formatRawPrices = (data) => {\n const dailyPrices = data.filter(p => p.open != 0 && p.close != 0)\n const dailyCloses = dailyPrices.map(day => day.close)\n const dailyPercentageChanges = getPercentChange(dailyCloses)\n const culmulativeReturns = getCulmulativeReturns(dailyPercentageChanges)\n return { culmulativeReturns, dailyPercentageChanges }\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":261,"value":"slide_style","pinned":true,"hidden":false,"mode":"ojs"},{"id":259,"value":"import {slide, slide_style} from \"@mbostock/slide\"\n","pinned":true,"hidden":false,"mode":"ojs"},{"id":368,"value":"import { table } from \"@gampleman/table\"","pinned":true,"hidden":false,"mode":"ojs"},{"id":505,"value":"combin = require('https://bundle.run/js-combinatorics@1.4.5')","pinned":true,"hidden":false,"mode":"ojs"},{"id":551,"value":"PA = require('portfolio-allocation@0.0.11/dist/portfolio_allocation.dist.js').catch(() => window[\"PortfolioAllocation\"])","pinned":true,"hidden":false,"mode":"ojs"}],"files":"$W33","stdlib":"1","titling":"auto"}