//////////////////////////////////////////////////////
// Mean Variance Optimization ////////////////////////
//////////////////////////////////////////////////////

//#define DAYS			252 	// 1 year
#define DAYS			6*22 // 6 Months
//#define DAYS			4*22 // 4 Months
//#define DAYS			2*22 // 2 Months

#define WEIGHTCAP 	.25 // Cap 0.15 - 0.5 Range
#define NN				50	 	// max number of assets
#define LEVERAGE 		4	// 1:4 leverage

//////////////////////////////////////////////////////

function run()
{
	BarPeriod = 1440;
	LookBack = DAYS;
	NumYears = 7;
		set(PRELOAD); // allow extremely long lookback period	
		set(LOGFILE);
	Verbose = 0;
	set(watch);

//	AssetList = "ETF2016-OK.csv";
	AssetList = "AssetsZ8.csv";

	string		Names[NN];
	string 		Symbols[NN]; // Store the ISIN Code
	vars			Returns[NN];
	var			Means[NN];
	var			Covariances[NN][NN];
	var			Weights[NN];
	static int 	OldLots[NN];

	var TotalCapital = slider(1,1000,1000,50000,"Capital","Total capital to distribute");
	var VFactor = slider(2, 10 ,0, 100,"Risk","Variance factor");
	
	int N = 0;
	while(Names[N] = loop(Assets))
	{
		
		if(is(INITRUN) && strstr(Names[N], "#")== NULL) {
			assetHistory(Names[N], FROM_YAHOO);
			Symbols[N] = Symbol; // Store the isin code for quick referenze	
		}	
		 	
		if(strstr(Names[N], "#")== NULL && is(RUNNING)) {
			asset(Names[N]);
			Returns[N] = series((priceClose(0)-priceClose(1))/priceClose(1));
		}
		if(strstr(Names[N], "#")!= NULL && is(RUNNING)) Returns[N] = series(0);
		
		if(N++ >= NN) break;
	}

		if(tdm() == 1 && !is(LOOKBACK)){ 
			int i,j;
			for(i=0; i<N; i++) {
				Means[i] = Moment(Returns[i],LookBack,1);
				for(j=0; j<N; j++)
					Covariances[N*i+j] = Covariance(Returns[i],Returns[j],LookBack);	
			}
			var BestVariance = markowitz(Covariances, Means, N, WEIGHTCAP);
			var MinVariance = markowitzReturn(0,0);
			markowitzReturn(Weights,MinVariance+VFactor/100.*(BestVariance-MinVariance));

// 		change the portfolio composition according to new weights		
			for(i=0; i<N; i++)
				if (strstr(Names[i], "#")== NULL){
					asset(Names[i]);
					MarginCost = priceClose()/LEVERAGE;
					int NewLots = TotalCapital*Weights[i]/MarginCost;
					if(NewLots > OldLots[i])	
						enterLong(NewLots-OldLots[i]);
					else if(NewLots < OldLots[i]) exitLong(0,0,OldLots[i]-NewLots);
//					printf("\n%s - %s:  OldLots: %d NewLots: %d %.0f$",Names[i],Symbols[i], OldLots[i], NewLots );
					OldLots[i] = NewLots;
			}
		}
}