source("coint.R")	# Load coint function code
daysf<-1		# start day for forming pairs
dayef<-131		# end day for forming pairs
dayst<-132		# start day for trading
dayet<-262		# end day for trading
npairs<-10		# number of pairs used for trading
cutoff<-2		# boundary for opened positions
Data<-read.csv("Data.csv",header=T)	# Read in data
# forming cointegrating pairs of largest trace test statistics
napairs<-ncol(Data)*(ncol(Data)-1)/2
pvalmat.s<-matrix(0,napairs,5)
k<-0
for (i in 2:ncol(Data)){
	print(i)
	for (j in 1:(i-1)){
	k<-k+1
	fred<-log(Data[daysf:dayef,c(j,i)])
	george<-coint(fred,lags=1)
	if(george$coint.vectors[1,1]*george$coint.vectors[1,2]>=0){
		k<-k-1}else{
			pvalmat.s[k,3]<-george$trace.tests[1]
			pvalmat.s[k,1:2]<-c(j,i)
			pvalmat.s[k,4:5]<-abs(george$coint.vectors[1,])/max(abs(george$coint.vectors[1,]))
		}
	}
}
coint.sort<-sort.list(pvalmat.s[,3])
profit<-rep(0.0,npairs)		# profit for each pair
nopen<-rep(0,npairs)		# numbers of opened position
nclose<-rep(0,npairs)		# numbers of closed position
invest<-rep(0,npairs)		# amount of money invested
# start to trade for each pairs of stocks
for (i in 1:npairs){
	ii<-i+napairs-npairs
	stock1<-Data[,pvalmat.s[coint.sort[ii],1]]
	stock2<-Data[,pvalmat.s[coint.sort[ii],2]]
	coef1<-pvalmat.s[coint.sort[ii],4]
	coef2<-pvalmat.s[coint.sort[ii],5]
	fred<-coef1*log(stock1[daysf:dayef])-coef2*log(stock2[daysf:dayef])
	ratio.mean<-mean(fred)
	ratio.std<-sqrt(var(fred))
	ratio.trade<-(coef1*log(stock1[dayst:dayet])-coef2*log(stock2[dayst:dayet])-ratio.mean)/ratio.std
	open.trade<-0
	profit[i]<-0.0
	for (j in 1:(dayet-dayst)){
# check if we should close an opened position
		if(open.trade!=0){
			if(open.trade*ratio.trade[j]<=0.0){
				open.trade<-0
				profit[i]<-profit[i]+n1*stock1[j+dayst]+n2*stock2[j+dayst]-opencap
				nclose[i]<-nclose[i]+1
			}
		}else{
# check if we should open a new position
			if(abs(ratio.trade[j])>=cutoff){
				open.trade<-sign(ratio.trade[j])
				n1<-coef1*(-open.trade)/stock1[j+dayst]
				n2<-coef2*open.trade/stock2[j+dayst]
				nopen[i]<-nopen[i]+1
				dayopen<-j
				opencap<-n1*stock1[j+dayst]+n2*stock2[j+dayst]
				invest[i]<-invest[i]+opencap
			}
		}
	}
# close all the opened positions on last day
	if(open.trade!=0){
		profit[i]<-profit[i]+n1*stock1[dayet]+n2*stock2[dayet]-opencap
	}
}
result<-cbind(names(Data[pvalmat.s[coint.sort[(napairs-npairs+1):napairs],1]]),names(Data[pvalmat.s[coint.sort[(napairs-npairs+1):napairs],2]]),nopen, nclose, profit, invest)
sum(nopen)
sum(nclose)
sum(profit)
sum(invest)