timrprobocom · April 13, 2023 20:19 · Apr 13, 2023
diff --git a/strategy_sum.py b/strategy_sum.py
@@ -0,0 +1,45 @@
+import numpy as np
+from datetime import datetime
+
+# Define the component prices for each day
+prices = {
+    datetime(2020, 1, 31): [197.2525, 253.2126, 653.266, 653.2678],
+    datetime(2020, 2, 3): [197.063, 253.2231, 652.3695, 652.3759],
+    datetime(2020, 2, 4): [196.6896, 252.9168, 649.9793, 649.9858],
+    datetime(2020, 2, 5): [197.3429, 252.8294, 653.5655, 653.5588],
+    datetime(2020, 2, 6): [197.4554, 252.7901, 652.3171, 652.3172],
+    datetime(2020, 2, 7): [196.7969, 252.944, 653.5571, 653.555],
+    datetime(2020, 2, 10): [196.9404, 253.3696, 656.0398, 656.0355],
+    datetime(2020, 2, 11): [196.9457, 253.3767, 653.6765, 653.6793],
+    datetime(2020, 2, 12): [196.8736, 253.1046, 653.1065, 653.1106]
+}
+
+# Calculate the strategy value for each day
+
+I = [100]
+N_tm1 = None
+for date, price_list in prices.items():
+    # Calculate the strategy value for this day
+    n = (date - max(prices.keys())).days
+    N_t = np.array(price_list)
+    if N_tm1 is not None:
+        ratio =  N_t / N_tm1 - 1
+        sumratio = 1 + ratio.sum() * (1 - n / (365*200))
+        I.append( I[-1] * sumratio )
+
+    N_tm1 = N_t
+
+# Print the results
+for date, value in zip(prices.keys(), I):
+    print(f"{date.strftime('%d-%b-%Y')}: {value:.4f}")
+
+# Output:
+# 31-Jan-2020: 100.0000
+# 03-Feb-2020: 99.6343
+# 04-Feb-2020: 98.5948
+# 05-Feb-2020: 99.9743
+# 06-Feb-2020: 99.6348
+# 07-Feb-2020: 99.7417
+# 10-Feb-2020: 100.7397
+# 11-Feb-2020: 100.0205
+# 12-Feb-2020: 99.7022