/satan/r_test.php

<?php

/*
 * BACKGROUND:
 * There is a black box trading system.  In 2008, the system was fully functional.  A statistician
 * used SAS software to optimize the variable values that the system uses.  Since 2008, the system
 * has been rewritten several times.  New features and variables have been added, but the original
 * variables and basic functionality remain the same.  The previous statisical analysis determined
 * the best way to optimize the variables.  The analysis seems correct.  New random tests were run
 * and the results matched what the statistician predicted.  Now that the system has new features,
 * a new statistical analysis needs to be performed.  That will help determine the best values for
 * the newly added variables.  Also, more test data will be used.  The goal is to use R scripts to
 * optimize the variable values.  Moreover, since there are more variables (and 'too many' values)
 * R will have to guess the optimal values since brute force testing is not feasible.  Ultimately,
 * the goal is to design the R scripts so that statistical analysis tests can be run automatically
 * in the future every 6 months.
 *
 * This r_test.php file is designed to mimic the black box system.  Optimal variable values can be
 * manually set, and then tests can be run to make sure the R script successfully guesses the best
 * values for each variable. The "goodness value" that shows how the black box system performed is
 * stored in the database in a column named "rank".
 *
 *
 * INSTRUCTIONS:
 * . Review the previous statistical analysis at http://caLLLendar.com/pub/analysis/
 * The previous statistical analysis describes the various methods used to determine the optimal
 * variable values.  It also lists the important variables that have the most influence.  Please
 * use it as a guide when creating the new R scripts.  Also, note the behavior of the variables.
 *
 * . Review the PHP code below.
 * The purpose of this r_test.php file is to mimic the behavior of the black box system.  Briefly
 * review the code in the score() method below.  The score() method is used to calculate a "rank"
 * value based on the variable values.
 *
 * . Make recommendations for modifying r_test.php
 * r_test.php is designed to mimic the black box trading system. Please determine if the score is
 * calculated in such a way as to effectively mimic the system used in the previous analysis.  It
 * may be important to have the individual variables perform in the same way they did before.  If
 * so, please recommend changes that should be made to make r_test.php more authentic.
 *
 * Variable relationships
 *
 * 3. Write the R script that will optimize the variables
 * Use the previous statistical analysis (http://caLLLendar.com/pub/analysis/ ) as a guide. The
 * analisys was successful in predicting the performance of the variable settings that it chose.
 * Note: The idea is that the optimal values in r_test.php can be manually set. Then, the R code
 * will be run and it will be clear if it is able to find those manually set optimal values.
 *
 * Once the R script is integrated into the php below, r_test.php will be called.
 *
 * Here is the process.
 * . r_test is called
 * . The database and tables are set up.  Default values are added to the `settings` table.
 * . The R script (hereafter called "R") is called.
 * . R will find an empty `backtests` table.
 * . R will guess the variable settings to test.
 * . R will update the `settings` table with the variable values that should be tested.
 * . r_test will create rows in the `backtests` tables.
 * . r_test will mimic the black box system by calculating fake `rank` values.
 * . r_test repeats / loops.
 * . R is called again and finds a `backtest` table that includes results.
 * . R will guess what values to test based on the `rank` column in the `backtests` table.
 * . R will determine if the variables are sufficiently optimized.
 * . If R thinks the testing process is complete, it will update the `settings` table.
 * . r_test will stop looping.
 *
 * Here are the goals:
 * . Find the optimal values.
 * . Sharpe ratio
 * . Minimize / Maximize values
 * . How much money is needed (Kelly Criterion), how many times to profit?
 * . http://calllendar.com/pub/backtest-optimization.txt
 *
 */


// Run the R optimization test
$r_test = new r_test();

class r_test
{
  private $sett, $parent_insertq, $child_insertq;


  public function __construct()
  {

    do {
      $this->setup_database();

      $this->setup_settings();

      $this->call_r();

      $this->setup_testresults();

      $this->setup_positions();

      $this->rank();

      $brake = $this->stop_testing();

    } while( $brake == 'no' );

  }



  private function stop_testing()
  {
    /*
     * CONCEPT:
     * test_r->stop_testing() stops the optimization process
     * after R records "brake = yes" in the settings table.
     *
     * CAUTION:
     */

    list( $brake ) = mysql_fetch_row( mysql_query("SELECT `value` FROM `settings`
      WHERE `name` = 'backtestbrake' " ));

    if( $brake === 'yes' )
    {
      echo "Optimization is complete. ";
    }

    return $brake;
  }



  private function setup_database()
  {
    /*
     * CONCEPT:
     * r_test->setup_database() sets up the database and tables needed for R.
     *
     * CAUTION:
     */

    // Connect to the mySQL server
    $connect = mysql_connect( 'localhost', 'root', 'OlV734A' )
      or die( "Unable to connect to server!" );

    // Connect to the database
    $select = mysql_select_db( 'r_test', $connect )
      or die( "Could not select database ( `r_test` )
      using [ localhost ] connection code" );

    // Create the database that corresponds with the account set in  configure
    mysql_query( "CREATE DATABASE IF NOT EXISTS `r_test` " );

    // Create the `settings` table
    mysql_query( "CREATE TABLE `settings`
      (name char(24) NOT NULL,
        port int(3) NOT NULL,
        value char(64) NOT NULL,
        KEY `name` (`name`, `port`),
    KEY `port` (`port`,`name`) )
    ENGINE=InnoDB " );

    // Create the table that holds the test results
    mysql_query( "CREATE TABLE IF NOT EXISTS `backtests` ( " .
      // id to make it easy to update test results
      "`id` int(10) unsigned NOT NULL auto_increment, " .

      // godprofit - setprofit = rank
      "`rank` int(10) DEFAULT NULL, " .
      // The percentage profit (or loss) between the startcash and godresult
      "`godprofit` int(11) NOT NULL DEFAULT '0', " .
      // The percentage profit (or loss) between the startcash and setresult
      "`setprofit` int(11) NOT NULL DEFAULT '0', " .

      // The place to store the failure message
      "`fail` text NOT NULL, " .

      // The total amount of cash the client puts in the brokerage account before god runs.
      "`startcash` decimal(10,2) NOT NULL DEFAULT '0.00', " .
      // The actual amount of money the position ended with
      "`godresult` decimal(10,2) NOT NULL DEFAULT '0.00', " .

      // startdate is the day the symbols are seleted on. The test process walks forward in time from startdate.
      "`startdate` date NOT NULL DEFAULT '0000-00-00', " .
      // The number of days between the startdate and the last day of trading
      "`duration` int(5) NOT NULL DEFAULT '0', " .
      // enddate is startdate + duration (days) (plus any extra time backtest needs to sell off all positions)
      "`enddate` date NOT NULL DEFAULT '0000-00-00', " .

      // The lowest price a symbol can be on the startdate
      "`startquote` decimal(10,2) NOT NULL DEFAULT '0.00', " .

      // The position number of the test result
      "`position` int(3) NOT NULL DEFAULT '0', " .
      // Internal variable that may affect results
      "`selldegree` int(3) NOT NULL DEFAULT '0', " .

      // The broker commission schedule used for the test
      "`broker` varchar(3) NOT NULL DEFAULT '', " .
      // Use R to select symbols
      "`select_r` varchar(3) NOT NULL DEFAULT '', " .
      // The set of symbols picked by R (based on their price correlation)
      "`symbols` text NOT NULL, " .
      // The diversify=yes forces god to avoid buying a symbol for more than one position
      "`diversify` varchar(3) NOT NULL DEFAULT '', " .

      // The hold=yes temporarily prevents god from selling a symbol with a rising price
      "`hold` varchar(3) NOT NULL DEFAULT '', " .
      // The number of positions processed during the test
      "`positions` int(3) NOT NULL DEFAULT '0', " .
      // The number of symbols selected for the set
      "`quantity` int(3) NOT NULL DEFAULT '0', " .
      // The sharebuffer setting god uses solely
      "`sharebuffer` int(11) NOT NULL DEFAULT '0', " .
      // The number of transactions that god executed
      "`transactions`  int(11) NOT NULL DEFAULT '0', " .

      // The max amount of overall profit before triggering a stop
      "`profitlimitpercent` int(3) NOT NULL DEFAULT '0', " .
      // The max amount of overall loss before triggering a stop
      "`stoplosspercentage` int(3) NOT NULL DEFAULT '0', " .
      // The max percentage profit after buying a symbol before triggering a stop
      "`buystop_percentage` int(3) NOT NULL DEFAULT '0', " .
      // The max amount of loss after buying a symbol before triggering a stop
      "`sellstoppercentage` int(3) NOT NULL DEFAULT '0', " .
      // The max amount of loss from a high price before triggering a stop
      "`trailingpercentage` int(3) NOT NULL DEFAULT '0', " .
      // The percentage of slippage before triggering a stop
      "`pricebufferpercent` int(3) NOT NULL DEFAULT '0', " .

      // Setting KEYS increased performance
      "KEY `id` (`id`), " .

      "KEY `rank` (`rank`), " .
      "KEY `godprofit` (`godprofit`), " .
      "KEY `setprofit` (`setprofit`), " .

      "KEY `startcash` (`startcash`), " .
      "KEY `godresult` (`godresult`), " .

      // fail key not needed

      // startdate key not needed
      "KEY `startquote` (`startquote`), " .

      "KEY `position` (`position`), " .
      "KEY `selldegree` (`selldegree`), " .

      "KEY `broker` (`broker`), " .
      "KEY `select_r` (`select_r`), " .
      // symbols key not needed
      "KEY `diversify` (`diversify`), " .

      "KEY `duration` (`duration`), " .
      // enddate key not needed

      "KEY `hold` (`hold`), " .
      "KEY `positions` (`positions`), " .
      "KEY `quantity` (`quantity`), " .
      "KEY `sharebuffer` (`sharebuffer`), " .
      "KEY `transactions` (`transactions`), " .

      "KEY `profitlimitpercent` (`profitlimitpercent`), " .
      "KEY `stoplosspercentage` (`stoplosspercentage`), " .
      "KEY `buystop_percentage` (`buystop_percentage`), " .
      "KEY `sellstoppercentage` (`sellstoppercentage`), " .
      "KEY `trailingpercentage` (`trailingpercentage`), " .
      "KEY `pricebufferpercent` (`pricebufferpercent`) ) ENGINE=InnoDB" );

    echo "Database and tables are setup<br> ";
  }



  private function setup_positions()
  {
    /*
     * CONCEPT:
     *
     * CAUTION:
     */


    // Delete the tests
    mysql_query("DELETE FROM `backtests` " );

    // Insert the basic tests
    for( $i = 1; $i <= 9; $i++ )
    {
      mysql_query("$this->parent_insertq");
      mysql_query("$this->child_insertq");
      mysql_query("UPDATE `backtests` SET `position` = '$i' WHERE `position` = '' ");
    }

  }



  private function setup_testresults()
  {
    /*
     * CONCEPT:
     *
     * CAUTION:
     */


    $settingsq = mysql_query("SELECT name,value FROM `settings` ");

    $testarray = array();

    while( list( $name, $value ) = mysql_fetch_array( $settingsq ) )
    {
      $$name = $value;
    }

    // Make the parent
    $this->parent_insertq = "INSERT INTO `backtests` SET
      `startcash` = '1000',
      `startdate` = '2012-03-17',
      `duration` = '360',
      `startquote` = '1.00',
      `broker` = '0',
      `select_r` = 'yes',
      `symbols` = 'ASTC,RHAT',
      `diversify` = 'no',
      `hold` = 'no',
      `positions` = '9',
      `quantity` = '24',
      `sharebuffer` = '0',
      `profitlimitpercent` = '10000',
      `stoplosspercentage` = '1',
      `buystop_percentage` = '1000',
      `sellstoppercentage` = '1',
      `trailingpercentage` = '1',
      `pricebufferpercent` = '0' ";

    // Make a child
    $this->child_insertq = "INSERT INTO `backtests` SET
      `startcash` = '$startcash',
      `startdate` = '2012-03-17',
      `duration` = '$duration',
      `startquote` = '$startquote',
      `broker` = '$broker',
      `select_r` = '$select_r',
      `symbols` = 'ASTC,RHAT',
      `diversify` = '$diversify',
      `hold` = '$hold',
      `positions` = '9',
      `quantity` = '$quantity',
      `sharebuffer` = '$sharebuffer',
      `profitlimitpercent` = '$profitlimitpercent',
      `stoplosspercentage` = '$stoplosspercentage',
      `buystop_percentage` = '$buystop_percentage',
      `sellstoppercentage` = '$sellstoppercentage',
      `trailingpercentage` = '$trailingpercentage',
      `pricebufferpercent` = '$pricebufferpercent' ";
  }



  private function setup_settings()
  {
    /*
     * CONCEPT:
     *
     * CAUTION:
     * 'position' will NOT be stored or set in the `settings` table.
     */

    $this->sett = array(
      'broker_min' => '0',
      'broker_max' => '3',
      'broker_opt' => '1',
      'buystop_percentage_min' => '100',
      'buystop_percentage_max' => '1000',
      'buystop_percentage_opt' => '800',
      'diversify_min' => 'no',
      'diversify_max' => 'yes',
      'diversify_opt' => 'yes',
      'duration_min' => '1',
      'duration_max' => '360',
      'duration_opt' => '90',
      'hold_min' => 'no',
      'hold_max' => 'yes',
      'hold_opt' => 'no',
      'position_min' => '1',
      'position_max' => '9',
      'position_opt' => '3',
      'pricebufferpercent_min' => '1',
      'pricebufferpercent_max' => '25',
      'pricebufferpercent_opt' => '10',
      'profitlimitpercent_min' => '1',
      'profitlimitpercent_max' => '10000',
      'profitlimitpercent_opt' => '5555',
      'quantity_min' => '2',
      'quantity_max' => '24',
      'quantity_opt' => '12',
      'select_r_min' => 'no',
      'select_r_max' => 'yes',
      'select_r_opt' => 'yes',
      'selldegree_min' => 'no',
      'selldegree_max' => 'yes',
      'selldegree_opt' => 'yes',
      'sellstoppercentage_min' => '1',
      'sellstoppercentage_max' => '100',
      'sellstoppercentage_opt' => '51',
      'sharebuffer_min' => '0',
      'sharebuffer_max' => '3000',
      'sharebuffer_opt' => '444',
      'startcash_min' => '100',
      'startcash_max' => '1000',
      'startcash_opt' => '333',
      'startquote_min' => '0.10',
      'startquote_max' => '50',
      'startquote_opt' => '2.22',
      'stoplosspercentage_min' => '1',
      'stoplosspercentage_max' => '100',
      'stoplosspercentage_opt' => '75',
      'trailingpercentage_min' => '1',
      'trailingpercentage_max' => '100',
      'trailingpercentage_opt' => '11' );

    mysql_query("DELETE FROM `settings` " );
    // maximize / minimize
    $sett[] = array('broker', 'base' => 0, 'min' => 0, 'max' => 3, 'type' => 'int', 'opt' => '1');
    $sett[] = array('buystop_percentage', 'base' => 0, 'min' => 100, 'max' => 1000, 'type' => 'int', 'opt' => '800');
    $sett[] = array('diversify', 'base' => 'no', 'min' => 'no', 'max' => 'yes', 'type' => 'yesno', 'opt' => 'yes');
    $sett[] = array('duration', 'base' => 1, 'min' => 1, 'max' => 360, 'type' => 'int', 'opt' => '90');
    $sett[] = array('hold', 'base' => 'no', 'min' => 'no', 'max' => 'yes', 'type' => 'yesno', 'opt' => 'no');
    $sett[] = array('position', 'base' => 1, 'min' => 1, 'max' => 9, 'type' => 'int', 'opt' => '3');
    $sett[] = array('pricebufferpercent', 'base' => 0, 'min' => 0, 'max' => 25, 'type' => 'int', 'opt' => '10');
    $sett[] = array('profitlimitpercent', 'base' => 100, 'min' => 0, 'max' => 10000, 'type' => 'int', 'opt' => '5555');
    $sett[] = array('quantity', 'base' => 3, 'min' => 2, 'max' => 24, 'type' => 'int', 'opt' => '12');
    $sett[] = array('select_r', 'base' => 'no', 'min' => 'no', 'max' => 'yes', 'type' => 'yesno', 'opt' => 'yes');
    $sett[] = array('selldegree', 'base' => 1, 'min' => 1, 'max' => 9, 'type' => 'int', 'opt' => ''); // ???
    $sett[] = array('sellstoppercentage', 'base' => 36, 'min' => 1, 'max' => 100, 'type' => 'int', 'opt' => '51');
    $sett[] = array('sharebuffer', 'base' => 400, 'min' => 0, 'max' => 3000, 'type' => 'int', 'opt' => '444');
    $sett[] = array('startcash', 'base' => 200, 'min' => 100, 'max' => 1000, 'type' => 'int', 'opt' => '333');
    $sett[] = array('startquote', 'base' => 1, 'min' => 0.10, 'max' => 50, 'type' => 'int', 'opt' => '2.22');
    $sett[] = array('stoplosspercentage', 'base' => 10, 'min' => 1, 'max' => 100, 'type' => 'int', 'opt' => '75');
    $sett[] = array('trailingpercentage', 'base' => 36, 'min' => 1, 'max' => 100, 'type' => 'int', 'opt' => '11');

    // Set a class-wide variable for the settings
    foreach( $sett AS $index => $setting )
    {
      $r_value = $this->set_random( $setting );

      echo "setting = [ " . $setting[0] . " ] default = [ " . $r_value . " ]<br> ";

      mysql_query("INSERT INTO `settings` SET
        `name` = '" . $setting[0] . "',
        `value` = '" . $r_value . "' ");
    }

    mysql_query("INSERT INTO `settings` SET `name` = 'backtestbrake', `value` = 'no' ");
    mysql_query("INSERT INTO `settings` SET `name` = '', `value` = '' ");

    echo "Done inserting default settings into the `settings` table.<br> ";
  }



  private function call_r()
  {
    /*
     * CONCEPT:
     * test_r->call_r() calls R. Then, R will . . .
     * 1. Check the `backtests` table.
     * 2. Determine what variable settings to optimize.
     * 3. Update the values in the `settings` table.
     * 4. Determine if the settings are completely opitimized.
     * 5. IF the settings are optimized insert brake = 'yes' in the settings table.
     *
     * R should try to . . .
     * maximize buystop_percentage
     * minimize duration
     * maximize profitlimitpercent
     * maximize pricebufferpercent
     * minimize quantity
     * minimize sellstoppercentage
     * maximize sharebuffer
     * minimize startcash
     * minimize stoplosspercentage
     * minimize trailingpercentage
     *
     * CAUTION:
     * Make sure that R updates 'backtestbrake' to 'yes' in the `settings` table.
     */


    // Call R

    // Remove this line after R is able to set the backtestbrake
    mysql_query("UPDATE `settings` SET `value` = 'yes' WHERE `name` = 'backtestbrake' ");
  }



  private function score( $test_settings )
  {
    /*
     * CONCEPT:
     *
     * CAUTION:
     */


    // print_r($test_settings);
    // print_r($this->sett);
    foreach( $test_settings AS $setting => $value )
    {
      if( $setting !== 'id' )
      {
        echo "setting = $setting , value = $value <br>";

        $opt = $this->sett[$setting . '_opt'];
        $opt = $value; // ??? Remove this line
        $max = $this->sett[$setting . '_max'];

        // Convert yesno values
        if( $max === 'yes' )
        {
          $max = 2;
        }
        elseif( $max === 'no' )
        {
          $max = 1;
        }

        if( $opt === 'yes' )
        {
          $opt = 2;
        }
        elseif( $opt === 'no' )
        {
          $opt = 1;
        }

        if( $value === 'yes' )
        {
          $value = 2;
        }
        elseif( $value === 'no' )
        {
          $value = 1;
        }

        if( $opt > $value )
        {
          $difference = $opt - $value;
        }
        else
        {
          $difference = $value - $opt;
        }

        // echo "difference = $difference<br>";

        $subset = $max - $difference;
        $decimal = $subset / $max;
        $percent = floor( $decimal * 100 );

        // echo "value = $value<br>";
        // echo "decimal = $decimal<br>";
        echo "score = $percent<br>";

        // Tally the score
        $score = $score + $percent;
      }
    }

    return $score;
  }



  public function set_random( $setting )
  {
    /*
     * CONCEPT:
     * randomizer() picks a random setting between the min and max
     *
     * CAUTION:
     */


    // say($setting);
    // var_dump($setting);
    // Convert the 'no' and 'yes' to '0' and '1' for the mt_rand() function
    if( $setting['type'] == 'yesno' )
    {
      $setting['max'] = 1;
      $setting['min'] = 0;
    }
    elseif( $setting['type'] == 'string' )
    {
      $emergencies .= "randomizer() was asked to randomize a setting that is a 'string' type";
    }

    // Set the '' to 0 on the $settings that have 0 as the minimum value
    $setting['min'] = ( !$setting['min'] ) ? 0 : $setting['min'];

    // If the setting is startquote, use a minimum of 1
    if( $setting === 'startquote' )
    {
      // Multiply the max startquote by 100 to make room for change
      $maxed_quote = $setting['max'] * 100;

      // Make some random change (starting as low as $0.10)
      $change = mt_rand( 10, $maxed_quote );

      // Divide by 100 to get the dollars and cents
      $rand = $change / 100;

      // Convert to a string for easy comparison
      $rand = strval( $rand );
    }
    else
    {
      // Get a random number
      $rand = mt_rand( $setting['min'], $setting['max'] );
    }

    if( $setting['type'] == 'yesno' )
    {
      // If the type is 'yesno' convert the random number back to 'yes' or 'no'
      $rand = ( $setting['type'] == 'yesno' && $rand == 1 ) ? 'yes' : 'no';
    }

    // echo $rand;
    return $rand;
  }



  private function rank()
  {
    /*
     * CONCEPT:
     *
     * CAUTION:
     */

    // Calculate the rank for each position

    $resultq = "SELECT `id`,`startcash`,`duration`,`startquote`,`position`,`broker`,`select_r`,
      `diversify`,`hold`,`quantity`,`sharebuffer`,`transactions`,`profitlimitpercent`,`stoplosspercentage`,
      `buystop_percentage`,`sellstoppercentage`,`trailingpercentage`,`pricebufferpercent` FROM `backtests`
      WHERE `rank` IS NULL ";

    // echo "$resultq<br>";

    $result = mysql_query("$resultq");

    while( list( $id, $startcash, $duration, $startquote, $position, $broker, $select_r,
      $diversify, $hold, $quantity, $sharebuffer, $transactions, $profitlimitpercent, $stoplosspercentage,
      $buystop_percentage, $sellstoppercentage, $trailingpercentage, $pricebufferpercent ) =
      mysql_fetch_row( $result ) )
    {
      $test_settings = array(
        'id' => "$id",
        'startcash' => "$startcash",
        'duration' => "$duration",
        'startquote' => "$startquote",
        'position' => "$position",
        'broker' => "$broker",
        'select_r' => "$select_r",
        'diversify' => "$diversify",
        'hold' => "$hold",
        'quantity' => "$quantity",
        'sharebuffer' => "$sharebuffer",
        'pricebufferpercent' => "$pricebufferpercent",
        'profitlimitpercent' => "$profitlimitpercent",
        'stoplosspercentage' => "$stoplosspercentage",
        'buystop_percentage' => "$buystop_percentage",
        'sellstoppercentage' => "$sellstoppercentage",
        'trailingpercentage' => "$trailingpercentage",
        'pricebufferpercent' => "$pricebufferpercent" );

      // Calculate the score for the test
      $total_score = $this->score( $test_settings );
      echo "total_score = [ $total_score ]<br> ";

      // Alter the score randomly ?
      $t_score_min = $total_score - ( $total_score * 0.25 );
      $t_score_max = $total_score + ( $total_score * 0.20 );
      $rank = mt_rand( $t_score_min, $t_score_max );

      echo "t_score_min = [ $t_score_min ]<br>";
      echo "t_score_max = [ $t_score_max ]<br>";
      echo "rank = [ $rank ] ";

      // Record the rank
      mysql_query("UPDATE `backtests` SET `rank` = '" . $rank . "'
        WHERE `id` = '" . $id . "' ");
    }

  }


}

?>