dfdb_port_opt.m

Efficient frontier from Yahoo or database data.

function dfdb_port_opt(varargin)
% DFDB_PORT_OPT Database/Datafeed Portfolio Optimizer - Graphical User Interface.
% 	DFDB_PORT_OPT imports security time series data from Yahoo or a database,
%     plots it, and then computes the efficient frontier of a portfolio made up of
%     the securities.
% 
% Toolboxes Needed: Financial, Optimization, Statistics, Database, Datafeed
% 
% Setup:
% Set up a datasource though ODBC on Windows from the assets2000.mdb database 
% called DFDBsample. There is an explanation of how to do this in the Database 
% Toolbox User抯 Guide.
% 
% Selecting Data Inport Method:
% Pull down the Filee menu, select Preferences, then Data Source. 
% Once inside Data Source, select either Datafeed or Database.
% 
% Importing Time Series Data:
% If using the Datafeed option:
% Type the Yahoo recognized symbols of the securities you wish to use in the 
% editable text box, labeled "Enter Symbols Separated by Commas." Enter as many 
% securities as you wish. Symbols need to be separated by commas.  Use the "Help ->
% Symbol Lookup" menu for assistance.
% 
% Example:
% ibm,msft,csco
% 
% Select a starting date for the time series to be imported. If on a PC, an 
% ActiveX calendar may be brought up to view and select a date. The time series 
% ends with the yesterday's closing price.
% 
% If using the Database option:
% Use the "Select Data" window to select the Data Source and fields from the 
% database. Clicking the "Apply" button will send the Date and Asset choices for 
% importing. The database option does not allow setting the startdate. Also, 
% the database set up to work with this tool is DFDBsample. The time series date 
% range stored in DFDBsample is from January 2, 1997 to December 8, 2000.
%     
% To import the time series data and plot it, press the button labeled, 
% "Get Time Series." To Scale the time series data to one, select the
% checkbox labelled "Scale Time Series."
% 
% Plotting Efficient Frontier:
% Press the button, "Generate Frontier." Make sure that the data has been loaded 
% before attempting to generate the frontier.
% 
% Find the Security Distribution Given a Desired Rate of Return:
% Enter the desired rate of return or desired risk in the appropriate editable 
% text box. The number entered needs to be within the upper and lower bounds 
% shown in red. The fraction of each security in your portfolio needed to reach 
% the desired rate of return or risk will then be shown underneath. This can also 
% be done graphically by dragging the green lines along the efficient frontier.

%   Author:  Brian Kiernan
%     Date:  May 21, 2001


if nargin == 0
    call = 'Setup';
    shh = get(0,'ShowHiddenHandles');
    set(0,'ShowHiddenHandles','on')
    F1 = findobj(0,'tag','dfdbportopt');
    set(0,'ShowHiddenHandles',shh);
    if ~isempty(F1)
        figure(F1)
        return
    end
else
    call = varargin{1};
end

if ~ispref('DFDBpref','datainput')
    setpref('DFDBpref','datainput','df')
end

if ~ispref('DFDBpref','scaling')
    setpref('DFDBpref','scaling','on')
end
    

persistent cal

switch call

case 'Setup'
    % Create GUI
    
    screenRect  = get(0,'screensize');

    F1=hgload('mymenufile.fig');
    fpos = get(F1,'pos');
    
    set(F1,'pos',[20 screenRect(4)-fpos(4)-50 fpos(3) fpos(4)],'defaultaxesunits','norm', ...
        'defaultuicontrolunits','norm','defaultuicontrolfontsize',9,'defaulttextfontsize',9, ...
        'defaulttextcolor','b','menubar','none','numbertitle','off','name', ...
        'Data Input Portfolio Optimization','tag','dfdbportopt','closerequestfcn', ...
        'dfdb_port_opt(''Closecall'')');
    
    prefmenu = uimenu(F1,'label','&Preferences','separator','on');
    datasourcemenu = uimenu(prefmenu,'label','&Data Source');
      dataf=uimenu(datasourcemenu,'label','datafeed','tag','dfmen','callback', ...
          'setpref(''DFDBpref'',''datainput'',''df''); dfdb_port_opt(''Datasource'');');
      datab=uimenu(datasourcemenu,'label','database','tag','dbmen','callback', ...
          'setpref(''DFDBpref'',''datainput'',''db''); dfdb_port_opt(''Datasource'')');
     
          pref = getpref('DFDBpref','datainput');
          if strcmp(pref,'df')
              set(findobj(gcf,'tag','dfmen'),'checked','on')
              set(findobj(gcf,'tag','dbmen'),'checked','off')
          elseif strcmp(pref,'db')
              set(findobj(gcf,'tag','dbmen'),'checked','on')
              set(findobj(gcf,'tag','dfmen'),'checked','off')
          end
    
          
    helpmenu = uimenu(F1,'label','Help');
      toolhelp = uimenu(helpmenu,'label','&DFDB_Port_Opt Help','callback', ...
        'dfdb_port_opt(''Helppage'')');
      symlookup = uimenu(helpmenu,'label','Symbol Lookup','callback','dfdb_port_opt(''Yahoosym'')');
      
%     C = yahoo;
%     if ~isconnection(C)
%         set(symlookup,'enable','off')
%     end
%     clear C
    
    closemenu = uimenu(findobj(F1,'label','&File'),'label','Close', ...
        'callback','dfdb_port_opt(''Closecall'')');
    
    
	Tseries = axes('pos',[.4 .57 .52 .39],'tag','tsax');
    set(Tseries,'xtick',0:.2:1,'ytick',0:.2:1);
    set(gca,'fontsize',8,'xticklabel','','yticklabel','')
    xlabel('Time')
	Ylabel('Price')
	title('Time Series','color','k')
    grid on
   	
	Effront = axes('units','norm','pos',[.4 .07 .52 .39],'tag','efax');
	set(Effront,'xtick',0:.2:1,'ytick',0:.2:1);
    set(gca,'fontsize',8,'xticklabel','','yticklabel','')
    xlabel('Volatility (\sigma)')
	ylabel('Rate of Return')
	title('Efficient Frontier','color','k')
    grid on
      
    axes(Tseries)
    Symbolprompt = uicontrol('style','text','pos',[.01 .95 .33 .03],'fontsize',9, ...
        'string','Enter Symbols Separated by Commas','backgroundcolor',[.8 .8 .8], ...
        'foregroundcolor','b','tag','symp');
	Symbols = uicontrol('style','edit','string','','pos',[.02 .9 .18 .04], ...
        'horizontalalignment','left','backgroundcolor','w','tag','symstr');
    
    Dscall = uicontrol('pos',[.21 .9 .12 .04],'string','Select Data','tag','dsbut', ...
        'callback','DFDB_port_opt(''SelectData'')');
	
    % Starting date of time series
    axes(Tseries)
    
    Startdateprompt = uicontrol('style','text','pos',[.05 .8 .25 .03],'fontsize',9, ...
           'string','Enter Starting Date  (m/d/yyyy)','backgroundcolor',[.8 .8 .8], ...
           'foregroundcolor','b','tag','sdp');
    
    if ispc
        
        Startdatecal = uicontrol('string','View Calendar','pos',[.045 .73 .13 .05], ...
            'callback','dfdb_port_opt(''Calendar'')','tag','calbut');

        Startdatebox = uicontrol('style','edit','string','','pos',[.185 .735 .12 .04], ...
           'backgroundcolor','w','tag','sdstr','callback','dfdb_port_opt(''Datecheck'')');
        
        if isequal(getpref('DFDBpref','datainput'),'db')
            set(Startdatecal,'enable','off')
        end
        
    else
                  
        Startdatebox = uicontrol('style','edit','string','','pos',[.09 .753 .12 .04], ...
           'backgroundcolor','w','tag','sdstr');
    end
    
    if isequal(getpref('DFDBpref','datainput'),'db')
        set(Startdateprompt,'enable','off')
        set(Startdatebox,'string','1/2/1997','enable','off')
    else
        set(Dscall,'enable','off')
    end
        
        
    % scale time series checkbox
    TSscale = uicontrol('style','check','string','Scale Time Series','pos',[.09 .66 .18 .02], ...
        'backgroundcolor',[.8 .8 .8],'callback','dfdb_port_opt(''ScaleTS'')','tag','scalechk', ...
        'foregroundcolor','b');
    
    if strcmp(getpref('DFDBpref','scaling'),'on') == 1
        set(TSscale,'value',1)
    else
        set(TSscale,'value',0)
    end
    
    
    % time series generator button
	TScall = uicontrol('string','Get Time Series','pos',[.07 .57 .2 .05], ...
        'callback','dfdb_port_opt(''GetData'')','tag','tsbut');
	
    % efficient frontier generator button
	Frontiercall = uicontrol('string','Generate Frontier','pos',[.07 .41 .2 .05], ...
        'callback','dfdb_port_opt(''EffFront'')','tag','efbut','enable','off');
	
    % Rate of Return
	axes(Effront);
	Rateofreturnprompt = uicontrol('style','text','pos',[.005 .37 .13 .03],'string', ...
        'Rate of Return','foregroundcolor','b','backgroundcolor',[.8 .8 .8],'tag', ...
        'rorp','enable','off');
    Rateofreturn = uicontrol('style','edit','string','','pos',[.03 .33 .08 .04], ...
        'callback','dfdb_port_opt(''WeightCalcRoR'')','backgroundcolor','w','tag','rorstr', ...
        'enable','off');
    
    Riskprompt = uicontrol('style','text','pos',[.235 .37 .05 .03],'string', ...
        'Risk','foregroundcolor','b','backgroundcolor',[.8 .8 .8],'tag', ...
        'riskp','enable','off');
    
    Risk = uicontrol('style','edit','string','','pos',[.22 .33 .08 .04], ...
        'callback','dfdb_port_opt(''WeightCalcRisk'')','backgroundcolor','w','tag','riskstr', ...
        'enable','off');

        
    % Securites list with corresponding weights
    Securtext = uicontrol('style','text','backgroundcolor',[.8 .8 .8],'foregroundcolor',[.66 0 .11], ...
        'pos',[.06 .295 .1 .028],'string','Securites','fontsize',9,'tag','securtxt','enable','off');
    Securweights = uicontrol('style','text','backgroundcolor',[.8 .8 .8],'foregroundcolor',[.66 0 .11], ...
        'pos',[.17 .295 .1 .028],'string','Weights','fontsize',9,'tag','securwts','enable','off');

    set(F1,'handlevis','callback');

    pref = getpref('DFDBpref','datainput');
    if strcmp(pref,'db')
       DFDB_port_opt('SelectData','start')
    end
    
    
     
    
case 'Datecheck'
    % check for correct date format
    
    Startdatebox = findobj(gcf,'tag','sdstr');
    startdate = get(Startdatebox,'string');
    
    slash = find(startdate == '/');
    
    if length(startdate(slash(end)+1:end)) ~= 4
       err = errordlg('Invalid Date','Enter Starting Date');
       set(err,'windowstyle','modal')
       return
    end
    
    try 
        datenum(startdate);
    catch
        err = errordlg('Invalid Date','Enter Starting Date');
        set(err,'windowstyle','modal')
        return
    end

    
case 'GetData'
    % Retrieve time series from the Yahoo server or from local database.
    
    % clear plots and data from of earlier runs
    %%%%%%%%%%
    Tseries = findobj(gcf,'tag','tsax');
    Effront = findobj(gcf,'tag','efax');
        
    axes(Effront)
    cla(Effront)
    axes(Tseries)
    cla(Tseries)
       
    drawnow

    Rateofreturn = findobj(gcf,'tag','rorstr');
    Rateofreturnprompt = findobj(gcf,'tag','rorp');
    Risk = findobj(gcf,'tag','riskstr');
    Riskprompt = findobj(gcf,'tag','riskp');
    Frontiercall = findobj(gcf,'tag','efbut');
    Securtext = findobj(gcf,'tag','securtxt');
    Securweights = findobj(gcf,'tag','securwts');
    WtText = findobj(gcf,'tag','wttxt');
    WtWeight = findobj(gcf,'tag','wtwt');
    leg = findobj(gcf,'tag','legend');
    Frontleg = findobj(gcf,'tag','frleg');
    
    set(Rateofreturn,'string','')
    set(Risk,'string','')
    delete(WtText)
    delete(WtWeight)
    delete(leg)
    delete(Frontleg)
    clear WtText WtWeight leg Frontleg
    drawnow
    %%%%%%%%%
    
    pref=getpref('DFDBpref','datainput');
    
%     try
        % Read in time series data for entered symbols and separate
        %%%%%%%%%
        Symbols = findobj(gcf,'tag','symstr');
        Strings = get(Symbols,'string');
        wtspace = find(Strings == ' ');
        Strings(wtspace) = [];
        
        commas = find(Strings == ',');
        commas = [0, commas, length(Strings)+1];
        
        symcell = cell(length(commas)-1,1);
        data = cell(length(symcell),1);
        
        for i=1:length(commas)-1
            symcell{i}=Strings(commas(i)+1:commas(i+1)-1);
        end
        %%%%%%%%%
        
        Startdatebox = findobj(gcf,'tag','sdstr');
       
        % test for data source
        if strcmp(pref,'df')
            %
            % Datafeed data input option
            %
            
            try
                C=yahoo;
            catch
                err = errordlg('Connection to Yahoo Failed','Datafeed Connection');
                set(err,'windowstyle','modal')
                return
            end
            
            setappdata(Tseries,'Connection',C);
            
            yesterday = datestr(datenum(date)-1);