****************************************************************** clear version 13.0 set more off use C:\Users\Toby\Desktop\JOHN_PUB\basis\BS_noupper.dta, clear // set strategy output dataset *use C:\Users\Toby\Desktop\JOHN_PUB\basis\BS_nolower.dta, clear // set strategy output dataset *use C:\Users\Toby\Desktop\JOHN_PUB\basis\basis_mom.dta, clear // set strategy output dataset tsset date *drop if date tm(1979m12) *drop if date tm(1999m12) drop if date tm(2017m12) loc var BS_Mom ***MaxDD & DDLength**** gen cumret`var'= exp(sum(ln(`var'+1))) gen maxcumret`var'= max(cumret`var', cumret`var'[_n-1]) replace maxcumret`var'=max(maxcumret`var', maxcumret`var'[_n-1]) gen drawdown`var' = cumret`var' / maxcumret`var' -1 gen ddlength`var' = drawdown`var' replace ddlength`var' = ddlength`var'[_n-1] + 1 if drawdown`var' !=0 sum drawdown`var' loc MaxDD`var' = r(min) gen dd`var' = r(min) // this is making sure that the restriction used in ddlength1 has a value sum dd`var' gen ddlength1`var' = ddlength`var' if drawdown`var' == r(mean) sum ddlength1`var' loc DDlength`var' = r(mean) ***MaxRU & Rulength*** gen runup`var' = `var' replace runup`var'=0 if drawdown`var'<0 gen rulength`var' = runup`var' replace rulength`var' = rulength`var'[_n-1] + 1 if runup`var' !=0 replace runup`var'= runup`var'+ runup`var'[_n-1] if rulength`var'[_n-1] !=0 replace runup`var'=0 if runup`var'[_n-1]==runup`var' sum runup`var' loc MaxRU`var' = r(max) gen ru`var'=r(max) sum ru`var' gen rulength1`var' = rulength`var' if runup`var' == r(mean) sum rulength1`var' loc RUlength`var'= r(mean) ***VaR*** centile `var', centile(5 1) meansd loc VaR95`var'= r(c_1) * -1 loc VaR99`var'= r(c_2) * -1 ***VaR(Cornish-Fisher) sum `var', d loc tot`var' = r(N) loc ret`var'= r(mean) loc sd`var' = r(sd) loc skew`var'= r(skewness) loc kurt`var'= r(kurtosis) loc max`var'= r(max) loc min`var'= r(min) loc quant99`var'=invnormal(0.01) loc quant95`var'=invnormal(0.05) loc zcf99`var'= `quant99`var'' + (`quant99`var''^2-1)* `skew`var''/6 + (`quant99`var''^(3)-3*`quant99`var'')*`kurt`var''/24 -(2*`quant99`var''^(3)-5*`quant99`var'')*`skew`var''^(2)/36 loc zcf95`var'= `quant95`var'' + (`quant95`var''^2-1)* `skew`var''/6 + (`quant95`var''^(3)-3*`quant95`var'')*`kurt`var''/24 -(2*`quant95`var''^(3)-5*`quant95`var'')*`skew`var''^(2)/36 loc mVaR99`var'= `ret`var'' + `sd`var''*`zcf99`var'' * -1 loc mVaR95`var'= `ret`var'' + `sd`var''*`zcf95`var'' * -1 ***mean return*** gen gm`var'= `var' + 1 ameans gm`var' loc agmean`var' = (r(mean_g)-1)* 12 loc aamean`var' = (r(mean)-1)* 12 ***SD of return*** sum `var' loc asd`var'=r(sd) * sqrt(12) ***t-stats*** reg `var' mat a1=r(table) loc tstat`var'=a1[3,1] ***Sharpe% & Modified Sharpe%*** gen exret`var' = `var' // *"-rf" deleted for sotino ratio gen negexret`var' = exret`var' replace negexret`var' =. if exret`var' > 0 sum exret`var' loc exret`var' = (1+r(mean))^12 -1 //annulized excess return loc rewrisk`var' = `aamean`var''/`asd`var'' //loc sharpe`var' = `exret`var''/ `asd`var'' (Removed) loc msharpe`var' = `exret`var''/ (`mVaR99`var'' * sqrt(12)) //**mVar99CF only** ***Sortino%*** sum negexret`var' loc dsrisk`var'= r(sd) loc sortino`var' = `exret`var''/ (`dsrisk`var''* sqrt(12)) loc adssd`var'= `dsrisk`var'' * sqrt(12) ***M^2*** // gen M^2 `var' = RFR + (`var'sharpe) * sdev(GSCI benchmark) // loc M^2 ... ***Omega*** ***%postive month*** count if `var' >0 loc pmon`var'= r(N) / `tot`var'' //***rolling mean*** //mvsumm `var', stat(mean) win(12) gen(roll12`var') end //sum roll12`var' //loc maxroll`var'= r(max)* 12 //loc minroll`var'= r(min)* 12 *********************************************************************************************** mat input indstat`var' = (`aamean`var'' `tstat`var'' `agmean`var'' `asd`var'' `adssd`var'' /// `rewrisk`var'' `sortino`var'' `skew`var'' /// `kurt`var'' `max`var'' `min`var'' `VaR95`var'' `mVaR95`var'' /// `VaR99`var'' `mVaR99`var'' `pmon`var'' `MaxDD`var'' `DDlength`var'' `MaxRU`var'' /// `RUlength`var'') mat rownames indstat`var' = `var' mat colnames indstat`var' = "Annualized arithmetic mean" "t-statistics" "Annualized geometric mean" "Annualized volatility" /// "Annualized downside volatility" "Reward/Risk Ratio" "Sortino Ratio" /// "Skewness" "Kurtosis" "Max monthly gain" "Max monthly loss" "95%VaR" "95%VaR(Cornish-Fisher)" "99%VaR" "99%VaR(Cornish-Fisher)" /// "% of positive months" "Maximum Drawdown" "Drawdown Length (months)" "Max Run-up (consecutive)" "Runup Length (months)" /// mat `var'_indstat`var'= indstat`var'' *********************************************************************************************** matrix `var'= `var'_indstat`var' //matrix `var' = `var', `var'_indstat`var' //ssc install estout // (Package install) estout matrix(`var', fmt("4 2 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 0 4 0")) using iStat_`var'.csv, replace ********************************************************