classdef app_tesis < matlab.apps.AppBase % Properties that correspond to app components properties (Access = public) BacktestingOptimizacindeportafoliosUIFigure matlab.ui.Figure GridLayout matlab.ui.container.GridLayout LeftPanel matlab.ui.container.Panel SeleccioneLoscostosdeTransaccinButtonGroup matlab.ui.container.ButtonGroup VariablesButton matlab.ui.control.RadioButton Fijos20pbsButton matlab.ui.control.RadioButton SincostosButton matlab.ui.control.RadioButton SeleccioneelfactordeAversinalRiesgoEditField matlab.ui.control.NumericEditField SeleccioneelfactordeAversinalRiesgoLabel matlab.ui.control.Label SeleccioneFechaButtonGroup matlab.ui.container.ButtonGroup Button_6 matlab.ui.control.RadioButton Button_5 matlab.ui.control.RadioButton Button_4 matlab.ui.control.RadioButton Button_3 matlab.ui.control.RadioButton Button_2 matlab.ui.control.RadioButton AccionesseleccionadasLabel matlab.ui.control.Label UITable matlab.ui.control.Table CargueelarchivoquecontieneladataLabel matlab.ui.control.Label Button matlab.ui.control.Button RightPanel matlab.ui.container.Panel GuardarResumenButton matlab.ui.control.Button ResumendeBacktestingMercadoCOLLabel matlab.ui.control.Label UITable2_2 matlab.ui.control.Table ResumendeBacktestingMercadoUSLabel matlab.ui.control.Label UITable2 matlab.ui.control.Table Archivo matlab.ui.container.Menu SalirMenu matlab.ui.container.Menu ContextMenu matlab.ui.container.ContextMenu CopiarMenu matlab.ui.container.Menu end % Properties that correspond to apps with auto-reflow properties (Access = private) onePanelWidth = 576; end properties (Access = private) DialogAPP % Description Nombre_Archivo file indice_fecha indice_transaccion contador lambda_m resumen_metricas resumen_metricas_col annualRiskFreeRate end methods (Access = public) end % Callbacks that handle component events methods (Access = private) % Code that executes after component creation function startupFcn(app) delete(gcp('nocreate')); app.UITable.Visible='off'; app.UITable2.Visible = 'off'; app.UITable2_2.Visible='off'; app.indice_fecha = 1; app.indice_transaccion = 1; app.contador=0; annualRiskFreeRate = 0; app.lambda_m = 0.01; end % Changes arrangement of the app based on UIFigure width function updateAppLayout(app, event) currentFigureWidth = app.BacktestingOptimizacindeportafoliosUIFigure.Position(3); if(currentFigureWidth <= app.onePanelWidth) % Change to a 2x1 grid app.GridLayout.RowHeight = {550, 550}; app.GridLayout.ColumnWidth = {'1x'}; app.RightPanel.Layout.Row = 2; app.RightPanel.Layout.Column = 1; else % Change to a 1x2 grid app.GridLayout.RowHeight = {'1x'}; app.GridLayout.ColumnWidth = {545, '1x'}; app.RightPanel.Layout.Row = 1; app.RightPanel.Layout.Column = 2; end end % Menu selected function: SalirMenu function SalirMenuSelected(app, event) YN = uiconfirm(app.BacktestingOptimizacindeportafoliosUIFigure,'Desea cerrar la aplicación?', 'Cerrar'); if strcmpi(YN,'OK') delete(app) end end % Close request function: % BacktestingOptimizacindeportafoliosUIFigure function BacktestingOptimizacindeportafoliosUIFigureCloseRequest(app, event) YN = uiconfirm(app.BacktestingOptimizacindeportafoliosUIFigure,'Desea cerrar la aplicación?', 'Cerrar'); if strcmpi(YN,'OK') delete(app) end end % Button pushed function: Button function ButtonPushed(app, event) %variable contador que sirve para habilitar las figuras delete(gcp('nocreate')); % Selecciona el archivo de excel con los precios de cierre [file,path] = uigetfile({'*.xlsx'},... 'Seleccione Archivo'); %Asigna a la variable Nombre_Archivo el valor de file if isnumeric(file) || isnumeric(path) errordlg('Debe Seleccionar un Archivo.','Error'); else app.lambda_m= app.SeleccioneelfactordeAversinalRiesgoEditField.Value; app.contador=app.contador+1 app.Nombre_Archivo=file; % lee el arcihivo y lo almacena como una tabla Tabla_usa = readtable(app.Nombre_Archivo,'Sheet','US'); benchmark_usa = readtable(app.Nombre_Archivo,'Sheet','S&P 500 index'); Tabla_col = readtable(app.Nombre_Archivo,'Sheet','COL'); benchmark_col = readtable(app.Nombre_Archivo,'Sheet','Colcap index'); %% Guarda los tickers de la tabla ignorando la columna fecha assetSymbols = Tabla_usa.Properties.VariableNames(2:length(Tabla_usa.Properties.VariableNames)); assetSymbols_col = Tabla_col.Properties.VariableNames(2:length(Tabla_col.Properties.VariableNames)); %benchmark_usa_Symbol = ["GSPC"]; benchmark_usa_Symbol = benchmark_usa.Properties.VariableNames(2); benchmark_col_Symbol = benchmark_col.Properties.VariableNames(2); % define la columna de fecha como Date timeColumn = Tabla_usa.Properties.VariableNames(1); Tabla_usa = Tabla_usa(:,[timeColumn assetSymbols]); Tabla_col = Tabla_col(:,[timeColumn assetSymbols_col]); benchmark_usa = benchmark_usa(:,[timeColumn benchmark_usa_Symbol]); benchmark_col = benchmark_col(:,[timeColumn benchmark_col_Symbol]); columnas = ["Date",assetSymbols, assetSymbols_col]; % Para el uso del motor de backtesting la tabla se coniverte a % tabla de tiempo pricesTT = table2timetable(Tabla_usa,'RowTimes','Date'); pricesTT_col = table2timetable(Tabla_col,'RowTimes','Date'); benchmarkTT_col = table2timetable(benchmark_col,'RowTimes','Date'); benchmarkTT_usa = table2timetable(benchmark_usa,'RowTimes','Date'); % Hace visible la tabla con las acciones seleccionadas de % acuerdo al arcivo if app.contador==1 app.UITable.Visible='on'; end %% Crea el label para las columnas de la tabla app.UITable.ColumnName = columnas; % ciclo que define el rango de fechas, el titulo que lleva el % mapa de calor, la tasa libre de riesgo y el periodo inicial % para la construcción de los portafolios de acuerdo al rango % seleccionado en el boton selección if app.indice_fecha==1 pricesTT = pricesTT(timerange("01-Jan-2013","01-Jan-2023"),:); benchmarkTT_usa = benchmarkTT_usa(timerange("01-Jan-2013","01-Jan-2023"),:); pricesTT_col = pricesTT_col(timerange("01-Jan-2013","01-Jan-2023"),:); benchmarkTT_col = benchmarkTT_col(timerange("01-Jan-2013","01-Jan-2023"),:); titulo_mapa_calor='Distribución inicial de activos 01/01/2013-31/12/2022'; app.annualRiskFreeRate = 0.0212; warmupPeriod=252; elseif app.indice_fecha==2 pricesTT = pricesTT(timerange("01-Jan-2013","01-Jul-2015"),:); benchmarkTT_usa = benchmarkTT_usa(timerange("01-Jan-2013","01-Jul-2015"),:); pricesTT_col = pricesTT_col(timerange("01-Jan-2013","01-Jul-2015"),:); benchmarkTT_col = benchmarkTT_col(timerange("01-Jan-2013","01-Jul-2015"),:); titulo_mapa_calor='Distribución inicial de activos 01/01/2013-30/06/2015'; app.annualRiskFreeRate = 0.0233; warmupPeriod=21*3; elseif app.indice_fecha==3 pricesTT = pricesTT(timerange("01-Jul-2015","01-Jan-2018"),:); benchmarkTT_usa = benchmarkTT_usa(timerange("01-Jul-2015","01-Jan-2018"),:); pricesTT_col = pricesTT_col(timerange("01-Jul-2015","01-Jan-2018"),:); benchmarkTT_col = benchmarkTT_col(timerange("01-Jul-2015","01-Jan-2018"),:); titulo_mapa_calor='Distribución inicial de activos 01/07/2015-31/12/2027'; app.annualRiskFreeRate = 0.0208; warmupPeriod=21*3; elseif app.indice_fecha==4 pricesTT = pricesTT(timerange("01-Jan-2018","01-Jul-2020"),:); benchmarkTT_usa = benchmarkTT_usa(timerange("01-Jan-2018","01-Jul-2020"),:); pricesTT_col = pricesTT_col(timerange("01-Jan-2018","01-Jul-2020"),:); benchmarkTT_col = benchmarkTT_col(timerange("01-Jan-2018","01-Jul-2020"),:); titulo_mapa_calor='Distribución inicial de activos 01/01/2018-30/06/2020'; app.annualRiskFreeRate = 0.0220; warmupPeriod=21*3; elseif app.indice_fecha==5 pricesTT = pricesTT(timerange("01-Jul-2020","01-Jan-2023"),:); benchmarkTT_usa = benchmarkTT_usa(timerange("01-Jul-2020","01-Jan-2023"),:); pricesTT_col = pricesTT_col(timerange("01-Jul-2020","01-Jan-2023"),:); benchmarkTT_col = benchmarkTT_col(timerange("01-Jul-2020","01-Jan-2023"),:); titulo_mapa_calor='Distribución inicial de activos 01/07/2020-31/12/2022'; app.annualRiskFreeRate = 0.0188; warmupPeriod=21*3; end % añade la data seleccionada de acuerdo al periodo de tiempo a % la tabla que se visualiza precios = [pricesTT,pricesTT_col]; app.UITable.Data=timetable2table(precios); % numSample = cantidad de datos a analizar numSample = size(pricesTT.Variables, 1); % numAssets = numero de activos numAssets = size(pricesTT.Variables, 2); numAssets_bench_usa= size(benchmarkTT_usa.Variables,2); numAssets_col = size(pricesTT_col.Variables,2); numAssets_bench_col = size(benchmarkTT_col.Variables,2); table(numSample, numAssets); %crea los pesos iniciales de los actrivos para que sean cero current_weights = zeros(1,numAssets); current_weight_benchmark_usa =zeros(1,numAssets_bench_usa); current_weights_col = zeros (1,numAssets_col); current_weights_benchmark_col = zeros(1,numAssets_bench_col); % define la variable warmupTT de la tabla de tiempo desde el % primer dato hasta el periodo inical warmupTT = pricesTT(1:warmupPeriod,:); warmupTT_bench_usa = benchmarkTT_usa(1:warmupPeriod,:); warmupTT_col= pricesTT_col(1:warmupPeriod,:); warmupTT_bench_col = benchmarkTT_col(1:warmupPeriod,:); %Crea los portafolios iniciales de acuerdo a cada función benchmark_usa_initial = benchmarkFcn(current_weight_benchmark_usa,warmupTT_bench_usa); benchmark_col_inital = benchmarkFcn(current_weights_benchmark_col, warmupTT_bench_col); equalWeight_initial = equalWeightFcn(current_weights,warmupTT); maxSharpeRatio_initial = maxSharpeRatioFcn(current_weights,warmupTT); markowitz_initial = markowitzFcn(current_weights,warmupTT); equalWeight_initial_col = equalWeightFcn(current_weights_col,warmupTT_col); maxSharpeRatio_initial_col = maxSharpeRatioFcn(current_weights_col,warmupTT_col); markowitz_initial_col = markowitzFcn(current_weights_col,warmupTT_col); %% Inicia proceamiento en computación paralela parpool; ga_initial = geneticMaxSharpePortfolio(current_weights,warmupTT); ga_initial_col = geneticMaxSharpePortfolio(current_weights_col,warmupTT_col); delete(gcp('nocreate')); %Crea un arreglo con los nombres de las estrategias a evaluar strategyNames = {'Pesos iguales', 'Max Ratio de Sharpe','Markowitz', 'Algoritmo Genetico'}; % para el uso se toman de nuevo los simbolos de los activos assetSymbols = pricesTT.Properties.VariableNames; assetSymbols_col = pricesTT_col.Properties.VariableNames; % Se crea una tabla con los pesos iniciales de las estrategias initialWeights = [equalWeight_initial(:), maxSharpeRatio_initial(:),markowitz_initial(:),ga_initial(:)]; initalWeights_col = [equalWeight_initial_col(:), maxSharpeRatio_initial_col(:), markowitz_initial_col(:),ga_initial_col(:)]; % hace visible la grafica del mapa de calor % se crea el mapa de calor de acuerdo a los pesos iniciales de % los activos figure('Name','Mapa de Calor Estrategias','NumberTitle','off'); subplot(2,1,1) heatmap(strategyNames, assetSymbols, initialWeights, 'title',titulo_mapa_calor,'Colormap', parula); %variable para definir el rebalanceo del portafolio (21 días o %aproximadamente 1 mes) %figure('Name','Mapa de Calor Estrategias Mercado COL','NumberTitle','off'); subplot(2,1,2) heatmap(strategyNames, assetSymbols_col, initalWeights_col, 'title',titulo_mapa_calor,'Colormap', parula); rebalFreq = 21; % se define la variable para ver en retrospectiva para que sea % de al menos 40 dias y maximo 126 lookback = [40 126]; % Se define el costo de transacción para que sea fijo en 0 o en 2% if app.indice_transaccion == 1 transactionsFixed = 0; elseif app.indice_transaccion ==2 transactionsFixed = 0.002; end %% costos de transacción variables transactionsVariable = @variableTransactionCosts; %Se definen las estrategias de acuerdo a su función, rebalanceo %del portafolio si es necesario, la retrospectiva, los costos %de transacción y los pesos iniciales if app.indice_transaccion == 1 || app.indice_transaccion == 2 strat1 = backtestStrategy('Pesos Iguales', @equalWeightFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', 0, ... 'TransactionCosts', transactionsFixed, ... 'InitialWeights', equalWeight_initial); strat2 = backtestStrategy('Max Ratio de Sharpe', @maxSharpeRatioFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', transactionsFixed, ... 'InitialWeights', maxSharpeRatio_initial); strat3 = backtestStrategy('Markowitz', @markowitzFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', transactionsFixed, ... 'InitialWeights', markowitz_initial); strat4 = backtestStrategy('Algoritmo Genetico', @geneticMaxSharpePortfolio, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', transactionsFixed, ... 'InitialWeights', ga_initial); strat5 = backtestStrategy('benchmark', @benchmarkFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', 0, ... 'InitialWeights', benchmark_usa_initial); strat6 = backtestStrategy('Pesos Iguales', @equalWeightFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', 0, ... 'TransactionCosts', transactionsFixed, ... 'InitialWeights', equalWeight_initial_col); strat7 = backtestStrategy('Max Ratio de Sharpe', @maxSharpeRatioFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', transactionsFixed, ... 'InitialWeights', maxSharpeRatio_initial_col); strat8 = backtestStrategy('Markowitz', @markowitzFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', transactionsFixed, ... 'InitialWeights', markowitz_initial_col); strat9 = backtestStrategy('Algoritmo Genetico', @geneticMaxSharpePortfolio, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', transactionsFixed, ... 'InitialWeights', ga_initial_col); strat10 = backtestStrategy('benchmark', @benchmarkFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', 0, ... 'InitialWeights', benchmark_col_inital); elseif app.indice_transaccion==3 strat1 = backtestStrategy('Pesos Iguales', @equalWeightFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', 0, ... 'TransactionCosts', @variableTransactionCosts, ... 'InitialWeights', equalWeight_initial); strat2 = backtestStrategy('Max Ratio de Sharpe', @maxSharpeRatioFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', @variableTransactionCosts, ... 'InitialWeights', maxSharpeRatio_initial); strat3 = backtestStrategy('Markowitz', @markowitzFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', @variableTransactionCosts, ... 'InitialWeights', markowitz_initial); strat4 = backtestStrategy('Algoritmo Genetico', @geneticMaxSharpePortfolio, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', @variableTransactionCosts, ... 'InitialWeights', ga_initial); strat5 = backtestStrategy('benchmark', @benchmarkFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', 0, ... 'InitialWeights', benchmark_usa_initial); strat6 = backtestStrategy('Pesos Iguales', @equalWeightFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', 0, ... 'TransactionCosts', @variableTransactionCosts, ... 'InitialWeights', equalWeight_initial_col); strat7 = backtestStrategy('Max Ratio de Sharpe', @maxSharpeRatioFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', @variableTransactionCosts, ... 'InitialWeights', maxSharpeRatio_initial_col); strat8 = backtestStrategy('Markowitz', @markowitzFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', @variableTransactionCosts, ... 'InitialWeights', markowitz_initial_col); strat9 = backtestStrategy('Algoritmo Genetico', @geneticMaxSharpePortfolio, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', @variableTransactionCosts, ... 'InitialWeights', ga_initial_col); strat10 = backtestStrategy('benchmark', @benchmarkFcn, ... 'RebalanceFrequency', rebalFreq, ... 'LookbackWindow', lookback, ... 'TransactionCosts', 0, ... 'InitialWeights', benchmark_col_inital); end % Se define un arreglo con los objetos strategia creados % anteriormente strategies = [strat1, strat2, strat3, strat4]; estrategia_bench_usa = [strat5]; strategies_col = [strat6, strat7, strat8, strat9]; estrategia_bench_col = [strat10]; % Se crea el objeto para el motor de backtesting definiendo las % siguientes condiciones: la tasa libre de riesgo (se toma anual), la % conversion de las tasas (anualizadas) y el valor inicial del % portafolio backtester = backtestEngine(strategies, 'RiskFreeRate', app.annualRiskFreeRate, 'RatesConvention','Annualized','InitialPortfolioValue',10000); backtester2 = backtestEngine(estrategia_bench_usa, 'RiskFreeRate', app.annualRiskFreeRate, 'RatesConvention','Annualized','InitialPortfolioValue',10000); backtester3 = backtestEngine(strategies_col, 'RiskFreeRate', app.annualRiskFreeRate, 'RatesConvention','Annualized','InitialPortfolioValue',10000); backtester4= backtestEngine(estrategia_bench_col, 'RiskFreeRate', app.annualRiskFreeRate, 'RatesConvention','Annualized','InitialPortfolioValue',10000); %Se corre el backtesting con procesamiento en paralelo parpool; backtester = runBacktest(backtester, pricesTT, 'Start', warmupPeriod); backtester2 = runBacktest(backtester2, benchmarkTT_usa, 'Start', warmupPeriod); backtester3 = runBacktest(backtester3,pricesTT_col,'Start',warmupPeriod); backtester4 = runBacktest(backtester4,benchmarkTT_col,'Start',warmupPeriod); delete(gcp('nocreate')); summaryByStrategies = summary(backtester); resumen_bench_usa= summary(backtester2); summaryByStrategies_col = summary(backtester3); resumen_bench_col = summary(backtester4); %Resumen de las estrategias utilizando la propiedad summary % Se crea la grafica equity curve que es uan propiedad del % motor de backtester donde se mustran los retornos de todas % las estrategias figure('Name','Valor portafolios Según Estrategia','NumberTitle','off'); periodo=backtester.Positions.Pesos_Iguales.Time; subplot(2,1,1) equityCurve(backtester) xlabel('Fecha'); datetick('x','mm/dd/yyyy','keepticks'); xlim([periodo(1) periodo(end)]) ylabel('Valor Portafolio U.S') hold on equityCurve(backtester2) hold off periodo=backtester3.Positions.Pesos_Iguales.Time; subplot(2,1,2) equityCurve(backtester3) xlabel('Fecha'); datetick('x','mm/dd/yyyy','keepticks'); xlim([periodo(1) periodo(end)]) ylabel('Valor Portafolio COL') hold on equityCurve(backtester4) hold off % esta sección se encarga de en la tabla del panel derecho % mostrar en la tabla el resumen de las estrategias segun cada % una de las metricas señaladas como summaryByMetrics.Properties.VariableNames{i} summaryByMetrics = rows2vars(summaryByStrategies); summaryByMetrics.Properties.VariableNames{1} = 'Estrategia'; summaryByMetrics.AverageReturn = summaryByMetrics.AverageReturn * 252; summaryByMetrics.Volatility = summaryByMetrics.Volatility * (252^(1/2)); summaryByMetrics.SharpeRatio = (summaryByMetrics.AverageReturn-app.annualRiskFreeRate)./summaryByMetrics.Volatility; summaryByMetrics_bench_usa=rows2vars(resumen_bench_usa); summaryByMetrics_bench_usa.AverageReturn = (summaryByMetrics_bench_usa.AverageReturn * 252); summaryByMetrics_bench_usa.Volatility = summaryByMetrics_bench_usa.Volatility * (252^(1/2)); summaryByMetrics_bench_usa.SharpeRatio = (summaryByMetrics_bench_usa.AverageReturn-app.annualRiskFreeRate)./summaryByMetrics_bench_usa.Volatility; summaryByMetrics_bench_usa.Properties.VariableNames{1} = 'Estrategia'; app.resumen_metricas = [summaryByMetrics;summaryByMetrics_bench_usa]; summaryByMetrics_col = rows2vars(summaryByStrategies_col); summaryByMetrics_col.AverageReturn = summaryByMetrics_col.AverageReturn * 252; summaryByMetrics_col.Volatility = summaryByMetrics_col.Volatility * (252^(1/2)); summaryByMetrics_col.SharpeRatio = (summaryByMetrics_col.AverageReturn-app.annualRiskFreeRate)./summaryByMetrics_col.Volatility; summaryByMetrics_col.Properties.VariableNames{1}= 'Estrategia'; summaryByMetrics_bench_col=rows2vars(resumen_bench_col); summaryByMetrics_bench_col.AverageReturn = summaryByMetrics_bench_col.AverageReturn * 252; summaryByMetrics_bench_col.Volatility = summaryByMetrics_bench_col.Volatility * (252^(1/2)); summaryByMetrics_bench_col.SharpeRatio = (summaryByMetrics_bench_col.AverageReturn-app.annualRiskFreeRate)./summaryByMetrics_bench_col.Volatility; summaryByMetrics_bench_col.Properties.VariableNames{1} = 'Estrategia'; app.resumen_metricas_col = [summaryByMetrics_col; summaryByMetrics_bench_col]; app.UITable2.Data = app.resumen_metricas(:,app.resumen_metricas.Properties.VariableNames(1:4)); app.resumen_metricas.Properties.VariableNames{1} = 'Estrategia'; app.resumen_metricas.Properties.VariableNames{2} = 'Retorno Total'; app.resumen_metricas.Properties.VariableNames{3} = 'Ratio de Sharpe Anual'; app.resumen_metricas.Properties.VariableNames{4} = 'Volatilidad Anual'; app.UITable2_2.Data = app.resumen_metricas_col(:,app.resumen_metricas_col.Properties.VariableNames(1:4)); app.resumen_metricas_col.Properties.VariableNames{1} = 'Estrategia'; app.resumen_metricas_col.Properties.VariableNames{2} = 'Retorno Total'; app.resumen_metricas_col.Properties.VariableNames{3} = 'Ratio de Sharpe Anual'; app.resumen_metricas_col.Properties.VariableNames{4} = 'Volatilidad Anual'; if app.contador==1 app.UITable2.Visible='on'; app.UITable2_2.Visible ='on'; end app.UITable2.ColumnName= app.resumen_metricas.Properties.VariableNames(1:4); app.UITable2_2.ColumnName= app.resumen_metricas_col.Properties.VariableNames(1:4); posiciones_estrategia_usa(backtester,'Pesos_Iguales'); posiciones_estrategia_usa(backtester,'Markowitz'); posiciones_estrategia_usa(backtester,'Max_Ratio_de_Sharpe'); posiciones_estrategia_usa(backtester,'Algoritmo_Genetico'); posiciones_estrategia_col(backtester3,'Pesos_Iguales'); posiciones_estrategia_col(backtester3,'Markowitz'); posiciones_estrategia_col(backtester3,'Max_Ratio_de_Sharpe'); posiciones_estrategia_col(backtester3,'Algoritmo_Genetico'); figure('Name','Grafica de Area Activos','NumberTitle','off'); subplot(2,1,1) assetAreaPlot(backtester,'Pesos_Iguales'); subplot(2,1,2) assetAreaPlot(backtester3,'Pesos_Iguales'); figure('Name','Grafica de Area Activos','NumberTitle','off'); subplot(2,1,1) assetAreaPlot(backtester,'Max_Ratio_de_Sharpe'); subplot(2,1,2) assetAreaPlot(backtester3,'Max_Ratio_de_Sharpe'); figure('Name','Grafica de Area Activos','NumberTitle','off'); subplot(2,1,1) assetAreaPlot(backtester,'Markowitz'); subplot(2,1,2) assetAreaPlot(backtester3,'Markowitz'); figure('Name','Grafica de Area Activos','NumberTitle','off'); subplot(2,1,1) assetAreaPlot(backtester,'Algoritmo_Genetico'); subplot(2,1,2) assetAreaPlot(backtester3,'Algoritmo_Genetico'); end function new_weights = benchmarkFcn(current_weight_benchmark, benchmarkTT) % Equal-weighted portfolio allocation nAssets = size(benchmarkTT, 2); new_weights = ones(1,nAssets); new_weights = new_weights / sum(new_weights); new_weights = round(new_weights,4); end function new_weights = equalWeightFcn(current_weights, pricesTT) % Equal-weighted portfolio allocation nAssets = size(pricesTT, 2); new_weights = ones(1,nAssets); new_weights = new_weights / sum(new_weights); % new_weights = round(new_weights,4); end function new_weights = maxSharpeRatioFcn(current_weights, pricesTT) nAssets = size(pricesTT, 2); assetReturns = tick2ret(pricesTT,'Method','Continuous'); p = Portfolio('NumAssets',nAssets,... 'LowerBound',0,'UpperBound',1,... 'LowerBudget',1,'UpperBudget',1); p = estimateAssetMoments(p, assetReturns{:,:}); new_weights = estimateMaxSharpeRatio(p,"Method","iterative"); % new_weights = round(new_weights,4); end function new_weights = inverseVarianceFcn(current_weights, pricesTT) % Inverse-variance portfolio allocation assetReturns = tick2ret(pricesTT); assetCov = cov(assetReturns{:,:}); new_weights = 1 ./ diag(assetCov); new_weights = new_weights / sum(new_weights); end function new_weights = robustOptimFcn(current_weights, pricesTT) % Robust portfolio allocation nAssets = size(pricesTT, 2); assetReturns = tick2ret(pricesTT,'Method','Continuous'); Q = cov(table2array(assetReturns)); SIGMAx = diag(diag(Q)); % Robust aversion coefficient k = 1.1; % Robust aversion coefficient lambda = 0.05; rPortfolio = mean(table2array(assetReturns))'; % Create the optimization problem pRobust = optimproblem('Description','Robust Portfolio'); % Define the variables %xRobust - x allocation vector xRobust = optimvar('x',nAssets,1,'Type','continuous','LowerBound',0.0,'UpperBound',0.25); zRobust = optimvar('z','LowerBound',0); % Define the budget constraint pRobust.Constraints.budget = sum(xRobust) == 1; % Define the robust constraint pRobust.Constraints.robust = xRobust'*SIGMAx*xRobust - zRobust*zRobust <=0; pRobust.Objective = -rPortfolio'*xRobust + k*zRobust + lambda*xRobust'*Q*xRobust; x0.x = zeros(nAssets,1); x0.z = 0; opt = optimoptions('fmincon','Display','off'); [solRobust,~,~] = solve(pRobust,x0,'Options',opt); new_weights = solRobust.x; end function new_weights = markowitzFcn(current_weights, pricesTT) nAssets = size(pricesTT, 2); assetReturns = tick2ret(pricesTT,'Method','Continuous'); Q = cov(table2array(assetReturns)); % Risk aversion coefficient %lambda = 0.05; lambda = app.lambda_m; rPortfolio = mean(table2array(assetReturns))'; % Create the optimization problem pMrkwtz = optimproblem('Description','Markowitz Mean Variance Portfolio '); % Define the variables % xRobust - x allocation vector xMrkwtz = optimvar('x',nAssets,1,'Type','continuous','LowerBound',0.0,'UpperBound',1); % Define the budget constraint pMrkwtz.Constraints.budget = sum(xMrkwtz) == 1; % Define the Markowitz objective pMrkwtz.Objective = -rPortfolio'*xMrkwtz + lambda*xMrkwtz'*Q*xMrkwtz; x0.x = zeros(nAssets,1); opt = optimoptions('quadprog','Display','off'); [solMrkwtz,~,~] = solve(pMrkwtz,x0,'Options',opt); new_weights = solMrkwtz.x; new_weights = round(new_weights,4); end function ratio = sharpeRatio(current_weights, pricesTT,libre_riesgo) % Calcula el índice de Sharpe basado en los pesos y datos de precios % libre_riesgo es la tasa libre de riesgo y los retornos son % logartimicos assetReturns = tick2ret(pricesTT,'Method','Continuous'); assetReturns = table2array(assetReturns); portfolioReturns = assetReturns * current_weights'; % Calcula la volatilidad del portafolio portfolioVolatility = std(portfolioReturns); % Calcula el rendimiento del portafolio portfolioMeanReturn = mean(portfolioReturns); % Calcula el índice de Sharpe ratio = (portfolioMeanReturn -(libre_riesgo/252) ) / portfolioVolatility; end function maxSharpeWeights = geneticMaxSharpePortfolio(current_weights,pricesTT) % Parámetros del algoritmo genético rng default; %para reproducibilidad populationSize = 50; generations = 30; mutationRate = 0.01; crossover_rate = 0.01; stallGenLimit = 5; libre_riesgo = app.annualRiskFreeRate; % Tamaño del portafolio y número de activos nAssets = size(pricesTT, 2); % Función de aptitud para el algoritmo genético (maximizar Sharpe) fitnessFunction = @(weights) -sharpeRatio(weights, pricesTT, libre_riesgo); % Espacio de búsqueda: pesos entre 0 y 1 para cada activo lb = zeros(1, nAssets); ub = ones(1, nAssets); % Restricción: la suma de los pesos debe ser igual a 1 A = []; b = []; Aeq = ones(1, nAssets); beq = 1; % Inicializar población aleatoria initialPopulation = rand(populationSize, nAssets); % Ejecutar el algoritmo genético con restricción de suma options = optimoptions('ga', 'MaxGenerations', generations,... 'MutationFcn', {@mutationadaptfeasible, mutationRate},... 'CrossoverFcn',{@crossoverintermediate,crossover_rate},... 'SelectionFcn',{@selectiontournament,4},... 'StallGenLimit',stallGenLimit); [maxSharpeWeights, ~, ~, ~] = ga(fitnessFunction, nAssets,... A, b, Aeq, beq, lb, ub, [], options); end function [buy, sell] = variableTransactionCosts(deltaPositions) buy = zeros(1,numel(deltaPositions)); sell = zeros(1,numel(deltaPositions)); % Buys idx = 0 < deltaPositions & deltaPositions < 1e4; buy(idx) = 0.002 * deltaPositions(idx); % 20 puntos basicos idx = 1e4 <= deltaPositions; buy(idx) = 0.0015 * deltaPositions(idx); % 15 puntos basicos buy = sum(buy); % Sells idx = -1e3 < deltaPositions & deltaPositions < 0; sell(idx) = 0.002 * -deltaPositions(idx); % 20 puntos basicos idx = deltaPositions <= -1e3; sell(idx) = 0.0015 * -deltaPositions(idx); % 15 basis points sell = sum(sell); end function assetAreaPlot(backtester,strategyName) % Plot the asset allocation as an area plot. t = backtester.Positions.(strategyName).Time; positions = backtester.Positions.(strategyName).Variables; h=area(t,positions); title(sprintf('%s Posiciones',strrep(strategyName,'_',' '))); xlabel('Date'); ylabel('Posiciones de los activos'); datetick('x','mm/dd/yyyy','keepticks'); xlim([t(1) t(end)]) oldylim = ylim; ylim([0 oldylim(2)]); cm = parula(numel(h)); for i = 1:numel(h) set(h(i),'FaceColor',cm(i,:)); end legend(backtester.Positions.(strategyName).Properties.VariableNames) end function posiciones_estrategia_usa(backtester,strategyName) fechas = backtester.Positions.(strategyName).Time; posiciones = backtester.Positions.(strategyName).Variables; posiciones = round(posiciones,4); posiciones = array2table(posiciones,'VariableNames',backtester.Positions.(strategyName).Properties.VariableNames); resumen_posiciones = table2timetable(posiciones,'RowTimes',fechas); texto_fecha= app.SeleccioneFechaButtonGroup.SelectedObject.Text; texto_fecha=strrep(texto_fecha,'/','_'); mkdir ResumenUS archivo_salida = append(path,'ResumenUS','\Resumen_posiciones_',(strategyName),'_',texto_fecha,'.xlsx'); writetimetable(resumen_posiciones,archivo_salida); end function posiciones_estrategia_col(backtester,strategyName) fechas = backtester.Positions.(strategyName).Time; posiciones = backtester.Positions.(strategyName).Variables; posiciones = round(posiciones,4); posiciones = array2table(posiciones,'VariableNames',backtester.Positions.(strategyName).Properties.VariableNames); resumen_posiciones = table2timetable(posiciones,'RowTimes',fechas); texto_fecha= app.SeleccioneFechaButtonGroup.SelectedObject.Text; texto_fecha=strrep(texto_fecha,'/','_'); mkdir ResumenCOL archivo_salida = append(path,'ResumenCOL','\Resumen_posiciones_',(strategyName),'_',texto_fecha,'.xlsx'); writetimetable(resumen_posiciones,archivo_salida); end end % Callback function function ProcesarButtonPushed(app, event) end % Selection changed function: SeleccioneFechaButtonGroup function SeleccioneFechaButtonGroupSelectionChanged(app, event) selectedButton = app.SeleccioneFechaButtonGroup.SelectedObject; if selectedButton == app.Button_2 app.indice_fecha = 1; elseif selectedButton== app.Button_3 app.indice_fecha = 2; elseif selectedButton== app.Button_4 app.indice_fecha = 3; elseif selectedButton== app.Button_5 app.indice_fecha = 4; elseif selectedButton==app.Button_6 app.indice_fecha = 5; end end % Callback function function Button_7Pushed(app, event) end % Callback function function SeleccioneMercadoButtonGroupSelectionChanged(app, event) selectedButton = app.SeleccioneMercadoButtonGroup.SelectedObject; end % Cell selection callback: UITable2 function UITable2CellSelection(app, event) indices = event.Indices; end % Menu selected function: CopiarMenu function CopiarMenuSelected(app, event) end % Button pushed function: GuardarResumenButton function GuardarResumenButtonPushed(app, event) writetable(app.resumen_metricas(:,app.resumen_metricas.Properties.VariableNames(1:4)),'Resumen_estrategias.xlsx','WriteMode','append','Sheet','Mercado US'); writetable(app.resumen_metricas_col(:,app.resumen_metricas_col.Properties.VariableNames(1:4)),'Resumen_estrategias.xlsx','WriteMode','append','Sheet','Mercado COL'); end % Selection changed function: % SeleccioneLoscostosdeTransaccinButtonGroup function SeleccioneLoscostosdeTransaccinButtonGroupSelectionChanged(app, event) selectedButton = app.SeleccioneLoscostosdeTransaccinButtonGroup.SelectedObject; if selectedButton == app.SincostosButton app.indice_transaccion=1; elseif selectedButton == app.Fijos20pbsButton app.indice_transaccion=2; elseif selectedButton == app.VariablesButton app.indice_transaccion=3; end end end % Component initialization methods (Access = private) % Create UIFigure and components function createComponents(app) % Create BacktestingOptimizacindeportafoliosUIFigure and hide until all components are created app.BacktestingOptimizacindeportafoliosUIFigure = uifigure('Visible', 'off'); app.BacktestingOptimizacindeportafoliosUIFigure.AutoResizeChildren = 'off'; app.BacktestingOptimizacindeportafoliosUIFigure.Position = [0 0 1000 550]; app.BacktestingOptimizacindeportafoliosUIFigure.Name = 'Backtesting Optimización de portafolios'; app.BacktestingOptimizacindeportafoliosUIFigure.Icon = 'eafit-logo.png'; app.BacktestingOptimizacindeportafoliosUIFigure.CloseRequestFcn = createCallbackFcn(app, @BacktestingOptimizacindeportafoliosUIFigureCloseRequest, true); app.BacktestingOptimizacindeportafoliosUIFigure.SizeChangedFcn = createCallbackFcn(app, @updateAppLayout, true); % Create GridLayout app.GridLayout = uigridlayout(app.BacktestingOptimizacindeportafoliosUIFigure); app.GridLayout.ColumnWidth = {545, '1x'}; app.GridLayout.RowHeight = {'1x'}; app.GridLayout.ColumnSpacing = 0; app.GridLayout.RowSpacing = 0; app.GridLayout.Padding = [0 0 0 0]; app.GridLayout.Scrollable = 'on'; % Create LeftPanel app.LeftPanel = uipanel(app.GridLayout); app.LeftPanel.Layout.Row = 1; app.LeftPanel.Layout.Column = 1; % Create Button app.Button = uibutton(app.LeftPanel, 'push'); app.Button.ButtonPushedFcn = createCallbackFcn(app, @ButtonPushed, true); app.Button.Position = [277 310 100 22]; app.Button.Text = '...'; % Create CargueelarchivoquecontieneladataLabel app.CargueelarchivoquecontieneladataLabel = uilabel(app.LeftPanel); app.CargueelarchivoquecontieneladataLabel.Position = [26 310 227 22]; app.CargueelarchivoquecontieneladataLabel.Text = '4) Cargue el archivo que contiene la data'; % Create UITable app.UITable = uitable(app.LeftPanel); app.UITable.ColumnName = {'Column 1'; 'Column 2'; 'Column 3'; 'Column 4'; 'Colum 5'}; app.UITable.RowName = {}; app.UITable.Position = [20 33 457 229]; % Create AccionesseleccionadasLabel app.AccionesseleccionadasLabel = uilabel(app.LeftPanel); app.AccionesseleccionadasLabel.Position = [20 273 134 22]; app.AccionesseleccionadasLabel.Text = 'Acciones seleccionadas'; % Create SeleccioneFechaButtonGroup app.SeleccioneFechaButtonGroup = uibuttongroup(app.LeftPanel); app.SeleccioneFechaButtonGroup.SelectionChangedFcn = createCallbackFcn(app, @SeleccioneFechaButtonGroupSelectionChanged, true); app.SeleccioneFechaButtonGroup.Title = '1) Seleccione Fecha'; app.SeleccioneFechaButtonGroup.Position = [20 383 176 137]; % Create Button_2 app.Button_2 = uiradiobutton(app.SeleccioneFechaButtonGroup); app.Button_2.Text = '01/01/2013-31/12/2022'; app.Button_2.Position = [10 91 146 22]; app.Button_2.Value = true; % Create Button_3 app.Button_3 = uiradiobutton(app.SeleccioneFechaButtonGroup); app.Button_3.Text = '01/01/2013-30/06/2015'; app.Button_3.Position = [10 69 146 22]; % Create Button_4 app.Button_4 = uiradiobutton(app.SeleccioneFechaButtonGroup); app.Button_4.Text = '01/07/2015-31/12/2017'; app.Button_4.Position = [10 47 146 22]; % Create Button_5 app.Button_5 = uiradiobutton(app.SeleccioneFechaButtonGroup); app.Button_5.Text = '01/01/2018-30/06/2020'; app.Button_5.Position = [11 25 146 22]; % Create Button_6 app.Button_6 = uiradiobutton(app.SeleccioneFechaButtonGroup); app.Button_6.Text = '01/07/2020-31/12/2022'; app.Button_6.Position = [10 3 146 22]; % Create SeleccioneelfactordeAversinalRiesgoLabel app.SeleccioneelfactordeAversinalRiesgoLabel = uilabel(app.LeftPanel); app.SeleccioneelfactordeAversinalRiesgoLabel.HorizontalAlignment = 'right'; app.SeleccioneelfactordeAversinalRiesgoLabel.Position = [17 350 245 22]; app.SeleccioneelfactordeAversinalRiesgoLabel.Text = '3) Seleccione el factor de Aversión al Riesgo'; % Create SeleccioneelfactordeAversinalRiesgoEditField app.SeleccioneelfactordeAversinalRiesgoEditField = uieditfield(app.LeftPanel, 'numeric'); app.SeleccioneelfactordeAversinalRiesgoEditField.Limits = [0.01 10]; app.SeleccioneelfactordeAversinalRiesgoEditField.Position = [277 350 100 22]; app.SeleccioneelfactordeAversinalRiesgoEditField.Value = 3; % Create SeleccioneLoscostosdeTransaccinButtonGroup app.SeleccioneLoscostosdeTransaccinButtonGroup = uibuttongroup(app.LeftPanel); app.SeleccioneLoscostosdeTransaccinButtonGroup.SelectionChangedFcn = createCallbackFcn(app, @SeleccioneLoscostosdeTransaccinButtonGroupSelectionChanged, true); app.SeleccioneLoscostosdeTransaccinButtonGroup.Title = '2) Seleccione Los costos de Transacción'; app.SeleccioneLoscostosdeTransaccinButtonGroup.Position = [246 414 231 106]; % Create SincostosButton app.SincostosButton = uiradiobutton(app.SeleccioneLoscostosdeTransaccinButtonGroup); app.SincostosButton.Text = 'Sin costos'; app.SincostosButton.Position = [11 60 78 22]; app.SincostosButton.Value = true; % Create Fijos20pbsButton app.Fijos20pbsButton = uiradiobutton(app.SeleccioneLoscostosdeTransaccinButtonGroup); app.Fijos20pbsButton.Text = 'Fijos 20 pbs'; app.Fijos20pbsButton.Position = [11 38 87 22]; % Create VariablesButton app.VariablesButton = uiradiobutton(app.SeleccioneLoscostosdeTransaccinButtonGroup); app.VariablesButton.Text = 'Variables'; app.VariablesButton.Position = [11 16 71 22]; % Create RightPanel app.RightPanel = uipanel(app.GridLayout); app.RightPanel.Layout.Row = 1; app.RightPanel.Layout.Column = 2; % Create UITable2 app.UITable2 = uitable(app.RightPanel); app.UITable2.ColumnName = {'Column 1'; 'Column 2'; 'Column 3'; 'Column 4'}; app.UITable2.RowName = {}; app.UITable2.CellSelectionCallback = createCallbackFcn(app, @UITable2CellSelection, true); app.UITable2.Position = [21 330 415 144]; % Create ResumendeBacktestingMercadoUSLabel app.ResumendeBacktestingMercadoUSLabel = uilabel(app.RightPanel); app.ResumendeBacktestingMercadoUSLabel.Position = [21 498 296 22]; app.ResumendeBacktestingMercadoUSLabel.Text = 'Resumen de Backtesting Mercado U.S'; % Create UITable2_2 app.UITable2_2 = uitable(app.RightPanel); app.UITable2_2.ColumnName = {'Column 1'; 'Column 2'; 'Column 3'; 'Column 4'}; app.UITable2_2.RowName = {}; app.UITable2_2.Position = [22 118 414 144]; % Create ResumendeBacktestingMercadoCOLLabel app.ResumendeBacktestingMercadoCOLLabel = uilabel(app.RightPanel); app.ResumendeBacktestingMercadoCOLLabel.Position = [21 283 296 22]; app.ResumendeBacktestingMercadoCOLLabel.Text = 'Resumen de Backtesting Mercado COL'; % Create GuardarResumenButton app.GuardarResumenButton = uibutton(app.RightPanel, 'push'); app.GuardarResumenButton.ButtonPushedFcn = createCallbackFcn(app, @GuardarResumenButtonPushed, true); app.GuardarResumenButton.Position = [210 33 114 22]; app.GuardarResumenButton.Text = 'Guardar Resumen'; % Create Archivo app.Archivo = uimenu(app.BacktestingOptimizacindeportafoliosUIFigure); app.Archivo.Text = '&Archivo'; % Create SalirMenu app.SalirMenu = uimenu(app.Archivo); app.SalirMenu.MenuSelectedFcn = createCallbackFcn(app, @SalirMenuSelected, true); app.SalirMenu.Text = 'Salir'; % Create ContextMenu app.ContextMenu = uicontextmenu(app.BacktestingOptimizacindeportafoliosUIFigure); % Create CopiarMenu app.CopiarMenu = uimenu(app.ContextMenu); app.CopiarMenu.MenuSelectedFcn = createCallbackFcn(app, @CopiarMenuSelected, true); app.CopiarMenu.Text = 'Copiar'; % Show the figure after all components are created app.BacktestingOptimizacindeportafoliosUIFigure.Visible = 'on'; end end % App creation and deletion methods (Access = public) % Construct app function app = app_tesis % Create UIFigure and components createComponents(app) % Register the app with App Designer registerApp(app, app.BacktestingOptimizacindeportafoliosUIFigure) % Execute the startup function runStartupFcn(app, @startupFcn) if nargout == 0 clear app end end % Code that executes before app deletion function delete(app) % Delete UIFigure when app is deleted delete(app.BacktestingOptimizacindeportafoliosUIFigure) end end end