Operation Research Solver GLPK to optimize the trading process taking predicted stock prices as inputs.
Updated Files:
- trading_optimization_hedger.mod: long and short
- trading_optimization_buyer.mod : long only
- input_data_stocks.data
- prepared data using predicted stock prices for next 7 days
- correlation matrix was caculated
- return per day
- outputs with best stability and max return:
- which stock to buy/sell
- how many units
- used capital
Example under Linux using GLPK:
glpsol -m trading_optimization_hedger.mod -d input_data_stocks.dat
Results under Ubuntu:
Minimum Absolute Deviation (MAD) Portfolio
capital issue, need more for minimal positive reutrn: 0.000
Return in $ = 535.35$, percnetage = 2.68
Variance = 0.3465
optimal execution at time 2021-05-28 11:43:12:
Weight, Unit, Price, Action, Money, check_n
SPOT -0.0900, -6, 311.00, sell, 1866.00, -0.093 // sell 6 units SPOT
MRK 0.0000, 0, 80.96, NaN, 0.00, 0.000
CAT 0.0000, 0, 182.15, NaN, 0.00, 0.000
MCD 0.0000, 0, 210.22, NaN, 0.00, 0.000
PG 0.0000, 0, 137.82, NaN, 0.00, 0.000
TSLA 0.5800, 16, 729.77, buy, 11676.32, 0.000 // buy 16 units Tesla
VZ 0.0000, 0, 58.85, NaN, 0.00, 0.000
INTC 0.0000, 0, 49.67, NaN, 0.00, 0.000
CVX 0.0000, -1, 84.71, sell, 84.71, -0.004 // sell 1 unit CVX
JPM 0.1600, 26, 125.87, buy, 3272.62, 0.000
IBM 0.0000, 0, 123.94, NaN, 0.00, 0.000
DIS 0.0000, 0, 177.68, NaN, 0.00, 0.000
BA 0.0000, 0, 202.72, NaN, 0.00, 0.000
V 0.0000, 0, 217.76, NaN, 0.00, 0.000
WMT 0.1500, 21, 146.53, buy, 3077.13, 0.000 // buy 21 units WMT
GLPK is available as a Debian package. The Debian package system is used by Ubuntu. If you have administrator rights, the following call should install GLPK in its entirety:
$ sudo apt-get install glpk
If you only want GLPSOL, the following call is sufficient:
$ sudo apt-get install glpk-utils