Beliavsky

I analyze financial data in Fortran, R, and Python, post at Fortran Discourse, and tweet @FortranTip.

Beliavsky / xlower_case_fortran.py

Created August 22, 2021 00:23

Convert free source form Fortran to lower case, except for comments

	"""convert Fortran code to lower case except for comments
	usage: python xlower_case_fortran.py <source_file>
	The script writes lower case code to standard output.
	"""
	from sys import argv
	source_file = argv[1]
	fp = open(source_file,"r")
	for line in fp:
	text = line.rstrip()
	ipos = text.find("!")

Beliavsky / pdi_adjnav_cef_analyzer.csv

Last active April 12, 2020 22:58

PDI net asset values adjusted for dividends from CEF Analyzer

Beliavsky / xxreturns_drawdown.f90

Created March 18, 2020 14:32

	! RESULTS:
	! #paths initial ann_drift ann_vol min max <terminal> terminal terminal-max sd(terminal) %bottom
	! 100000 100.00 0.15 0.40 77.99 145.60 116.18 115.95 -29.65 48.21 4.52
	! 100000 100.00 0.15 0.40 77.97 145.67 116.18 116.04 -29.63 48.30 4.39
	! 100000 100.00 0.15 0.40 77.92 145.58 116.18 115.88 -29.70 48.25 4.33
	! 100000 100.00 0.15 0.40 78.02 145.96 116.18 116.27 -29.69 48.64 4.41
	! 100000 100.00 0.15 0.40 78.02 145.53 116.18 115.93 -29.60 47.89 4.37
	module statistics_mod
	implicit none
	public :: dp,mean,sd,random_normal

Beliavsky / xib.r

Last active January 17, 2020 04:21

Get historical quotes from Interactive Brokers

	# 01/16/2020 11:14 PM gets historical quotes for specified symbols at various frequencies
	.proctime00 = proc.time()
	library(IBrokers)
	tws <- twsConnect()
	print.contract.details = TRUE
	get.mkt.data <- FALSE
	get.hist.data <- FALSE
	get.intraday.data <- TRUE
	tws <- twsConnect()
	symbols <- c("SPY","TLT")

Beliavsky / xmacd.r

Last active November 9, 2018 03:15

R script to test a MACD trading system

	# adapted from https://www.quantinsti.com/blog/an-example-of-a-trading-strategy-coded-in-r
	# issue the commands install.packages("quantmod") and install.packages("PerformanceAnalytics")
	# before running this script
	library("quantmod")
	library("PerformanceAnalytics")
	plot.macd = TRUE
	ndrawdowns = 3
	short.pos = 0 # size of short position. Set to 0 to disallow shorting
	sym = "PCI" # symbol to be tested -- can be changed
	all.data = getSymbols(sym,auto.assign=FALSE)

Beliavsky / xunused_gfortran.py

Last active June 24, 2018 02:22

Python 2/3 script to list unused variables from gfortran compiler messages

	# 2018-06-23
	# list unused variable from gfortran output
	# valid Python 2 and Python 3
	from sys import argv
	compiler_message_file = argv[1] # produced by command such as gfortran 2> err_msg.txt -c -Werror=unused_variable source.f90
	fp = open(compiler_message_file,"r")
	err_str = "Error: Unused variable"
	print("unused variables:")
	for line in fp:
	text = line.strip()

Beliavsky / gist:491b626b23687ebae4eb2df25436c663

Created May 24, 2018 20:51

xblock_sub.f90

	program test
	! 05/23/2018 11:49 AM times varies loop methods with global or block variables -- motivated by comp.lang.fortran thread "ASSOCIATE inside loops" https://groups.google.com/forum/#!topic/comp.lang.fortran/TBYnHxFIrS0
	use, intrinsic :: iso_fortran_env
	integer(int64), parameter :: n = 2**25
	integer(int64) :: i, t0, t1, count_rate
	integer, parameter :: nways = 6
	real, dimension(n) :: x, y, ysum(nways), dt(nways)
	character(*), parameter :: fmt1 = "(a14,1x,f8.4)"
	logical, parameter :: print_sums = .false., print_each = .false.
	character (len=10) :: methods(nways) = ["global ", &

Beliavsky / gist:8480793d8be5386788dd3485eff891ca

Created May 24, 2018 20:50

timings of Fortran code xblock_sub.f90

	global associate block no_temp forall do_concurrent
	gfortran 0.4640 0.3598 0.3601 0.3446 0.2281 0.2222
	gfortran -O3 0.1914 0.1079 0.1097 0.1072 0.1093 0.1080
	ifort 0.1475 0.0728 0.0737 0.0749 0.0718 0.0718
	ifort -O3 0.1488 0.0714 0.0718 0.0722 0.0718 0.0724

Beliavsky / cef_quotes_iex.html

Last active May 1, 2018 19:19

Closed-End Fund quotes

	<!-- 05/01/2018 10:31 AM display quotes for all CEFs -->
	<!DOCTYPE html>
	<html lang="en">
	<head>
	<meta name="viewport" content="width=device-width, initial-scale=1.0">
	<meta charset="utf-8">
	<title>Closed-End Funds</title>
	<link rel="icon" href="https://d3v3cbxkdlyonc.cloudfront.net/stocks/favicon.ico">
	<meta name="description" content="A free, lightweight, blazing-fast page to get stock quotes using the IEX API">