% dumb gaps script

clear all; clc;

spy = download_hist_yahoo_data('SPY', '10-Feb-2000', '01-Feb-2011');

%% now do a very simple caclulation 
L = length(spy.dates);
pnlUp = zeros(L,1);
pnlDown = zeros(L,1);

prevClose =[nan; spy.close(1:end-1)];
gap = spy.open - prevClose; 
gap(1) = 0;
bar(gap);

%% get some statistics

% gap down & low does not hit exit
win = spy.open-gap; loss = spy.open+gap;
clf; hold on;
idx = find(gap<0);
plot(idx,spy.open(idx),'ro');
plot([win,loss]);

nrWin = sum(spy.high(idx)>win(idx));
nrLoose = sum(spy.low(idx)<loss(idx));

percWin = nrWin/(nrWin+nrLoose)*100

%% up gap

% gap down & low does not hit exit
win = spy.open+gap; loss = spy.open-gap;
clf; hold on;
idx = find(gap>0);
plot(idx,spy.open(idx),'go');
plot([win,loss]);

nrWin = sum(spy.high(idx)>win(idx));
nrLoose = sum(spy.low(idx)<loss(idx));

percWin = nrWin/(nrWin+nrLoose)*100


%%

% up gaps win
idx = (gap>0) & (spy.low<prevClose);
pnlUp(idx) = -(prevClose(idx)-spy.open(idx)); 

% up gaps loose
idx = (gap>0) & (spy.low>prevClose);
pnlUp(idx) = -(spy.close(idx)-spy.open(idx)); 


% down gaps win
idx = (gap<0) & (spy.high>prevClose);
pnlDown(idx) = (prevClose(idx)-spy.open(idx)); 

% down gaps loose
idx = (gap<0) & (spy.high<prevClose);
pnlDown(idx) = (spy.close(idx)-spy.open(idx)); 

pnl = [pnlUp, pnlDown, pnlUp+pnlDown,[0;diff(spy.close)]];

plot(spy.dates,cumsum(pnl),'linewidth',2); datetick('x');
legend('Gap Up','Gap Down','Up&Down Combined', 'SPY','location','best');
title('Dumb gap strategy pnl'); xlabel('date');
ylabel('$ pnl per share');

grid on;

%% some statistics
sharpe = sqrt(250)*mean(pnl)./std(pnl);
disp(sharpe);