Momentum Trading in R

Momentum Trading SPY Strategy.r

library(quantmod)

# Download SPY data from Yahoo Finance
getSymbols("SPY", src = "yahoo", from = "2007-01-01", to = "2022-04-07")

# Calculate moving average
ma_length <- 38
ma <- SMA(Cl(SPY), n = ma_length)

# Calculate OBV
obv <- OBV(SPY)

# Define entry signals
entry_signal <- ifelse(
  Cl(SPY) > ma & (Op(SPY) > lag(Low(SPY), default = na.locf(Low(SPY))) | lag(Op(SPY), default = na.locf(Op(SPY))) > ma & lag(Low(SPY), default = na.locf(Low(SPY))) > ma) & 
    Cl(SPY) > ma & (weekdays(index(SPY)) %in% c("Monday", "Wednesday", "Thursday", "Friday")) &
    obv > SMA(obv, n = 200, na.rm = TRUE), 1, 0)

# Define exit signals
exit_signal <- SigCrossover(Cl(SPY), ma, cross = 1, saturate = FALSE)

# Combine signals
signal <- entry_signal * 1 - exit_signal * 1

# Calculate returns and equity curve
returns <- ROC(Cl(SPY)) * signal
equity_curve <- cumprod(1 + returns)

# Display performance metrics
library(PerformanceAnalytics)
charts.PerformanceSummary(returns)