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require(quantmod)
prepare.indicator = function(close, indicator, roc.n, normalize=FALSE, func=mean) {
rets = ROC(close, type="discrete", n=roc.n)
if(normalize) {
# Normalize the returns to daily
rets = ((1 + rets) ^ (1/roc.n)) - 1
}
mm = merge(na.exclude(lag(indicator, k=roc.n)), na.exclude(rets), all=F)
dd = as.numeric(mm[,1])
# Map the indicator values into the tenth intervals
ee = ceiling(dd*10)
ee = ifelse(ee == 0, 1, ee)
# Create the factors
ff = factor(ee, labels=as.character(seq(0.1, 1, 0.1)))
# Split the returns according to the factors
gg = split(as.numeric(mm[,2]), ff)
yy = sapply(gg, func)
return(list(raw.res=gg, res=yy, rets=rets))
}
dvi.analysis = function(close, lags=c(5), normalize=FALSE, file.path, do.plot=TRUE, width=800, height=1200, func=mean) {
# Redirect the plot if necessary
if(do.plot && !missing(file.path)) {
png(filename=file.path, width=width, height=height, units='px', pointsize=12, bg='white')
}
if(length(lags) %% 2 == 0) {
par(mfrow=c(length(lags) / 2, 2))
} else {
par(mfrow=c(length(lags), 1))
}
ind = TTR:::DVI(close)[,3]
res = list()
raw.res = list()
rets = list()
for(ll in lags) {
xx = prepare.indicator(close, ind, roc.n=ll, normalize=normalize, func=func)
yy = xx$res
barplot(
yy,
ylim=c(-max(abs(yy)), max(abs(yy))),
col=ifelse(yy<0, "darkblue", "red"),
main=paste(as.character(ll), "-day returns", sep=""),
xlab="DVI level",
ylab="Expected return")
res[[as.character(ll)]] = xx$res
raw.res[[as.character(ll)]] = xx$raw.res
rets[[as.character(ll)]] = xx$rets
# return(list(gg=gg, ff=ff, ee=ee, dd=dd))
}
# Restore the plot output
if(do.plot && !missing(file.path)) {
dev.off();
}
return(list(res=res, raw.res=raw.res, rets=rets))
}
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