DVI Indicator Backtesting with SIT
require(quantmod) | |
require(SIT) | |
dvi.indicator = function(prices) { | |
dvi = TTR:::DVI(prices)[,3] | |
indicator.long = ifelse(dvi <= 0.5, 1, 0) | |
indicator.short = ifelse(dvi > 0.5, -1, 0) | |
indicator = reclass(cbind(indicator.short + indicator.long), prices) | |
return(indicator) | |
} | |
bt.dvi = function(ticker='GSPC', file="gspc.csv", dates='1990::2013', prefix="") { | |
# The data is consumed from the *data* environment. The *signals* environment, contains | |
# the data adjusted only for splits - this is what the signals are based upon. For the | |
# actuall trading, the prices are adjusted both for splits and dividends. | |
data = new.env() | |
signals = new.env() | |
gspc = xts(read.zoo(file=file, format="%Y-%m-%d", header=T, sep=",")) | |
signals[[ticker]] = gspc | |
data[[ticker]] = adjustOHLC(gspc, use.Adjusted=T) | |
bt.prep(data, align='keep.all', dates=dates) | |
bt.prep(signals, align='keep.all', dates=dates) | |
# DVI | |
data$weight[] = NA | |
data$weight[] = bt.apply(signals, function(xx) {dvi.indicator(Cl(xx))[,1]}) | |
dvi.regular = bt.run(data, trade.summary=T) | |
print(round(dvi.regular$trade.summary$stats, 4)) | |
png(filename=paste(prefix, 'plot.png', sep=""), width=1200, height=800, units='px', pointsize=12, bg='white') | |
plotbt.custom.report.part1(dvi.regular) | |
plotbt.custom.report.part2(dvi.regular) | |
dev.off() | |
} |
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Zdravei,
Can you please share the gspc.csv file?
Blagodarq