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josephdunn / install_R_quant_libs.sh
Created February 18, 2012 23:16
#!/bin/sh
### Make a directory to work from
mkdir -p ~/dev/R-libs
cd ~/dev/R-libs
### Check out source trees
svn co svn://svn.r-forge.r-project.org/svnroot/zoo/pkg/zoo
svn co svn://svn.r-forge.r-project.org/svnroot/xts/pkg/xts
svn co svn://svn.r-forge.r-project.org/svnroot/ttr/pkg ttr
@josephdunn
josephdunn / maCross_poslimit.R
Created February 21, 2012 16:35
#########################################################################################################################################################################
#A simple moving average strategy to evaluate trade efficiency
#checks on SMA of 50 days and SMA of 200 days
#Author: R. Raghuraman("raghu"), Brian Peterson
#########################################################################################################################################################################
require(quantstrat)
suppressWarnings(rm("order_book.macross",pos=.strategy))
suppressWarnings(rm("account.macross","portfolio.macross",pos=.blotter))
suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACROSS","initDate","initEq",'start_t','end_t'))
@josephdunn
josephdunn / gist:1877309
Created February 21, 2012 16:42
joseph@fletcher:~/dev/R-libs/quantstrat/demo/joe$ Rscript maCross.R
Loading required package: quantstrat
Loading required package: xts
Loading required package: zoo
Warning: locked binding of ‘as.Date.numeric’ will not be changed
Attaching package: ‘zoo’
The following object(s) are masked from ‘package:base’:
@josephdunn
josephdunn / gist:1877358
Created February 21, 2012 16:56
> mktdata[mktdata$ma50.gt.ma200 == 1]
AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted ma50 ma200 ma50.gt.ma200 ma50.lt.ma200
2001-06-26 11.674914 11.890004 11.509844 11.88 9742200 11.88 11.4304 11.35785 1 NA
2002-01-04 11.674926 11.980055 11.499852 11.85 14642000 11.85 10.2674 10.26100 1 NA
2003-05-15 9.295035 9.419968 9.230069 9.36 10178400 9.36 7.4438 7.43875 1 NA
2006-09-25 73.810000 75.860000 73.720000 75.75 30678300 75.75 67.4122 67.08060 1 NA
2008-05-16 190.110000 190.300000 187.000000 187.62 27348900 187.62 156.5994 155.86610 1 NA
2009-05-13 123.210000 124.020000 119.380000 119.49 21284700 119.49 112.9098 112.47555 1 NA
> mktdata[mktdata$ma50.lt.ma200 == 1]
AAPL.Open AAPL.High AAPL.Low AAPL.Close
@josephdunn
josephdunn / rocema_example.R
Created February 26, 2012 23:12
require(quantstrat)
rm(list=ls())
try(rm(list=ls(pos=.blotter), pos=.blotter), silent=TRUE)
try(rm(list=ls(pos=.strategy), pos=.strategy), silent=TRUE)
try(rm(list=ls(pos=.instrument), pos=.instrument), silent=TRUE)
# settings
s <- 'SPY'
initEq <- 100000
@josephdunn
josephdunn / gist:1937035
Created February 29, 2012 02:19
# {{{ chart_theme
chart_theme <- chart_theme_white <- function() {
theme <-list(col=list(bg="#FFFFFF",
label.bg="#F0F0F0",
grid="#F0F0F0",
grid2="#F5F5F5",
ticks="#999999",
labels="#333333",
line.col="darkorange",
dn.col="red",
@josephdunn
josephdunn / gist:1937036
Created February 29, 2012 02:20
chart_Series <- function(x,
name=deparse(substitute(x)),
type="candlesticks",
subset="",
TA="",
pars=chart_pars(), theme=chart_theme(),
clev=0) {
@josephdunn
josephdunn / gist:1954384
Created March 2, 2012 00:52
RocSys = function(x, nEMA, nROC, nTREND)
{
rocema = ROC(EMA(x, nEMA), nROC)
trend = EMA(x, nTREND)
signal =
ifelse(rocema>0 & lag(rocema)<=0, ifelse(x>trend, 1, 0),
ifelse(rocema<0 & lag(rocema)>=0, ifelse(x<trend, -1, 0),
NA)
)
@josephdunn
josephdunn / gist:2003633
Created March 8, 2012 21:38
<body>
<div class='navbar navbar-fixed-top'>
<div class='navbar-inner'>
<div class='container'>
<a class='btn btn-navbar' data-target='.nav-collapse' data-toggle='collapse'>
<span class='icon-bar'></span>
<span class='icon-bar'></span>
<span class='icon-bar'></span>
</a>
<a class='brand' href='#'>Frooom</a>
@josephdunn
josephdunn / gist:2822448
Created May 29, 2012 04:09
running.acf.max <- function(returns, window=100, nlags=5, plot=TRUE, main='')
{
clevel <- qnorm (0.5 + 0.95/2) / sqrt(window)
series <- rollapply(returns, window, align='right', by=1, function(w)
{
acfs <- pacf(coredata(w), lag.max=nlags, plot=FALSE)$acf
cum <- cumsum(acfs)
low <- min(cum)