stock_prophet_experiment.R

#### Libraries ####
library(quantmod) #getSymbols/chartSeries
library(zoo)      #rollmean/rollapply
library(plyr)
library(TTR)
library(prophet)
library(dplyr)
library(ggplot2)
library(ggthemes)
library(cowplot)
library(zoo)

#### Globals ####
chart_path = paste0(getwd(),"/Plots/")
dir.create(chart_path, showWarnings=FALSE)
plot.width  = 1600
plot.height = 900
plot.days = 200
plot.predict = 60
plot.sma.slow = 15
plot.sma.fast = 5
subset.range = 700
step_back = 7

#### Fetch Ticker Data ####
StockSymbol = 'AMD'
StockDF <- as.data.frame(getSymbols(Symbols=StockSymbol, src="google", env=NULL, return.class="data.frame", auto.assign=FALSE))
StockDF$Date <- as.Date(row.names(StockDF))
names(StockDF) <- c("Open","High","Low","Close","Volume","Date")

StockDF <- subset(StockDF, Date > Sys.Date() - subset.range)
#### Manipulate Data ####
StockDF$move <- StockDF$Close - StockDF$Open

prophet.move <- prophet(data.frame(
  ds=StockDF$Date,
  y=StockDF$move
))
prophet.move.predict <- predict(
  prophet.move,
  make_future_dataframe(prophet.move, periods=plot.predict)
)

plot.data.tmp <- data.frame(
  ds=StockDF$Date,
  y=StockDF$Close
)
stock.prophet <- prophet(plot.data.tmp)
stock.predict <- predict(
  stock.prophet,
  make_future_dataframe(stock.prophet, periods=plot.predict)
)

plot.data <- merge(
  plot.data.tmp,
  stock.predict,
  by='ds',
  all=TRUE
)

plot.data$monte <- NA
monte.date <- max(StockDF$Date, na.rm=TRUE)
monte.date <- StockDF$Date[which(StockDF$Date == monte.date) - step_back] #walk back N rows
monte.price <- StockDF$Close[StockDF$Date == monte.date]
for(val in 1:(plot.predict+step_back)){
  step_date <- monte.date + val
  if(!step_date %in% prophet.move.predict$ds){
    next
  }
  monte.price <- monte.price + prophet.move.predict$yhat[prophet.move.predict$ds == step_date]
  plot.data$monte[plot.data$ds == step_date] <- monte.price
}

#### Build Plot ####
plot.range = Sys.Date() - plot.days
plot.data <- subset(plot.data, ds > plot.range)
plot <- ggplot(
  plot.data,
  aes(
    x=ds,
    ymin=yhat_lower,
    ymax=yhat_upper
  )
) + geom_ribbon(
  color='light blue',
  fill='light blue',
  alpha=0.5
) + geom_line(
  aes(
    x=ds,
    y=y
  ),
  data=plot.data
) + geom_line(
  aes(
    x=ds,
    y=monte
  ),
  data=plot.data,
  color='red'
) + labs(
  x='Date',
  y='Closing Price',
  title=paste0(StockSymbol, ' + Prediction ', plot.predict, ' -- ', Sys.Date())
) + theme_fivethirtyeight()

print(plot)

#### Save Plot ####
image_title <- paste(
  StockSymbol,
  paste0("prediction-", plot.predict),
  Sys.Date(),
  sep="_"
)
png(paste0(chart_path,image_title,".png"), width=plot.width, height=plot.height)
print(plot)
dev.off()