Created
January 31, 2014 06:14
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| require(quantmod) | |
| require(PerformanceAnalytics) | |
| getSymbols('^GSPC',from='1970-01-01') | |
| vol = 100 * sqrt(262) * runSD(dailyReturn(Ad(GSPC),type='log'),60) | |
| backtest = dailyReturn(Ad(GSPC),type='log') | |
| backtest[ lag(vol,1) > 15] = 0 | |
| charts.PerformanceSummary(backtest) |
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