tomas-rampas

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tomas-rampas

# Donchian Channel
def donchian(df, n):
    i = df.index[-1] - 1
    dcuarr = [float('NaN')] * df.index[-1]
    dclarr = [float('NaN')] * df.index[-1]

    while i - n >= 0:
        dcupper = max(df['High'].ix[i - n:i])
        dclower = min(df['Low'].ix[i-n:i])
        dcuarr[i] = dcupper

tomas-rampas

require(chron)
require(Hmisc)
require(ggplot2)

#this function creates and returns date time for indexing purposes later
f = function(d, t) as.chron(paste(strptime(d, "%Y.%m.%d"), t))
#path to data, change for pointing your repository
path <- "G://TickData//" 
#suffix of the file names with extension
suffix <- "_UTC+0_00_noweekends_fxmtf.csv" 

tomas-rampas

library(quantmod)
library(zoo)
library(chron)

#following section loads "Systematic Investor Toolbox"
setInternet2(TRUE)
con <- gzcon(url('https://github.com/systematicinvestor/SIT/raw/master/sit.gz', 'rb'))
source(con)
close(con)

tomas-rampas

#required libraries
library(quantmod)
library(zoo)
library(chron)

#following section loads "Systematic Investor Toolbox"
setInternet2(TRUE)
con <- gzcon(url('https://github.com/systematicinvestor/SIT/raw/master/sit.gz', 'rb'))
source(con)
close(con)

tomas-rampas

/**
 * Created by Tomas Rampas on 4/10/2016.
 */
import com.dukascopy.api.*;
import com.dukascopy.api.drawings.*;
import com.dukascopy.api.feed.IFeedDescriptor;
import com.dukascopy.api.indicators.*;

import java.awt.*;

tomas-rampas

#reads ticks and creates .rda file

library(xts)
library(zoo)
library(blotter)

symbol = "GBPJPY"

tick.data.dir <- paste0('g:\\JForex\\data\\', symbol)
tick.data.outdir <- "g:\\TickData\\"

tomas-rampas

rm(list = ls())
gc()

library(knitr)
library(blotter)
if (!exists('.blotter')) .blotter <- new.env()

suppressWarnings(try(rm(list=c("account.forex","portfolio.forex"),pos=.blotter),silent=TRUE))
suppressWarnings(try(rm(list=c("b.strategy","myTheme","EURUSD",".getSymbols")),silent=TRUE))

tomas-rampas

# this gist anticipates following:
# existence of GBPJPY.csv with OHLC series in g:\TickData directory
# time series having date time in format %d.%m.%Y %H:%M:%S

# update above assumptions in accordance with your dataset

library(blotter)

symbol = "GBPJPY"

tomas-rampas

import com.dukascopy.api.*;
import org.rosuda.JRI.REXP;
import org.rosuda.JRI.Rengine;

/**
 * Created by tomas on 8/17/2016.
 */
public class JRITestStrategy implements IStrategy {
    @Override