daily_OHLC_manipulation.R

#functions for altering your peceptions of standard daily OHLC values
price.diff <- function(stock.data) {

  price <- stock.data$adj
  output <- vector()

  for (i in 1:length(price)) {

    if (i < 2) {
      output[i] <- 0 

    } else { 
      output[i] <- ((price[i] - price[i-1]) / price[i-1])*100
    }
  }
  return(output)
}

price.diff <- price.diff(stock.data)
stock.data$price.diff <- price.diff

pos.price.diff <- function(stock.data) {
  #browser() 
  window <- 10
  diff     <- stock.data$price.diff
  pos.diff <- vector()
  output <- vector()

  for (i in 1:length(diff)) {

    if(diff[i] > 0) {
      pos.diff[i] <- diff[i]  

    } else if (diff[i] <= 0) {
      pos.diff[i] <- NA
    }

    if ( i < window){
      output[i] <- NA

    } else if (i >= window && !all(is.na(pos.diff[( i - (window - 1) ):i]))) {
      output[i] <- (sum(pos.diff[( i - (window - 1) ):i], na.rm = TRUE) / window)

    } else { 
      output[i] <- NA
    }
  }
  return(output)
}

pos.price.diff <- pos.price.diff(stock.data)
stock.data$pos.price.diff <- pos.price.diff  

neg.price.diff <- function(stock.data) {
  #browser() 
  window <- 10
  diff     <- stock.data$price.diff
  neg.diff <- vector()
  output <- vector()

  for (i in 1:length(diff)) {

    if(diff[i] < 0) {
      neg.diff[i] <- diff[i]  

    } else if (diff[i] >= 0) {
      neg.diff[i] <- NA
    }

    if ( i < window){
      output[i] <- NA

    } else if (i >= window && !all(is.na(neg.diff[( i - (window - 1) ):i]))) {
      output[i] <- (sum(neg.diff[( i - (window - 1) ):i], na.rm = TRUE) / window)

    } else { 
      output[i] <- NA
    }
  }
  return(output)
}

neg.price.diff <- neg.price.diff(stock.data)
stock.data$neg.price.diff <- neg.price.diff

swing.prob <- function(stock.data) {
  #browser() 
  diff       <- stock.data$price.diff
  neg.diff   <- stock.data$neg.price.diff
  pos.diff   <- stock.data$pos.price.diff
  swings     <- vector()
  swing.prob <- vector()
  output     <- vector()

  for (i in 1:length(diff)) {

    if (

      (abs(neg.price.diff[i] > pos.price.diff[i])) &&

      (!is.na(price.diff[i]) && (!is.na(neg.price.diff[i])) && (!is.na(pos.price.diff[i]))
       && (price.diff[i] < (neg.price.diff[i] * 1.4)))
      &&
      (!is.na(price.diff[i-1]) && (!is.na(neg.price.diff[i-1])) && (!is.na(pos.price.diff[i-1]))
       && (price.diff[i-1] < (neg.price.diff[i-1] * 1.4)))
      ||
      (abs(neg.price.diff[i] <= pos.price.diff[i])) &&

      (!is.na(price.diff[i]) && (!is.na(neg.price.diff[i])) && (!is.na(pos.price.diff[i]))
       && (price.diff[i] < (neg.price.diff[i] * 1.3)))  

      # (!is.na(price.diff[i]) && (!is.na(neg.price.diff[i])) && (!is.na(pos.price.diff[i]))
      #  && (price.diff[i] < (neg.price.diff[i] * 4)))
      #  && (abs(neg.diff[i]) < (abs(pos.diff[i])))
    )
    {
      swings[i] <- 1

    } else if ( 

      (abs(neg.price.diff[i] < pos.price.diff[i])) &&

      (!is.na(price.diff[i]) && (!is.na(neg.price.diff[i])) && (!is.na(pos.price.diff[i]))
       && (price.diff[i] > (pos.price.diff[i] * 1.4)))
      &&
      (!is.na(price.diff[i-1]) && (!is.na(neg.price.diff[i-1])) && (!is.na(pos.price.diff[i-1]))
       && (price.diff[i-1] > (pos.price.diff[i-1] * 1.4)))

      ||
      (abs(neg.price.diff[i] <= pos.price.diff[i])) &&

      (!is.na(price.diff[i]) && (!is.na(neg.price.diff[i])) && (!is.na(pos.price.diff[i]))
       && (price.diff[i] > (pos.price.diff[i] * 1.3)))

      # (!is.na(price.diff[i]) && (!is.na(neg.price.diff[i])) && (!is.na(pos.price.diff[i]))
      #  && (price.diff[i] > (pos.price.diff[i] * 4)))
      #  && (abs(neg.diff[i]) > (abs(pos.diff[i])))
    )
    {
      swings[i] <- -1

    } else {
      swings[i] <- 0
    } 

  }
  return(swings)
}

swing.prob <- swing.prob(stock.data)
stock.data$swing.prob <- swing.prob 

alt.swing.prob <- function(stock.data) {
  #browser() 
  swing.prob <- stock.data$swing.prob
  output     <- vector()

  for (i in 2:length(stock.data$date)) {

    if ( 
      ((swing.prob[i-1] == 1) && (swing.prob[i] == 0)) 
    )
    {
      output[i] <- 1

    } else if ( 
      ((swing.prob[i-1] == -1) && (swing.prob[i] == 0))
    )
    {
      output[i] <- -1

    } else {
      output[i] <- 0
    }
  }
  return(output)
}

alt.swing.prob <- alt.swing.prob(stock.data)
stock.data$alt.swing.prob <- alt.swing.prob 

current.state <- function(stock.data) {
  #browser() 
  diff       <- stock.data$price.diff
  neg.diff   <- stock.data$neg.price.diff
  pos.diff   <- stock.data$pos.price.diff
  output     <- vector()

  for (i in 2:length(stock.data$date)) {

    if(is.na(pos.diff[i])) {
      next
    }

    if ( 
      ((diff[i] >= 0) && (diff[i] < pos.diff[i])) 
    )
    {
      output[i] <- 1

    } else if ( 
      ((diff[i] < 0) && (diff[i] > neg.diff[i])) 
    )
    {
      output[i] <- 2

    } else if ( 
      (diff[i] > pos.diff[i]) 
    )
    {
      output[i] <- 3

    } else if ( 
      (diff[i] < neg.diff[i]) 
    )
    {
      output[i] <- 4

    }  
  }
  return(output)
}

states <- current.state(stock.data)
stock.data$state <- states   

after.hrs.chg <- function(stock.data) {

  price <- stock.data$adj
  open <- stock.data$adj.open
  output <- vector()

  for (i in 1:length(price)) {

    if (i < 2) {
      output[i] <- 0 

    } else { 
      output[i] <- ((open[i] - price[i-1]) / price[i-1])*100
    }
  }
  return(output)
}

after.hrs.chg <- after.hrs.chg(stock.data)
stock.data$after.hrs.chg <- after.hrs.chg

CalculateCMAa <- function(stock.data) {

  window <- 5
  price <- stock.data$adj
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

CMAa <- CalculateCMAa(stock.data)
stock.data$cma.a <- CMAa

CalculateCMAb <- function(stock.data) {

  window <- 10
  price <- stock.data$adj
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

CMAb <- CalculateCMAb(stock.data)
stock.data$cma.b <- CMAb  

CalculateCMAc <- function(stock.data) {

  window <- 30
  price <- stock.data$adj
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

CMAc <- CalculateCMAc(stock.data)
stock.data$cma.c <- CMAc  

CalculateHMAa <- function(stock.data) {

  window <- 6
  price <- stock.data$adj.high
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

HMAa <- CalculateHMAa(stock.data)
stock.data$hma.a <- HMAa

CalculateHMAb <- function(stock.data) {

  window <- 10
  price <- stock.data$adj.high
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

HMAb <- CalculateHMAb(stock.data)
stock.data$hma.b <- HMAb  

CalculateHMAc <- function(stock.data) {

  window <- 30
  price <- stock.data$adj.high
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

HMAc <- CalculateHMAc(stock.data)
stock.data$hma.c <- HMAc     

CalculateLMAa <- function(stock.data) {

  window <- 6
  price <- stock.data$adj.low
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

LMAa <- CalculateLMAa(stock.data)
stock.data$lma.a <- LMAa

CalculateLMAb <- function(stock.data) {

  window <- 10
  price <- stock.data$adj.low
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

LMAb <- CalculateLMAb(stock.data)
stock.data$lma.b <- LMAb  

CalculateLMAc <- function(stock.data) {

  window <- 30
  price <- stock.data$adj.low
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum(price[( i - (window - 1) ):i]) / window)
    }
  }
  return(output)
}

LMAc <- CalculateLMAc(stock.data)
stock.data$lma.c <- LMAc

PriceSD <- function(stock.data) {

  window <- 5
  price <- stock.data$adj
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- sd(price[( i - (window - 1) ):i])
    }
  }
  return(output)
}

price.sd <- PriceSD(stock.data)
stock.data$price.sd <- price.sd

diffSD <- function(stock.data) {

  window <- 5
  diff <- stock.data$price.diff
  output <- vector()

  for (i in 1:length(diff)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- sd(diff[( i - (window - 1) ):i])
    }
  }
  return(output)
}

diff.sd <- diffSD(stock.data)
stock.data$diff.sd <- diff.sd

diffHL <- function(stock.data) {

  high <- stock.data$adj.high
  low  <- stock.data$adj.low
  output <- vector()

  for (i in 1:length(high)) {

    output[i] <- high[i] - low[i]
  }
  return(output)
}

hl.diff <- diffHL(stock.data)
stock.data$hl.diff <- hl.diff

diffOC <- function(stock.data) {

  open <- stock.data$adj.open
  close  <- stock.data$adj
  output <- vector()

  for (i in 1:length(open)) {

    output[i] <- close[i] - open[i]
  }
  return(output)
}

oc.diff <- diffOC(stock.data)
stock.data$oc.diff <- oc.diff

calc.volume.ratio <- function(stock.data) {

  oc.diff <- stock.data$oc.diff
  volume <- stock.data$volume
  output <- vector()

  for (i in 1:length(volume)) {

    output[i] <- oc.diff[i] / volume[i]
  }
  return(output)

}

vol.ratio <- calc.volume.ratio(stock.data)
stock.data$vol.ratio <- vol.ratio

vol.pct.avg.chg <- function(stock.data) {

  ratio <- stock.data$vol.ratio
  output <- vector()

  for (i in 1:length(ratio)) {

    output[i] <- (ratio[i] / mean(stock.data$vol.ratio[1:i])) * 100

  }
  return(output)
}

vol.pct.avg.chg <- vol.pct.avg.chg(stock.data)
stock.data$vol.pct.avg.chg <- vol.pct.avg.chg

diffHC <- function(stock.data) {

  price <- stock.data$adj
  high  <- stock.data$adj.high
  output <- vector()

  for (i in 1:length(price)) {

    output[i] <- high[i] - price[i]
  }
  return(output)
}

hc.diff <- diffHC(stock.data)
stock.data$hc.diff <- hc.diff

diffLC <- function(stock.data) {

  price <- stock.data$adj
  low  <- stock.data$adj.low
  output <- vector()

  for (i in 1:length(price)) {

    output[i] <- low[i] - price[i]
  }
  return(output)
}

lc.diff <- diffLC(stock.data)
stock.data$lc.diff <- lc.diff

pct.days.pos <- function(stock.data) {

  window <- 10
  price <- stock.data$price.diff
  output <- vector()

  for (i in 1:length(price)) {

    if (i < window) {
      output[i] <- 0 

    } else { 
      output[i] <- (sum (unique(price[( i - (window - 1) ):i]) > 0) / window)
    }
  }
  return(output)
}

pct.days.pos <- pct.days.pos(stock.data)
stock.data$pct.days.pos <- pct.days.pos