200

1. Build Model.R

rm(list = ls(all = TRUE))
#http://etfprophet.com/days-since-200-day-highs/

require(quantmod)
getSymbols('^GSPC',from='1900-01-01')

daysSinceHigh <- function(x, n){
   apply(embed(x, n), 1, which.max)-1
}

myStrat <- function(x, nHold=100, nHigh=200) {
	position <- ifelse(daysSinceHigh(x, nHigh)<=nHold,1,0)
	c(rep(0,nHigh-1),position)
}

myStock <- Cl(GSPC)
myPosition <- myStrat(myStock,100,200)
bmkReturns <- dailyReturn(myStock, type = "arithmetic")
myReturns <- bmkReturns*Lag(myPosition,1)
myReturns[1] <- 0

names(bmkReturns) <- 'SP500'
names(myReturns) <- 'Me'

2. Assess Peformance.R

require(PerformanceAnalytics)
charts.PerformanceSummary(cbind(bmkReturns,myReturns))

Performance <- function(x) {

	cumRetx = Return.cumulative(x)
	annRetx = Return.annualized(x, scale=252)
	sharpex = SharpeRatio.annualized(x, scale=252)
	winpctx = length(x[x > 0])/length(x[x != 0])
	annSDx = sd.annualized(x, scale=252)
	
	DDs <- findDrawdowns(x)
	maxDDx = min(DDs$return)
	maxLx = max(DDs$length)

	Perf = c(cumRetx, annRetx, sharpex, winpctx, annSDx, maxDDx, maxLx)
	names(Perf) = c("Cumulative Return", "Annual Return","Annualized Sharpe Ratio",
		"Win %", "Annualized Volatility", "Maximum Drawdown", "Max Length Drawdown")
	return(Perf)
}
cbind(Me=Performance(myReturns),SP500=Performance(bmkReturns))

3. Performance.txt

                                   Me         SP500
Cumulative Return         77.03146070   71.15426170
Annual Return              0.07326067    0.07189781
Annualized Sharpe Ratio    0.63648679    0.46535064
Win %                      0.54484242    0.53242454
Annualized Volatility      0.11510163    0.15450243
Maximum Drawdown          -0.33509517   -0.56775389
Max Length Drawdown     1553.00000000 1898.00000000

4. Other Indexes.R

testStrategy <- function(myStock, nHold=100, nHigh=200) {
	myPosition <- myStrat(myStock,nHold,nHigh)
	bmkReturns <- dailyReturn(myStock, type = "arithmetic")
	myReturns <- bmkReturns*Lag(myPosition,1)
	myReturns[1] <- 0
	names(bmkReturns) <- 'Index'
	names(myReturns) <- 'Me'
	
	charts.PerformanceSummary(cbind(bmkReturns,myReturns))
	cbind(Me=Performance(myReturns),Index=Performance(bmkReturns))

}

getSymbols('^FTSE',from='1900-01-01')
getSymbols('DJIA', src='FRED')
getSymbols('^N225',from='1900-01-01')

testStrategy(Cl(FTSE),100,200)
testStrategy(na.omit(DJIA),100,200)
round(testStrategy(Cl(N225),100,200),8)

5. Performance.txt

FTSE:
                                   Me        Index
Cumulative Return          3.56248582    3.8404476
Annual Return              0.05667121    0.0589431
Annualized Sharpe Ratio    0.45907768    0.3298633
Win %                      0.53216374    0.5239884
Annualized Volatility      0.12344579    0.1786895
Maximum Drawdown          -0.39653398   -0.5256991
Max Length Drawdown     1633.00000000 2960.0000000

DJIA:
                                   Me         Index
Cumulative Return        364.53412355  277.66780655
Annual Return              0.05282208    0.05033327
Annualized Sharpe Ratio    0.40688871    0.27453532
Win %                      0.53748349    0.52523599
Annualized Volatility      0.12981947    0.18333987
Maximum Drawdown          -0.53822732   -0.89185928
Max Length Drawdown     3847.00000000 6301.00000000

N225:
                                   Me         Index
Cumulative Return          0.98108503   -0.12146268
Annual Return              0.02560154   -0.00477699
Annualized Sharpe Ratio    0.17677957   -0.02053661
Win %                      0.52871073    0.51337842
Annualized Volatility      0.14482181    0.23260863
Maximum Drawdown          -0.49361328   -0.81871261
Max Length Drawdown     5342.00000000 5342.00000000

I cannot use the code. It is shown that
"there is no package called ‘PerformanceAnalytics"