Example Fibonacci Retracement Levels

ex fibonacci.R

# *-----------------------------------------------------------------
# | PROGRAM NAME: ex fibonacci.R
# | DATE:6/26/18 
# | CREATED BY: MATT BOGARD 
# | PROJECT FILE: /Users/amandabogard/Google Drive/          
# *----------------------------------------------------------------
# | PURPOSE: code based on  http://mindymallory.com/R-Companion-Price-Analysis/chapter-2-getting-started.html#working-with-apis
# *----------------------------------------------------------------

library(RCurl) # necessary for reading data from url

CZ2018 <- getURL("https://www.quandl.com/api/v1/datasets/CME/CZ2018.csv") # pull price data from quandl
CZ2018 <- read.csv(text = CZ2018) # read file from pull above

head(CZ2018)
tail(CZ2018, n = 90)
names(CZ2018)

# plotting with quantmod

library(quantmod)
library(xts)

# cleanup names
CZ2018$Open.Interest <- CZ2018$Previous.Day.Open.Interest
CZ2018$Previous.Day.Open.Interest <- NULL

# modify data for plotting using quantmod functions
CZ2018_chart <- subset(CZ2018, select= -c(Date, Change, Last, Open.Interest))       
CZ2018_chart <- xts(CZ2018_chart, order.by = as.Date(CZ2018$Date))    
colnames(CZ2018_chart)[4] <- "Close"

## Calculate Fibonacci Retracements over last 90 periods (https://gist.github.com/drewgriffith15/e34560476a022612aa60)
# https://www.investopedia.com/ask/answers/05/fibonacciretracement.asp
# validated against: http://www.patterntrapper.com/fibonacci-calculator.html 
hi <- last(Hi(CZ2018_chart),90)
lo <- last(Lo(CZ2018_chart),90)

FR100 <- max(hi) # 429.50
FR0 <- min(lo) # 360
last90 <- last(CZ2018_chart,90)
last90$FR100 <- FR100
last90$FR0 <- FR0
last90$FR78 <- FR100 - (FR100 - FR0) * 0.786 # 78.6%
last90$FR62 <- FR100 - (FR100 - FR0) * 0.618 # 61.8%
last90$FR50 <- FR100 - (FR100 - FR0) * 0.500 # 50%
last90$FR38 <- FR100 - (FR100 - FR0) * 0.382 # 38.2%
last90$FR24 <- FR100 - (FR100 - FR0) * 0.236 # 23.6%

## Plot
thm <- chart_theme()
#thm$col$line.col <- 'black'
chart_Series(last90, theme=thm,name="CZ2018")
add_Series(last90[,6],on=1)  # FR100 90 day high
add_Series(last90[,7],on=1)  # FR0 90 day low
add_Series(last90[,8],on=1)  # 78.6%
add_Series(last90[,9],on=1)  # 61.8%
add_Series(last90[,10],on=1) # 50%
add_Series(last90[,11],on=1) # 38.2%
add_Series(last90[,12],on=1) # 23.6%