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gojun077/TimelyPorfolio_Simple_RUT.R

Created October 14, 2011 09:27
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from TimelyPortfolio blog--simple system for Russell Index
Raw
TimelyPorfolio_Simple_RUT.R
require(quantmod)
require(PerformanceAnalytics)
getSymbols("^RUT",from="1896-01-01",to=Sys.Date())
signal<-ifelse(runMax(RUT[,2],7)/runMin(RUT[,3],7)-1-
ROC(RUT[,4],n=20,type="discrete")<0.02,1,0)
perf<-merge(lag(signal,k=1)*ROC(RUT[,4],type="discrete",n=1),
ROC(RUT[,4],type="discrete",n=1))
colnames(perf)<-c("System","Russell 2000")
charts.PerformanceSummary(perf,ylog=TRUE,
main="Quick Untested Russell 2000 System")
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