Joseph Dunn josephdunn
josephdunn
/ blah.R
Created
February 15, 2013 21:49
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| suppressMessages(require(quantstrat)) | |
| Sys.setenv(TZ='America/New_York') | |
| # define variables | |
| sym <- 'AAPL' | |
| initDate <- '2013-01-22' | |
| endDate <- '2013-02-08' | |
| port <- 'z' |
josephdunn
/ peakdetect.py
Created
August 10, 2012 17:07
— forked from sixtenbe/analytic_wfm.py
Peak detection in Python
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| import numpy as np | |
| from math import pi, log | |
| import pylab | |
| from scipy import fft, ifft | |
| from scipy.optimize import curve_fit | |
| i = 10000 | |
| x = np.linspace(0, 3.5 * pi, i) | |
| y = (0.3*np.sin(x) + np.sin(1.3 * x) + 0.9 * np.sin(4.2 * x) + 0.06 * | |
| np.random.randn(i)) |
josephdunn
/ gist:3173473
Created
July 24, 2012 23:51
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| library(quantmod) | |
| getSymbols('SPY') | |
| expiry_idx <- options.expiry(SPY) | |
| for (i in 2:length(expiry_idx)-1) | |
| { | |
| period_start <- index(SPY[expiry_idx[i] + 1]) | |
| period_end <- index(SPY[expiry_idx[i + 1]]) |
josephdunn
/ py_example.py
Created
July 24, 2012 15:24
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| #!/usr/bin/env python | |
| class BidAskParseError(Exception): pass | |
| import datetime | |
| from twisted.internet import reactor | |
| from twisted.protocols.basic import LineReceiver | |
| from twisted.internet.protocol import ClientFactory | |
| class ExampleClient(LineReceiver): |
josephdunn
/ gist:2975914
Created
June 23, 2012 00:15
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| library(RQuantLib) | |
| goog <- list(spot = 570.225, | |
| yield = 0, | |
| rate = 0.05, | |
| maturity = as.numeric(as.Date('2012-06-29') - Sys.Date()) / 365, | |
| volatility = 0.3038834, # annualizedVol() | |
| chain = matrix(c(550.00, 21.95, | |
| 555.00, 17.40, | |
| 560.00, 13.30, |
josephdunn
/ gist:2838678
Created
May 30, 2012 20:20
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| set nocompatible " We're running Vim, not Vi! | |
| syntax on " Enable syntax highlighting | |
| filetype on " Enable filetype detection | |
| filetype indent on " Enable filetype-specific indenting | |
| filetype plugin on " Enable filetype-specific plugins |
josephdunn
/ gist:2822448
Created
May 29, 2012 04:09
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| running.acf.max <- function(returns, window=100, nlags=5, plot=TRUE, main='') | |
| { | |
| clevel <- qnorm (0.5 + 0.95/2) / sqrt(window) | |
| series <- rollapply(returns, window, align='right', by=1, function(w) | |
| { | |
| acfs <- pacf(coredata(w), lag.max=nlags, plot=FALSE)$acf | |
| cum <- cumsum(acfs) | |
| low <- min(cum) |
josephdunn
/ gist:2003633
Created
March 8, 2012 21:38
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| <body> | |
| <div class='navbar navbar-fixed-top'> | |
| <div class='navbar-inner'> | |
| <div class='container'> | |
| <a class='btn btn-navbar' data-target='.nav-collapse' data-toggle='collapse'> | |
| <span class='icon-bar'></span> | |
| <span class='icon-bar'></span> | |
| <span class='icon-bar'></span> | |
| </a> | |
| <a class='brand' href='#'>Frooom</a> |
josephdunn
/ gist:1954384
Created
March 2, 2012 00:52
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| RocSys = function(x, nEMA, nROC, nTREND) | |
| { | |
| rocema = ROC(EMA(x, nEMA), nROC) | |
| trend = EMA(x, nTREND) | |
| signal = | |
| ifelse(rocema>0 & lag(rocema)<=0, ifelse(x>trend, 1, 0), | |
| ifelse(rocema<0 & lag(rocema)>=0, ifelse(x<trend, -1, 0), | |
| NA) | |
| ) |
josephdunn
/ gist:1937036
Created
February 29, 2012 02:20
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| chart_Series <- function(x, | |
| name=deparse(substitute(x)), | |
| type="candlesticks", | |
| subset="", | |
| TA="", | |
| pars=chart_pars(), theme=chart_theme(), | |
| clev=0) { |