Joseph Dunn josephdunn
josephdunn
/ gist:1937035
Created
February 29, 2012 02:19
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| # {{{ chart_theme | |
| chart_theme <- chart_theme_white <- function() { | |
| theme <-list(col=list(bg="#FFFFFF", | |
| label.bg="#F0F0F0", | |
| grid="#F0F0F0", | |
| grid2="#F5F5F5", | |
| ticks="#999999", | |
| labels="#333333", | |
| line.col="darkorange", | |
| dn.col="red", |
josephdunn
/ rocema_example.R
Created
February 26, 2012 23:12
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| require(quantstrat) | |
| rm(list=ls()) | |
| try(rm(list=ls(pos=.blotter), pos=.blotter), silent=TRUE) | |
| try(rm(list=ls(pos=.strategy), pos=.strategy), silent=TRUE) | |
| try(rm(list=ls(pos=.instrument), pos=.instrument), silent=TRUE) | |
| # settings | |
| s <- 'SPY' | |
| initEq <- 100000 |
josephdunn
/ gist:1877358
Created
February 21, 2012 16:56
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| > mktdata[mktdata$ma50.gt.ma200 == 1] | |
| AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted ma50 ma200 ma50.gt.ma200 ma50.lt.ma200 | |
| 2001-06-26 11.674914 11.890004 11.509844 11.88 9742200 11.88 11.4304 11.35785 1 NA | |
| 2002-01-04 11.674926 11.980055 11.499852 11.85 14642000 11.85 10.2674 10.26100 1 NA | |
| 2003-05-15 9.295035 9.419968 9.230069 9.36 10178400 9.36 7.4438 7.43875 1 NA | |
| 2006-09-25 73.810000 75.860000 73.720000 75.75 30678300 75.75 67.4122 67.08060 1 NA | |
| 2008-05-16 190.110000 190.300000 187.000000 187.62 27348900 187.62 156.5994 155.86610 1 NA | |
| 2009-05-13 123.210000 124.020000 119.380000 119.49 21284700 119.49 112.9098 112.47555 1 NA | |
| > mktdata[mktdata$ma50.lt.ma200 == 1] | |
| AAPL.Open AAPL.High AAPL.Low AAPL.Close |
josephdunn
/ gist:1877309
Created
February 21, 2012 16:42
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| joseph@fletcher:~/dev/R-libs/quantstrat/demo/joe$ Rscript maCross.R | |
| Loading required package: quantstrat | |
| Loading required package: xts | |
| Loading required package: zoo | |
| Warning: locked binding of ‘as.Date.numeric’ will not be changed | |
| Attaching package: ‘zoo’ | |
| The following object(s) are masked from ‘package:base’: |
josephdunn
/ maCross_poslimit.R
Created
February 21, 2012 16:35
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| ######################################################################################################################################################################### | |
| #A simple moving average strategy to evaluate trade efficiency | |
| #checks on SMA of 50 days and SMA of 200 days | |
| #Author: R. Raghuraman("raghu"), Brian Peterson | |
| ######################################################################################################################################################################### | |
| require(quantstrat) | |
| suppressWarnings(rm("order_book.macross",pos=.strategy)) | |
| suppressWarnings(rm("account.macross","portfolio.macross",pos=.blotter)) | |
| suppressWarnings(rm("account.st","portfolio.st","stock.str","stratMACROSS","initDate","initEq",'start_t','end_t')) |
josephdunn
/ install_R_quant_libs.sh
Created
February 18, 2012 23:16
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| #!/bin/sh | |
| ### Make a directory to work from | |
| mkdir -p ~/dev/R-libs | |
| cd ~/dev/R-libs | |
| ### Check out source trees | |
| svn co svn://svn.r-forge.r-project.org/svnroot/zoo/pkg/zoo | |
| svn co svn://svn.r-forge.r-project.org/svnroot/xts/pkg/xts | |
| svn co svn://svn.r-forge.r-project.org/svnroot/ttr/pkg ttr |
josephdunn
/ gist:1498916
Created
December 19, 2011 21:17
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| cat('hi\n') | |
| read.csv(file('stdin'), header=FALSE) | |
| print(information) | |
| cat('hi again\n') |
josephdunn
/ exclude_fridays.R
Created
September 23, 2011 20:03
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| require(xts) | |
| data(sample_matrix) | |
| dates <- as.POSIXct(rownames(sample_matrix), format = "%Y-%m-%d") | |
| dayLookup <- 1:7 | |
| names(dayLookup) <- c("Mon", "Tue", "Wed", "Thu", "Fri", "Sat", "Sun") | |
| datesDays <- dayLookup[weekdays(dates, abbreviate = TRUE)] | |
| print(datesDays) | |
| blah <- xts(cbind(sample_matrix, dow =datesDays), order.by = dates) | |
| blah[blah$dow!=5] |
josephdunn
/ autodj.js
Created
August 24, 2011 14:48
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| djbutton = $($('a').get(0)); | |
| var djit = function() { | |
| if (djbutton.css('display') != 'none') { | |
| e = new jQuery.Event('click'); | |
| e.pageX=1; | |
| e.pageY=1; | |
| turntable.lastMotionTime=new Date().getTime(); | |
| djbutton.hover().trigger(e); | |
| console.log(new Date() + ' -- triggered DJ'); | |
| } else { |
josephdunn
/ gist:1133098
Created
August 9, 2011 00:07
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| require(quantstrat) | |
| # clean up | |
| rm(list=ls(all=TRUE, pos=.blotter), pos=.blotter) | |
| rm(list=ls(all=TRUE, pos=.instrument), pos=.instrument) | |
| rm(list=ls(all=TRUE, pos=.strategy), pos=.strategy) | |
| # set initial values | |
| initDate <- '2011-08-05 06:00:00' | |
| initEq <- 10000 |