dvi.r

require(quantmod)
require(SIT)

dvi.indicator = function(prices) {
   dvi = TTR:::DVI(prices)[,3]
   
   indicator.long = ifelse(dvi <= 0.5, 1, 0)
   indicator.short = ifelse(dvi > 0.5, -1, 0)
   
   indicator = reclass(cbind(indicator.short + indicator.long), prices)
   return(indicator)
}

bt.dvi = function(ticker='GSPC', file="gspc.csv", dates='1990::2013', prefix="") {
   # The data is consumed from the *data* environment. The *signals* environment, contains
   # the data adjusted only for splits - this is what the signals are based upon. For the
   # actuall trading, the prices are adjusted both for splits and dividends.
   data = new.env()
   signals = new.env()
   
   gspc = xts(read.zoo(file=file, format="%Y-%m-%d", header=T, sep=","))
   
   signals[[ticker]] = gspc
   data[[ticker]] = adjustOHLC(gspc, use.Adjusted=T)
   
   bt.prep(data, align='keep.all', dates=dates)
   bt.prep(signals, align='keep.all', dates=dates)
   
   # DVI
   data$weight[] = NA
   data$weight[] = bt.apply(signals, function(xx) {dvi.indicator(Cl(xx))[,1]})
   dvi.regular = bt.run(data, trade.summary=T)
   
   print(round(dvi.regular$trade.summary$stats, 4))
   
   png(filename=paste(prefix, 'plot.png', sep=""), width=1200, height=800, units='px', pointsize=12, bg='white')
   plotbt.custom.report.part1(dvi.regular)
   plotbt.custom.report.part2(dvi.regular)
   dev.off()
}