Created
March 24, 2011 14:44
-
-
Save milktrader/885171 to your computer and use it in GitHub Desktop.
weighted coin
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| lemon_lime <- function(sym="SLV", expiry=24, pct=.1){ | |
| require("quantmod") | |
| ticker <- getSymbols(sym, auto.assign=FALSE) | |
| ticker <- ticker[,4] | |
| win <- 0 | |
| lose <- 0 | |
| for(i in expiry:NROW(ticker)) | |
| if(as.numeric(ticker[i]) > (as.numeric(ticker[i-(expiry-1)])*pct + as.numeric(ticker[i-(expiry-1)])) ) | |
| win <- win + 1 | |
| winners <- win/(NROW(ticker)-expiry) | |
| for(i in expiry:NROW(ticker)) | |
| if(as.numeric(ticker[i]) < (as.numeric(ticker[i-(expiry-1)]) - as.numeric(ticker[i-(expiry-1)])*pct) ) | |
| lose <- lose + 1 | |
| losers <- lose/(NROW(ticker)-expiry) | |
| weighted <- win/(win+lose) | |
| cat( " Trading Days: ", NROW(ticker)-expiry, "\n", | |
| "Winners: ", win, "\n", | |
| "Percentage of winning days: ", round(winners*100, digits=2), "\n", | |
| "Losers: ", lose, "\n", | |
| "Percentage of losing days: ", round(losers*100, digits=2), "\n", | |
| "Weighted Coin Towards Winners? ", round(weighted, digits=2), "\n") | |
| } | |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment