Created
April 7, 2011 16:02
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| require(quantmod) | |
| require(vioplot) | |
| getSymbols("GLD") | |
| friend <- DonchianChannel( GLD[,c("GLD.High","GLD.Low")], n=20 ) | |
| buddy <- DonchianChannel( GLD[,c("GLD.High","GLD.Low")], n=10 ) | |
| pal <- DonchianChannel( GLD[,c("GLD.High","GLD.Low")], n=5 ) | |
| posse <- merge(friend$mid, buddy$mid, pal$mid) | |
| GLD <- merge(GLD, posse) | |
| GLD <- na.locf(GLD, na.rm=TRUE) | |
| compadre <- ifelse(Cl(GLD) > GLD$mid & Cl(GLD) > GLD$mid.1 & Cl(GLD) > GLD$mid.2, 1, | |
| ifelse(Cl(GLD) < GLD$mid & Cl(GLD) < GLD$mid.1 & Cl(GLD) < GLD$mid.2, -1, 0)) | |
| hist(compadre, main="What are your positions over the past few years?", col="goldenrod") | |
| dinero <- Lag(ROC(Cl(GLD)))*compadre | |
| dinero <- na.locf(dinero, na.rm=TRUE) | |
| vioplot(dinero, names="Distribution of 'compadre' daily returns", col="blue") |
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