milktrader’s gists

milktrader / white_bull.r

Created December 11, 2010 20:43

	white_bull <- function(ticker) {

	require("quantmod")

	x <- getSymbols(ticker, auto.assign=FALSE)

	c <- x[,4]
	c50 <- SMA(c, n=50)
	c200 <- SMA(c, n=200)

milktrader / white_bull.r

Created December 11, 2010 20:47

white bull algorithm

	white_bull <- function(ticker) {

	require("quantmod")

	x <- getSymbols(ticker, auto.assign=FALSE)

	c <- x[,4]
	c50 <- SMA(c, n=50)
	c200 <- SMA(c, n=200)

milktrader / crazy.r

Created March 22, 2011 18:36

Naive Bayesian Algorithm

	crazy <- function(sym1, sym2) {

	require ("quantmod")

	# FIRST get the objects (price series returns) correctly formatted

	x <- getSymbols(sym1, auto.assign=FALSE)
	y <- getSymbols(sym2, auto.assign=FALSE)

	x <- Delt(x[,4])

milktrader / delta_farce.r

Created March 24, 2011 03:21

compare close with close n days ago

	delta_farce <- function(sym="SPY", expiry=22, pct=.03){

	require("quantmod")

	ticker <- getSymbols(sym, auto.assign=FALSE)

	ticker <- ticker[,4]

	win <- 0

milktrader / lemon_lime.r

Created March 24, 2011 14:44

weighted coin

	lemon_lime <- function(sym="SLV", expiry=24, pct=.1){

	require("quantmod")

	ticker <- getSymbols(sym, auto.assign=FALSE)

	ticker <- ticker[,4]

	win <- 0
	lose <- 0

milktrader / blueberry.r

Created March 25, 2011 02:18

Plot how much today's close is different from the close 24 days ago in % terms

	blueberry <- function(sym="SLV", file="~/Desktop/24_days_ago.png"){

	require("quantmod")

	ticker <- getSymbols(sym, auto.assign=FALSE)

	ticker <- merge(ticker[,4], lag(ticker[,4],24))

	ticker <- na.locf(ticker, na.rm=TRUE)

milktrader / compadre.r

Created April 7, 2011 16:02

	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)

milktrader / gnat.r

Created April 27, 2011 14:21

gnat trading algorithm based on a simple moving average crossover

	gnat <- function(sym="GLD", fast=50, slow=200){

	require("quantmod")

	x <- getSymbols(sym, auto.assign=FALSE)
	x$fast <- SMA(Cl(x), n=fast)
	x$slow <- SMA(Cl(x), n=slow)
	x$signal <- Lag(ifelse (x$fast > x$slow, 1, -1))

	x <- na.omit(x)

milktrader / pulp.r

Created May 11, 2011 00:45

adds returns to xts object

	pulp <- function(sym){
	require("quantmod")
	juice <- getSymbols(sym, auto.assign=FALSE)
	juice$log_ret <- dailyReturn(Cl(juice), type="log")
	assign(sym, juice, envir=.GlobalEnv)
	}

milktrader / two_y_axis.r

Created May 28, 2011 20:10

Import two xts objects from Yahoo