zachmayer

#!/usr/bin/env python
# encoding: utf-8

#Constants.R

#Created by Kenneth J. Shackleton on 14 June 2011.
#Copyright (c) 2011 Ringo Limited.
#All rights reserved.
#R Port by Zach Mayer on 4 December 2011

zachmayer

#Setup
set.seed(1)
library(fpp) # To load the data set a10

HZ <- 12	
myControl <- list(	minObs=60,
					stepSize=1, 
					maxHorizon=HZ, 

zachmayer

#Setup 
rm(list = ls(all = TRUE)) 
set.seed(1)
nsims <- 1000 
library(quantmod) 
library(PerformanceAnalytics)
#Load Data 
getSymbols('^GSPC',from='1900-01-01') 
spyReturns <- dailyReturn(GSPC$GSPC.Adjusted, type = "arithmetic")

zachmayer

rm(list = ls(all = TRUE))
memory.limit(size = 4000)

#Get Data
library(quantmod)
getSymbols('^GSPC',from='1900-01-01')
myStock <- Cl(GSPC)
bmkReturns <- dailyReturn(myStock, type = "arithmetic")

#Apply our strategy to tomorrows returns

zachmayer

#Load current know recessions
library(xts)
ModRec <- read.csv("http://dl.dropbox.com/u/7428423/Modified%20NBER%20Recession%20Data.csv")
ModRec$DATE <- as.Date(ModRec$DATE)
ModRec <- xts(ModRec[,-1],order.by=ModRec[,1])

#Load actual recessions
library(quantmod)
getSymbols('USREC',src='FRED') 

zachmayer

rm(list = ls(all = TRUE))

daysSinceHigh <- function(x, n){
   apply(embed(x, n), 1, which.max)-1
}

myStrat <- function(x, nHold=100, nHigh=200) {
	position <- ifelse(daysSinceHigh(x, nHigh)<=nHold,1,0)
	c(rep(0,nHigh-1),position)
}

zachmayer

#Load Data
rm(list = ls(all = TRUE))
library(quantmod)
library(PerformanceAnalytics)

symbols <- c('XLE','XLV','XLI','XLU','XLP','IYZ','XLK','XLY','XLF','XLB','GLD','SLV','EFA','EEM','FXA','FXE','FXY','HYG','LQD')

getSymbols(symbols,from='2007-01-01')
getSymbols('SPY',from='2007-01-01')

zachmayer

rm(list = ls(all = TRUE))
#http://etfprophet.com/days-since-200-day-highs/

require(quantmod)
getSymbols('^GSPC',from='1900-01-01')

daysSinceHigh <- function(x, n){
   apply(embed(x, n), 1, which.max)-1
}

zachmayer

Coefficients:
            Estimate Std. Error t value Pr(>|t|)    
(Intercept)  1.18471    0.12130   9.767 1.08e-12 ***
Sheep       -0.71154    0.08546  -8.326 1.16e-10 ***

zachmayer

cor(iris[-5])
pairs(iris[-5], bg=iris$Species, pch=21)