Lev Peshkov
High T
- Joined
- Apr 5, 2020
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heres some code you can feel free to play with to make it better
require(quantmod)
symbol = "^GSPC"
start = "2001-01-01"
end = "2011-12-31"
prices = getSymbols(symbol, from = start, to = end, auto.assign = FALSE)
fastLen = 15
slowLen = 300
close = prices[,6]
fastMA = SMA(close, n = fastLen)
slowMA = SMA(close, n = slowLen)
sig = 0;
sig = ifelse(fastMA > slowMA, 1, -1)
sig = lag(sig, 1)
sig[is.na(sig)] = 0
ret = ROC(close, type="discrete")
ret[1] = 0
eq = cumprod(1 + ret * sig)
lineChart(prices)
addSMA(fastLen, col = "blue")
addSMA(slowLen, col = "red")
addTA(eq, col = "cyan")
require(quantmod)
symbol = "^GSPC"
start = "2001-01-01"
end = "2011-12-31"
prices = getSymbols(symbol, from = start, to = end, auto.assign = FALSE)
fastLen = 15
slowLen = 300
close = prices[,6]
fastMA = SMA(close, n = fastLen)
slowMA = SMA(close, n = slowLen)
sig = 0;
sig = ifelse(fastMA > slowMA, 1, -1)
sig = lag(sig, 1)
sig[is.na(sig)] = 0
ret = ROC(close, type="discrete")
ret[1] = 0
eq = cumprod(1 + ret * sig)
lineChart(prices)
addSMA(fastLen, col = "blue")
addSMA(slowLen, col = "red")
addTA(eq, col = "cyan")
