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[blotter] Diff of /pkg/quantstrat/demo/faber.R
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Diff of /pkg/quantstrat/demo/faber.R

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revision 1489, Tue Aug 13 14:51:33 2013 UTC revision 1506, Sat Sep 14 11:56:33 2013 UTC
# Line 153  Line 153 
153          getSymbols("SPY", src='yahoo', index.class=c("POSIXt","POSIXct"), from='1999-01-01')          getSymbols("SPY", src='yahoo', index.class=c("POSIXt","POSIXct"), from='1999-01-01')
154          SPY<-to.monthly(SPY)          SPY<-to.monthly(SPY)
155          SPY.ret<-Return.calculate(SPY$SPY.Close)          SPY.ret<-Return.calculate(SPY$SPY.Close)
156      SPY.ret<-na.omit(SPY.ret)
157          index(SPY.ret)<-index(ret1)          index(SPY.ret)<-index(ret1)
158          dev.new()          dev.new()
159          charts.PerformanceSummary(cbind(ret1$total,SPY.ret), geometric=FALSE, wealth.index=TRUE)          charts.PerformanceSummary(cbind(ret1$total,SPY.ret), geometric=FALSE, wealth.index=TRUE)

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