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[blotter] Diff of /pkg/quantstrat/demo/signal.RSI.R
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Diff of /pkg/quantstrat/demo/signal.RSI.R

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revision 1672, Mon Jan 19 23:30:42 2015 UTC revision 1673, Wed Jan 21 11:22:28 2015 UTC
# Line 18  Line 18 
18  #Data  #Data
19  currency("USD")  currency("USD")
20  currency("EUR")  currency("EUR")
21  symbols = c("XLF", "XLP")  symbols = c("SPY")
22  for(symbol in symbols){ # establish trade-able instruments  for(symbol in symbols){ # establish trade-able instruments
23    stock(symbol, currency="USD",multiplier=1)    stock(symbol, currency="USD",multiplier=1)
24    getSymbols(symbol,src='yahoo')    getSymbols(symbol,src='yahoo')
# Line 67  Line 67 
67                                          port.st,                                          port.st,
68                                          sigcol = signal.label,                                          sigcol = signal.label,
69                                          sigval = 1,                                          sigval = 1,
70                                          on='days',                                          on=NULL,
71                                          forward.days=10,                                          forward.days=10,
72                                          cum.sum=TRUE,                                          cum.sum=TRUE,
73                                          include.day.of.signal=F,                                          include.day.of.signal=F,
# Line 78  Line 78 
78    
79    
80  # Plot Paramset Combined Barchart [Subset list to plot a sub portion if too large]  # Plot Paramset Combined Barchart [Subset list to plot a sub portion if too large]
81  plot.signals(results$sigret.by.asset$XLF, rows=2, columns = 5)  signal.plot(results$sigret.by.asset$SPY, rows=2, columns = 5)
82    
83  # Distributional Box Plot via gamlss  # Distributional Box Plot via gamlss
84  distributional.boxplot(results$sigret.by.asset$XLF$paramset.2)  distributional.boxplot(results$sigret.by.asset$SPY$paramset.2)
85    
86  ###############################################################################  ###############################################################################
87  # R (http://r-project.org/) Quantitative Strategy Model Framework  # R (http://r-project.org/) Quantitative Strategy Model Framework

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