#Install SIT package
devtools::install_github('systematicinvestor/SIT.date', force = T)
## Downloading GitHub repo systematicinvestor/SIT.date@HEAD
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## ── R CMD build ─────────────────────────────────────────────────────────────────
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checking for file ‘/tmp/RtmpsEEzo4/remotes39ce304c66/systematicinvestor-SIT.date-6263da6/DESCRIPTION’ ...
✔ checking for file ‘/tmp/RtmpsEEzo4/remotes39ce304c66/systematicinvestor-SIT.date-6263da6/DESCRIPTION’ (397ms)
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─ preparing ‘SIT.date’:
## checking DESCRIPTION meta-information ...
✔ checking DESCRIPTION meta-information
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─ checking for LF line-endings in source and make files and shell scripts
## ─ checking for empty or unneeded directories
## Omitted ‘LazyData’ from DESCRIPTION
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─ building ‘SIT.date_0.1.tar.gz’
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Warning: invalid uid value replaced by that for user 'nobody'
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##
## Installing package into '/cloud/lib/x86_64-pc-linux-gnu-library/4.3'
## (as 'lib' is unspecified)
rm(list=ls())
#setInternet2(TRUE)
con = gzcon(url('https://github.com/systematicinvestor/SIT/raw/master/sit.gz', 'rb'))
source(con)
close(con)
curl::curl_download('https://github.com/systematicinvestor/SIT/raw/master/SIT.tar.gz','SIT.tar.gz',mode = 'wb',quiet=T)
install.packages('SIT.tar.gz', repos=NULL, type='source')
## Installing package into '/cloud/lib/x86_64-pc-linux-gnu-library/4.3'
## (as 'lib' is unspecified)
library(SIT)
## Loading required package: SIT.date
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## Attaching package: 'SIT.date'
## The following objects are masked _by_ '.GlobalEnv':
##
## apply.business.days, business.days, business.days.location.end,
## business.days.since.end, business.days.till.end, custom.date,
## custom.date.bus, date.all, date.day, date.dayofweek, date.end,
## date.ends, date.ends.fn, date.ends.index, date.ends.n, date.month,
## date.month.ends, date.periodicity.map, date.quarter,
## date.quarter.ends, date.semiannual, date.semiannual.ends,
## date.week, date.week.ends, date.year, date.year.ends,
## last.business.day, map.spx.expiration, next.business.day,
## third.friday.month
## Loading required package: quantmod
## Loading required package: xts
## Loading required package: zoo
##
## Attaching package: 'zoo'
## The following objects are masked from 'package:base':
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## as.Date, as.Date.numeric
## Loading required package: TTR
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## Attaching package: 'TTR'
## The following object is masked _by_ '.GlobalEnv':
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## DVI
## Registered S3 method overwritten by 'quantmod':
## method from
## as.zoo.data.frame zoo
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## Attaching package: 'SIT'
## The following objects are masked _by_ '.GlobalEnv':
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## add, add.avg.factor, add.constraint.cdar, add.constraint.cvar,
## add.constraint.gini, add.constraint.mad,
## add.constraint.mad.downside, add.constraint.maxloss,
## add.constraint.omega, add.constraints, add.StringBuffer,
## add.variables, all.permutations, aritm2geom, aritm2geom4,
## as.xts.list, asc, asset.paths, asset.paths.at.period.ends,
## average.shrinkage, barplot.with.labels, bbb_control, beta.degree,
## binary_branch_bound, bl.compute.eqret, bl.compute.optimal,
## bl.compute.posterior, bl.compute.risk.aversion, br.rank,
## bt.aaa.combo, bt.aaa.minrisk, bt.append.today, bt.apply,
## bt.apply.ex, bt.apply.ex2, bt.apply.matrix, bt.apply.matrix.ex,
## bt.apply.matrix.ex2, bt.apply.min.weight, bt.apply.round.weight,
## bt.change.periodicity, bt.detail.summary, bt.end.dates, bt.exrem,
## bt.exrem.time.exit, bt.make.cashflow.event.summary.table,
## bt.make.trade.event.summary.table, bt.max.deviation.rebalancing,
## bt.merge, bt.min.holding.period, bt.prep, bt.prep.matrix,
## bt.prep.remove.symbols, bt.prep.remove.symbols.min.history,
## bt.prep.trim, bt.price.stop, bt.rank, bt.run, bt.run.share,
## bt.run.share.ex, bt.run.share.ex.allocate, bt.run.share.ex.invest,
## bt.run.share.ex.test, bt.run.share.ex.test.cashflow,
## bt.run.share.ex.test.tax, bt.run.share.fast,
## bt.run.share.unadjusted.test, bt.run.share.unadjusted.test.data,
## bt.run.trim.helper, bt.run.weight.fast, bt.simple, bt.start.dates,
## bt.stop.strategy.plot, bt.summary, bt.time.price.stop,
## bt.time.stop, bt.trade.summary, bt.trade.summary.helper,
## bt.trade.summary.old, bt.trim, bt.ts.enter.state, bt.ts.price.stop,
## bt.ts.time.price.stop, bt.ts.time.stop, bt.ts.trade.index,
## bt.unadjusted.add.div.split, bundes.bank.data,
## bundes.bank.data.gold, calendar.signal, calendar.strategy,
## cap.weighted.mean, cboe.volatility.term.structure.SPX, check.args,
## chr, clean.table, close, close.StringBuffer, cluster.group.FTCA,
## cluster.group.hclust, cluster.group.kmeans.90,
## cluster.group.kmeans.elbow, clusterApplyLB.log, col.add.alpha,
## col.name2row, compute.annual.factor, compute.avg.drawdown,
## compute.avgcor, compute.cagr, compute.calmar, compute.cdar,
## compute.cor, compute.cvar, compute.drawdown, compute.drawdowns,
## compute.DVR, compute.exposure, compute.max.deviation,
## compute.max.drawdown, compute.nyears, compute.quantiles,
## compute.R2, compute.raw.annual.factor, compute.risk,
## compute.sharpe, compute.stats, compute.turnover, compute.var,
## consecutive.changes, convert2expr, count, country.code, cov.2param,
## cov.const.cor, cov.diag, cov.market, cov.sample, cov.shrink,
## create.basic.constraints, create.cov.matrix, create.historical.ia,
## create.ia, create.ia.averaged, create.ia.period, create.ia.subset,
## create.leveraged, create.monthly.table, create.strategies,
## createNonReactiveTextInput, createNonReactiveTextInputCustom,
## cross, cross.dn, cross.dn.eq, cross.up, cross.up.eq,
## custom.composite.diversification.indicator, custom.stop.fn,
## custom.stop.fn.list, data.aqr, data.clean,
## data.csi.security.master, data.ff, data.fomc,
## data.ft.index.members, data.ft.search.ticker,
## data.ishares.universe, data.yahoo.profile, date.fund.data,
## dates2index, debug.load, debug.save, default.round.lot.control,
## default.tax.control, delete.constraints, diagonal.shrinkage,
## distribute.weights, dow.jones.components, download.helper, DV, DVI,
## edgar.info, ef.portfolio, empty.group, engineering.returns.kpi,
## env, env.del, env.rm, equal.risk.contribution.portfolio,
## equal.weight.portfolio, ev.ratio, event.at, exp.sample.shrinkage,
## expr.symbols, exrem, extend.data, extend.data.proxy, extend.GLD,
## extract.table, extract.table.from.webpage, extract.token,
## extract.VXX.CBOE, factor.avgcor, factor.model.shrinkage,
## fast.na.omit, find.all.patterns.window, find.erc.portfolio,
## find.erc.portfolio.simple, find.extrema,
## find.maximum.distance.point, find.names, find.patterns,
## find.tokens, flip.xts, fm.hist.dow.jones.components,
## fred.fx.symbol, ftse100.components, fund.data, fx.sauder.data,
## fxhistoricaldata.fx.symbol, geom2aritm, geom2aritm4, get.algo,
## get.barcharts.quote, get.bigcharts.quote, get.CRB, get.extension,
## get.fama.french.data, get.filename, get.FOMC.dates,
## get.full.filename, get.fund.data, get.fund.data.index, get.G10,
## get.group, get.risky.asset.index, get.url, getQuote.google,
## getQuote.google.xml, getQuote.yahoo.info, getQuote.yahoo.today,
## getSymbol.CBOE, getSymbol.intraday.google, getSymbols.extra,
## getSymbols.fxhistoricaldata, getSymbols.intraday, getSymbols.PI,
## getSymbols.sit, getSymbols.TB, google.search, group.seasonality,
## hierarchical.risk.parity, hist.quotes.url, ia.build.hist, ifna,
## ifna.prev, ifna.prevx, ifna.prevx.rev, ifnull, iif, iline,
## index.xts, inv, inv1, inv2, inv3, inverse.variance.portfolio, join,
## last.signals, last.trades, ledoit.wolf.shrinkage, len, list2matrix,
## list2vars, lm.constraint, load.aqr.data, load.packages,
## load.VXX.CBOE, log.fn, log.fn.msg, look.at.taxes, lookup.index,
## lp.obj.portfolio, ls.f, ls.v, lst, make.data.proxy,
## make.random.string, make.stock.xts, make.xts, map.min.risk.fns,
## map.symbols, map2monthly, map2vector, mat, mat.3d, mat.slice.3d,
## mat2num, max.div.portfolio, max.geometric.return.portfolio,
## max.omega.portfolio, max.return.portfolio,
## max.sharpe.nlp.portfolio, max.sharpe.portfolio,
## max.sharpe.portfolio.axioma, max.sharpe.portfolio.helper,
## max.shrinkage, meom.strategy, merge.constraints,
## min.avgcor.portfolio, min.cdar, min.cdar.portfolio,
## min.cor.insteadof.cov.portfolio, min.corr, min.corr.excel,
## min.corr.excel.portfolio, min.corr.portfolio,
## min.corr.special.case, min.corr2, min.corr2.portfolio, min.cvar,
## min.cvar.portfolio, min.gini.portfolio, min.mad.downside,
## min.mad.downside.portfolio, min.mad.portfolio,
## min.maxloss.portfolio, min.portfolio, min.risk.downside,
## min.risk.downside.portfolio, min.risk.portfolio, min.shrinkage,
## min.te.portfolio.test, min.var.excel, min.var.excel.portfolio,
## min.var.portfolio, min.var.portfolio.gmpl, min.var2,
## min.var2.portfolio, min.var2111, mlag, mlast, momentum.averaged,
## month.year.seasonality, nasdaq.100.components, new.constraints,
## normal.transform, normalize.mkval, normalize.normal, ntop,
## ntop.helper, ntop.keep, ols, ols.summary, optimize.portfolio,
## optimize.portfolio.nlp, parse.expr, parse.number, parse.views,
## pattern.db, percent.rank, percent.rankM,
## performance.barchart.helper, plot.add.portfolios,
## plot.bt.quantiles, plot.ef, plot.factors, plot.ia, plot.omega,
## plot.patterns, plot.quantiles, plot.table, plot.transition.map,
## plot.transitopn.map, plot.txt, plot12month.rolling.spread, plota,
## plota.add.copyright, plota.colors, plota.colors.experimental,
## plota.format, plota.grid, plota.layout, plota.legend, plota.lines,
## plota.matplot, plota.recession, plota.scale.volume, plota.stacked,
## plota.test, plota.text, plota.theme, plota.theme.blue.red,
## plota.theme.gray.orange, plota.theme.green.orange, plota.volume,
## plota.x.highlight, plota.y.highlight, plota2Y, plotbt,
## plotbt.custom.report, plotbt.custom.report.part1,
## plotbt.custom.report.part2, plotbt.custom.report.part3,
## plotbt.holdings, plotbt.holdings.time, plotbt.monthly.table,
## plotbt.strategy.sidebyside, plotbt.transition.map,
## portfolio.allocation.custom.stats, portfolio.allocation.helper,
## portfolio.allocation.helper.basic,
## portfolio.allocation.helper.parallel, portfolio.avgcor,
## portfolio.avgcor.real, portfolio.cdar, portfolio.cdar.real,
## portfolio.concentration.gini.coefficient,
## portfolio.concentration.herfindahl.index, portfolio.cvar,
## portfolio.geometric.return, portfolio.gini.coefficient,
## portfolio.mad, portfolio.mad.downside, portfolio.maxloss,
## portfolio.omega, portfolio.return, portfolio.risk,
## portfolio.risk.contribution, portfolio.risk.downside,
## portfolio.turnover, portfolio.unrebalanced.return, portfolio.var,
## portopt, portopt.omega, PricingZeroCouponBond, processTBill,
## proxy.map, proxy.overlay.plot, proxy.prices, proxy.test,
## quantumonline.info, randfixedsum, random.hist, random.hist.weight,
## random.string, randsphere, read.file, read.xts,
## reconstruct.VXX.CBOE, remove.tags, rep.col, rep.row, replace.token,
## repmat, rev.map, Rglpk.create.constraints, Rglpk.read.model,
## risk.parity.portfolio, risk.parity.portfolio.basic, roofing.filter,
## roofing.stochastic.indicator, rotation.strategy, round.lot,
## round.lot.basic, round.lot.basic.base, round.to, row.name2col,
## rso.portfolio, run.count, runQuantile, sample.anchored.shrinkage,
## sample.mix.shrinkage, sample.shrinkage, scale.one, sector.mean,
## sector.spdr.components, set.risky.asset, setup.cluster,
## shrink.const.cor, shrink.diag, shrink.single.index,
## shrink.two.parameter, solve.LP.bounds, solve.QP.bounds,
## sp100.components, sp500.components, spl, static.group,
## static.weight.portfolio, strategy.load.historical.data,
## strategy.performance.snapshoot, string, string.buffer,
## string.StringBuffer, super.smoother.filter, tableColor,
## target.return.portfolio, target.return.portfolio.helper,
## target.risk.portfolio, target.risk.portfolio.helper,
## target.vol.strategy, tax.cashflows, tax.summary, test.equality,
## tic, time.seasonality, timing.strategy, tls, to.cash, to.nice,
## to.percent, toc, trim, TSI, type.constraints, ulcer.index,
## update.ia, us.ishares.components, variable.number.arguments,
## vars2list, vec, verify.control,
## visualize.system.parameter.optimization, wealthsimple.portfolio,
## write.file, write.xts, xts2ts, XTSFunctions, zacks.info
## The following object is masked from 'package:TTR':
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## DVI
## The following object is masked from 'package:base':
##
## close
library(quantmod)
library(quadprog)
library(lpSolve)
# Load historical data
tickers = spl('SPY,TLT')
data <- new.env()
getSymbols(tickers, src = 'yahoo', from = '1980-01-01', env = data, auto.assign = T)
## [1] "SPY" "TLT"
for(i in ls(data)) data[[i]] = adjustOHLC(data[[i]], use.Adjusted=T)
bt.prep(data, align='remove.na', dates='2005::')
# Setup
lookback.len = 60
prices = data$prices
models = list()
# Simple Momentum
momentum = prices / mlag(prices, lookback.len)
data$weight[] = NA
data$weight$SPY[] = momentum$SPY > momentum$TLT
data$weight$TLT[] = momentum$SPY <= momentum$TLT
models$Simple = bt.run.share(data, clean.signal=T)
## Latest weights :
## SPY TLT
## 2023-05-26 100 0
##
## Performance summary :
## CAGR Best Worst
## 7.2 7.5 -6.7
# Probabilistic Momentum
confidence.level = 60/100
ret = prices / mlag(prices) - 1
ir = sqrt(lookback.len) * runMean(ret$SPY - ret$TLT, lookback.len) / runSD(ret$SPY - ret$TLT, lookback.len)
momentum.p = pt(ir, lookback.len - 1)
data$weight[] = NA
data$weight$SPY[] = iif(cross.up(momentum.p, confidence.level), 1, iif(cross.dn(momentum.p, (1 - confidence.level)), 0,NA))
data$weight$TLT[] = iif(cross.dn(momentum.p, (1 - confidence.level)), 1, iif(cross.up(momentum.p, confidence.level), 0,NA))
models$Probabilistic = bt.run.share(data, clean.signal=T)
## Latest weights :
## SPY TLT
## 2023-05-26 100 0
##
## Performance summary :
## CAGR Best Worst
## 9.9 7.5 -6.7
# Probabilistic Momentum + SPY Leverage
data$weight[] = NA
data$weight$SPY[] = iif(cross.up(momentum.p, confidence.level), 1, iif(cross.up(momentum.p, (1 - confidence.level)), 0,NA))
data$weight$TLT[] = iif(cross.dn(momentum.p, (1 - confidence.level)), 1, iif(cross.up(momentum.p, confidence.level), 0,NA))
models$Probabilistic.Leverage = bt.run.share(data, clean.signal=T)
## Latest weights :
## SPY TLT
## 2023-05-26 100 0
##
## Performance summary :
## CAGR Best Worst
## 11.4 6.4 -12.7
# Create Report
strategy.performance.snapshoot(models, T)
## NULL
# Visualize Signal
cols = spl('steelblue1,steelblue')
prices = scale.one(data$prices)
layout(1:3)
plota(prices$SPY, type='l', ylim=range(prices), plotX=F, col=cols[1], lwd=2)
plota.lines(prices$TLT, type='l', plotX=F, col=cols[2], lwd=2)
## Warning in plot.xy(xy.coords(x, y), type = type, ...): "plotX" is not a
## graphical parameter
# Visualize Signal
cols = spl('steelblue1,steelblue')
prices = scale.one(data$prices)
layout(1:3)
plota(prices$SPY, type='l', ylim=range(prices), plotX=F, col=cols[1], lwd=2)
plota.lines(prices$TLT, type='l', plotX=F, col=cols[2], lwd=2)
## Warning in plot.xy(xy.coords(x, y), type = type, ...): "plotX" is not a
## graphical parameter
plota.legend('SPY,TLT',cols,as.list(prices))
highlight = models$Probabilistic$weight$SPY > 0
plota.control$col.x.highlight = iif(highlight, cols[1], cols[2])
plota(models$Probabilistic$equity, type='l', plotX=F, x.highlight = highlight | T)
plota.legend('Probabilistic,SPY,TLT',c('black',cols))
highlight = models$Simple$weight$SPY > 0
plota.control$col.x.highlight = iif(highlight, cols[1], cols[2])
plota(models$Simple$equity, type='l', plotX=T, x.highlight = highlight | T)
plota.legend('Simple,SPY,TLT',c('black',cols))
