004.R

(z <- Sys.time())

## [1] "2014-12-29 11:42:26 JST"

attach(lll)
library(dtw)

## Loading required package: proxy
## 
## Attaching package: 'proxy'
## 
## The following objects are masked from 'package:stats':
## 
##     as.dist, dist
## 
## Loaded dtw v1.17-1. See ?dtw for help, citation("dtw") for use in publication.

library(dplyr)

## 
## Attaching package: 'dplyr'
## 
## The following object is masked from 'package:stats':
## 
##     filter
## 
## The following objects are masked from 'package:base':
## 
##     intersect, setdiff, setequal, union

par(mfrow = c(3,2))

srch <- 220502
srch2 <- srch + 288
trade <- srch + 96

plot(Close[srch:srch2], xlab=Time[srch], ylab="Original", type="l", lwd=2)
abline(h=Close[trade], col="gray")
plot(RSI[srch:srch2], xlab=Time[srch], ylab="Original", xlim=c(0,300), ylim=c(0,100), type="l", lwd=2, col="lightgreen")

i <- 0

while(i <= 260000){
  i <- i + 1
  n <- i + 96
  H4 <- i + 288
  if(dtw(RSI[i:n], RSI[220502:220598], step=asymmetric, open.end=TRUE, open.begin=TRUE)$distance < 300){
    plot(Close[srch:srch2], axes=F, xlab="", ylab="", type="l", lwd=2)
    par(new=T)
    plot(Close[i:H4], xlab=Time[i], ylab=X[i], type="l")    
    abline(h=Close[i + 96], col="blue")
    if(Close[i + 96] < (max(Close[n:H4]) + min(Close[n:H4]))/2){
      abline(h=Close[i + 96], col="red")
    }
    plot(RSI[i:H4], xlab=Time[i], ylab=X[i], xlim=c(0,300), ylim=c(0,100), type="l")
    par(new=T)
    plot(RSI[220502:220790], xlab=Time[i], ylab=X[i], xlim=c(0,300), ylim=c(0,100), type="l", col="lightgreen")
    i <- i + 96
  }     
}

(z <- Sys.time())

## [1] "2014-12-29 12:06:34 JST"