library(ggplot2,forecast)
library(astsa)
library(zoo,lmtest)
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library(fUnitRoots)
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library(FitARMA)
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library(strucchange)
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library(reshape)
library(Rmisc)
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library(fBasics)
# library(tsoutliers)
library(TSA)
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library(dygraphs)
library(quantmod)
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## Version 0.4-0 included new data defaults. See ?getSymbols.
library(lubridate)
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library(DT)
library(dplyr)
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# library(quantstrat)
library(xml2)
library(tidyverse)
## ── Attaching packages ───────────────────────────────────────────────────────── tidyverse 1.3.0 ──
## ✓ tibble 2.1.3 ✓ purrr 0.3.3
## ✓ tidyr 1.0.2 ✓ stringr 1.4.0
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library(tidyquant)
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## ══ Need to Learn tidyquant? ══════════════════════════════════════════════════════════════════════
## Business Science offers a 1-hour course - Learning Lab #9: Performance Analysis & Portfolio Optimization with tidyquant!
## </> Learn more at: https://university.business-science.io/p/learning-labs-pro </>
tickers<-c("^DJI","DAL","SPY","QQQ","TVIX", "UAL", "SNE", "GOOG", "AAPL", "COST", "SBUX", "NFLX", "FB", "MSFT", "NVDA", "RCL", "DIS", "BA", "LMT", "TSLA", "CHGG", "EDU", "GSX", "HD", "SCI", "BABA", "AMZN", "CSCO", "ROKU", "PDD", "ADBE", "MDB", "BILI", "SHOP", "ICE", "IIPR", "MA", "PYPL", "V", "ISRG", "NVTA", "FN", "SE", "AMD", "SNPS", "SQ", "TTD", "WIX","TPL", "SAVE", "HLT", "VRTX", "TWTR", "MRVL", "TTDKY", "MRAAY","FDX","AMAT","WB", "ANET", "WW", "QRVO", "SQ", "HEES", "SAP", "APPN", "NTNX", "QCOM", "DELL", "HUBS", "SEDG", "NTDOY", "UBER", "AMD", "PINS", "NVTA", "OKTA", "TAL", "TDOC","KO", "ABBV", "T", "MMM", "PEP", "LUV", "MRK", "ZNGA", "ATVI", "INTU", "ARCE", "DVA", "TGNA", "AVID", "JNJ", "AGN", "UNH", "CMCSA", "MU" , "C", "JPM", "BAC", "FIS", "CRM","BMY")
tick<-1
Price<- c(tickers[tick]) %>%
tq_get(get = "stock.prices",
from = "2010-01-01",
to = "2020-04-10") %>%
group_by(symbol)
min_max<-function(data){
data=timetk::tk_tbl(data, silent = TRUE)
min.close<-min(data$close)
max.close<-max(data$close)
cbind(min.close,max.close)
}
if (nrow(Price)<252) {
MinMax <- Price %>%
tq_mutate(mutate_fun = rollapply,
width = 20,
FUN = min_max,
by.column = FALSE,
col_rename = c("min", "max"))
}
if (nrow(Price)>=252) {
MinMax <- Price %>%
tq_mutate(mutate_fun = rollapply,
width = 252,
FUN = min_max,
by.column = FALSE,
col_rename = c("min", "max"))
}
MinMax$minRange<-MinMax$min*1.02
MinMax$downTouch <- NA
MinMax$downTouch.Low<-NA
MinMax$downTouch.Hgh<-NA
MinMax$downTouch[which(MinMax$low<=MinMax$min)]<-MinMax$low[which(MinMax$low<=MinMax$min)]
MinMax$downTouch.Low[which(MinMax$low<=MinMax$minRange)]<-MinMax$low[which(MinMax$low<=MinMax$minRange)]
MinMax$downTouch.Hgh[which(MinMax$low<=MinMax$minRange)]<-MinMax$high[which(MinMax$low<=MinMax$minRange)]
MinMax<-xts(MinMax,MinMax$date)
dateWindow <- c("2010-01-01", "2020-04-10")
if ( "downTouch" %in% names(MinMax)==1) {
dygraph(MinMax[,c("close","min","max")], main = paste0('"', tickers[tick],' 364 days min max', '"'))%>%
dyRangeSelector(dateWindow = dateWindow)%>%dyLegend(show = "onmouseover", labelsDiv = NULL,labelsSeparateLines = FALSE, hideOnMouseOut = TRUE)
}
if ( "downTouch" %in% names(MinMax)==1) {
dygraph(MinMax[,c("close","min","max","downTouch","downTouch.Low","downTouch.Hgh")],main = paste0('"', tickers[tick],' 364 days min max', '"'))%>%dySeries("downTouch.Low", strokeWidth = .5, label = "TLow")%>%dySeries("downTouch.Hgh", strokeWidth = .5, label = "THgh")%>% dySeries("downTouch",strokeWidth = 4, pointSize = 4, label = "DownTouch")%>%
dyRangeSelector(dateWindow = dateWindow)%>%dyLegend(show = "onmouseover", labelsDiv = NULL,labelsSeparateLines = FALSE, hideOnMouseOut = TRUE)
}
if ( "downTouch" %in% names(MinMax)==0) {
dygraph(MinMax[,c("close","min","max")], main = paste0('"', tickers[tick],' 364 days min max', '"'))%>%
dyRangeSelector(dateWindow = dateWindow)%>%dyLegend(show = "onmouseover", labelsDiv = NULL,labelsSeparateLines = FALSE, hideOnMouseOut = TRUE)
}
## Warning in FUN(newX[, i], ...): no non-missing arguments, returning NA
## Warning in FUN(newX[, i], ...): no non-missing arguments, returning NA
## Warning in FUN(newX[, i], ...): no non-missing arguments, returning NA
## Warning in FUN(newX[, i], ...): no non-missing arguments, returning NA
## Warning in FUN(newX[, i], ...): no non-missing arguments, returning NA
## Warning in FUN(newX[, i], ...): no non-missing arguments, returning NA
## Warning in FUN(newX[, i], ...): no non-missing arguments, returning NA