library(quantmod)
## Warning: package 'quantmod' was built under R version 4.1.3
## Loading required package: xts
## Loading required package: zoo
## Warning: package 'zoo' was built under R version 4.1.3
##
## Attaching package: 'zoo'
## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric
## Loading required package: TTR
## Registered S3 method overwritten by 'quantmod':
## method from
## as.zoo.data.frame zoo
getSymbols("FB")
## [1] "FB"
library(ichimoku)
## Warning: package 'ichimoku' was built under R version 4.1.3
cloud <- ichimoku(FB)
plot(cloud, window = "2021-05/", ticker = "ichimoku FB", subtitle = "Sample Data Series")
plot(cloud, window = "2021-05/", theme = "solarized", type = "s")
plot(cloud, window = "2021-05/", theme = "solarized", custom = "volume")
kumo <- ichimoku(FB, ticker = "FB", keep.data = TRUE)
plot(kumo, window = "2021-05/", theme = "dark", type = "bar", custom = "volume")
plot(kumo, window = "2021-05/", theme = "solarized", type = "line", custom = "volume")
strat <- strat(cloud, c1 = "tenkan", c2 = "cloudB", dir = "short")
summary(strat)
## [,1]
## Strategy "tenkan > cloudB"
## --------------------- "----------"
## Strategy cuml return % -71.64
## Per period mean ret % -0.0508
## Periods in market 1778
## Total trades 32
## Average trade length 55.56
## Trade success % 56.25
## Worst trade ret % -89.14
## --------------------- "----------"
## Benchmark cuml ret % -88.81
## Per period mean ret % -0.0883
## Periods in market 2480
## --------------------- "----------"
## Direction "short"
## Start 2012-09-07 04:30:00
## End 2022-07-18 04:30:00
## Ticker "FB"
plot(strat, window = "2021-05/")
strat2 <- strat(cloud, c1 = "cloudT", c2 = "kijun", c3 = "cloudT", c4 = "close")
summary(strat2)
## [,1]
## Strategy "cloudT > kijun & cloudT > close"
## --------------------- "----------"
## Strategy cuml return % 74.67
## Per period mean ret % 0.0225
## Periods in market 876
## Total trades 47
## Average trade length 18.64
## Trade success % 76.6
## Worst trade ret % -43.2
## --------------------- "----------"
## Benchmark cuml ret % 793.86
## Per period mean ret % 0.0884
## Periods in market 2480
## --------------------- "----------"
## Direction "long"
## Start 2012-09-07 04:30:00
## End 2022-07-18 04:30:00
## Ticker "FB"
plot(strat2, window = "2021-05/")
autostrat(cloud, n = 1, dir = "short", level = 2)
## [,1]
## Strategy "high > chikou & low > tenkan"
## --------------------- "----------"
## Strategy cuml return % 69.48
## Per period mean ret % 0.0208
## Periods in market 255
## Total trades 90
## Average trade length 2.83
## Trade success % 61.11
## Worst trade ret % -19.1
## --------------------- "----------"
## Benchmark cuml ret % -80.82
## Per period mean ret % -0.0652
## Periods in market 2531
## --------------------- "----------"
## Direction "short"
## Start 2012-06-26 04:30:00
## End 2022-07-18 04:30:00
## Ticker "FB"
autostrat(cloud, n = 1, dir = "long", level = 3)
## [,1]
## Strategy "tenkan > high x tenkan > close"
## --------------------- "----------"
## Strategy cuml return % 634.54
## Per period mean ret % 0.0783
## Periods in market 1656
## Total trades 130
## Average trade length 12.74
## Trade success % 65.38
## Worst trade ret % -26.48
## --------------------- "----------"
## Benchmark cuml ret % 488.9
## Per period mean ret % 0.0696
## Periods in market 2548
## --------------------- "----------"
## Direction "long"
## Start 2012-06-01 04:30:00
## End 2022-07-18 04:30:00
## Ticker "FB"
if (interactive()) {
# Only run examples in interactive R sessions
cloud <- ichimoku(FB, ticker = "FB")
iplot(cloud)
# To open in RStudio viewer instead of default browser
iplot(cloud, launch.browser = getOption("shiny.launch.browser"))
}