cryptoPlayWork.R

In 3schwartz/cryptoPlay: CryptoPlaying (Title Case)

library(quantmod)

BTC <- quantmod::getSymbols("BTC-USD", auto.assign = FALSE)
colnames(BTC) <- stringr::str_replace_all(colnames(BTC), ".USD", "")

BTC.Cl <- Cl(BTC)
BTC.Cl$SMA <- SMACpp(BTC.Cl, 200)
BTC.Cl$SMAwei <- ifelse(BTC.Cl$BTC.Close > BTC.Cl$SMA, 1, 0)
BTC.Cl$diff <- diff(BTC.Cl$BTC.Close)
BTC.Cl$SMAre <- BTC.Cl$diff * lag(BTC.Cl$SMAwe)

model <- xts(order.by = index(BTC.Cl[200:nrow(BTC.Cl),]))
model$SMA <- cumsum(na.omit(BTC.Cl$SMAre))

plot(model$SMA)

## Transaction cost
InitialValue <- 0
TransCost <- 30

BTC.Cl$change <- ifelse(BTC.Cl$SMAwei != lag(BTC.Cl$SMAwei), 1, 0)
BTC.Cl$TransCost <- BTC.Cl$change * TransCost
BTC.Cl$SMAreTC <- BTC.Cl$SMAre - BTC.Cl$TransCost

foo <- BTC.Cl$SMAre - BTC.Cl$TransCost
foo[1,] <- InitialValue - BTC.Cl$BTC.Close[1,]
batman <- cumsum(na.omit(foo))

if(any(batman$SMAre < 0)) {stop("Bankrupt")}

model$SMA.TC <- cumsum(na.omit(BTC.Cl$SMAreTC))


plot(model$SMA.TC)

####################
##### Plotting #####
####################

fooA <- quantmod::getSymbols("BTC-USD", auto.assign = FALSE, from = "2018-01-01")

SMAstrate <- SimpleMovingAverage(quantmod::Cl(fooA["2018-01-21/"]), k = 6, Initpocket = 25000, TransCost = 10)
ROCstrate <- ROCmoving(quantmod::Cl(fooA["2018-01-20/"]), k = 6, Initpocket = 25000, TransCost = 10)
Errstrate <- ErrMoving(quantmod::Cl(fooA), k = 6, Initpocket = 25000, TransCost = 10)
Propstrate <- PropMoving(quantmod::Cl(fooA["2018-01-20/"]), k = 6, Initpocket = 25000, TransCost = 10, confidence.level = 0.55)

library(tidyr)
library(tibble)
library(ggplot2)

SMAdata <- do.call(cbind, SMAstrate$return)

SMAdata.tidy <- data.frame(Date = zoo::index(SMAdata), zoo::coredata(SMAdata)) %>%
  gather(-Date, key = "Strategy", value = "Value")

ggplot(data = SMAdata.tidy, aes(x = Date, y = Value, color = Strategy)) +
  geom_line()

### Transform data
data <- do.call(cbind, purrr::map(list(SMAstrate$return,
                                       ROCstrate$return,
                                       Errstrate$return,
                                       Propstrate$return),
                                  do.call, what = cbind))
data.tidy <- data.frame(Date = zoo::index(data), zoo::coredata(data)) %>%
  gather(-Date, key = "Strategy", value = "value")

### Plot data
ggplot(data = dplyr::filter(data.tidy, Strategy %in% c("SMA.TCPocket","ROC.TCPocket",
                                                       "Err.TCPocket","Prop.TCPocket")),
       aes(x = Date, y = value, color = Strategy)) +
  geom_line()

### Table
do.call(cbind, list(ROCstrate$table,
                    SMAstrate$table,
                    Errstrate$table,
                    Propstrate$table))

### Weight plot
weight.tidy <- cbind(SMAstrate$SMA.weights,
                     ROCstrate$ROC.weights,
                     Errstrate$Err.weights,
                     Propstrate$Prop.weights)
colnames(weight.tidy) <- c("SMA.w", "ROC.w", "Err.w", "Prop.w")

weight.tidy <- data.frame(Date = zoo::index(weight.tidy), zoo::coredata(weight.tidy)) %>%
  gather(-Date, key = "Strategy", value = "Position")


### Plot weight data
ggplot(weight.tidy,
       aes(x = Date, y = Position, color = Strategy)) +
  geom_line()