In MislavSag/alphar:

knitr::opts_chunk$set(warning=FALSE, echo=FALSE, message=FALSE)

library(tidyr)
library(jsonlite)
library(kableExtra)
library(purrr)
library(data.table)
library(ggplot2)
library(PerformanceAnalytics)

opt_path <- "C:/Users/Mislav/Documents/GitHub/lean_test/ExuberLocal/optimizations/2021-04-23_09-47-55"
opt_files <- list.files(opt_path, full.names = TRUE)
results_json_path <- lapply(opt_files, function(x) list.files(x, pattern = "json", full.names = TRUE))
opt_results <- lapply(results_json_path[1:150], function(x) read_json(x[2]))

cum_returns <- lapply(opt_results, function(x) x$Statistics$`Net Profit`)
cum_returns <- lapply(cum_returns, function(x) if (is.null(x)) {return(NA)} else {x})
cum_returns <- unlist(cum_returns)
cum_returns <- gsub("%", "", cum_returns)
cum_returns <- as.numeric(cum_returns)
cum_returns <- data.table(cum_returns, opt_files[1:150])
cum_returns <- cum_returns[order(cum_returns, decreasing = TRUE)]
head(cum_returns, 10)
# cum_returns[[1]]$

# Equity curve plot
benchmark <- rbindlist(lapply(results, function(x) rbindlist(x$Charts$Benchmark$Series$Benchmark$Values)))
benchmark <- benchmark[y > 0]
benchmark[, Date := as.POSIXct(x, origin="1970-01-01")]
benchmark[, prices := y]
benchmark[, Benchmrk := (prices / shift(prices)) - 1]
benchmark[, `:=`(x = NULL, y = NULL, prices = NULL)]

strategy <- rbindlist(lapply(results, function(x) rbindlist(x$Charts$`Strategy Equity`$Series$`Daily Performance`$Values)))
strategy[, Date := as.POSIXct(x, origin="1970-01-01")]
strategy[, Strategy := y / 100]
strategy[, `:=`(x = NULL, y = NULL)]

equity_curve <- strategy[benchmark, on = 'Date']
equity_curve <- na.omit(equity_curve)

charts.PerformanceSummary(equity_curve, plot.engine = 'plotly')

MislavSag/alphar documentation built on Nov. 13, 2024, 5:28 a.m.