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)

# read json file with results
results_json_path <- file.path(params$lean_path, paste0(params$algortihm_name, '.json'))
result <- read_json(results_json_path)
names(result)

# statistics
algo_stats <- as.data.frame(list(result$Statistics)) %>% 
  pivot_longer(., cols = everything())

rows <- seq_len(nrow(algo_stats) %/% 2)
kable(list(algo_stats[rows,1:2],
           algo_stats[-rows, 1:2]),
      col.names = NULL) %>% 
  kable_styling(full_width = FALSE) %>% 
  kable_material(c("striped", "hover"))

# Equity curve plot
benchmark <- rbindlist(result$Charts$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(result$Charts$`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.