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)

json_files <- list.files("C:/Users/Mislav/Downloads", pattern = ".json", full.names = TRUE)
file.copy(json_files, params$lean_path[[1]])

# read json file with results
results_json_path <- list.files(params$lean_path[[1]], pattern = ".json", full.names = TRUE)
results <- lapply(results_json_path, read_json)
names(results[[1]])

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

# Equity curve for strategy
strategy <- rbindlist(lapply(results, function(x) rbindlist(x$Charts$`Strategy Equity`$Series$`Daily Performance`$Values)))
strategy <- unique(strategy)
strategy[, Date := as.POSIXct(x, origin="1970-01-01")]
strategy <- strategy[order(Date)]
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.