library(quantmod)
library(PerformanceAnalytics)
mydata=readRDS("stockdata.rds")
#define 5 days as short period, 15 days as long period
mv5=SMA(mydata$Close,5)
mv15=SMA(mydata$Close,15)
#when short-term profit higher than long-term, short the asset
signal=ifelse(mv5<mv15,0,1)
sig=lag(signal)
#calculate overall profit
roc=ROC(type='discrete',mydata$Close)
return=roc * sig
#plot overall profit
charts.PerformanceSummary(return)
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