In frdanconia/shiny_etf_portfolio: ShinyETF

library(tidyquant) library(tidyverse) library(timetk) library(highcharter) library(Quandl)

Quandl.api_key("d9EidiiDWoFESfdk5nPy")

datasets <- c("CHRIS/CME_HG1", "CHRIS/CME_GC1", "FRED/DGS10.1")

commodities <- datasets %>% tq_get(get = "quandl", from = "2000-01-01", collapse = "daily")

head(commodities)

commodities %>% select(symbol, date, settle, value)

commodities %>%
select(symbol, date, settle, value) %>% mutate(data = case_when(value > 0 ~ value, settle > 0 ~ settle)) %>% select(symbol, date, data) %>% head()

commodities %>% select(symbol, date, settle, value) %>% mutate(data = case_when(value > 0 ~ value, settle > 0 ~ settle)) %>% select(symbol, date, data) %>% spread(symbol, data) %>% colnames<-(c("date","gold", "copper", "ten_year")) %>% head()

commodities_df <- commodities %>% select(symbol, date, settle, value) %>% mutate(data = case_when(value > 0 ~ value, settle > 0 ~ settle)) %>% select(symbol, date, data) %>% spread(symbol, data) %>% colnames<-(c("date","gold", "copper", "ten_year")) %>% mutate(cpr_gold_ratio = (copper*100)/gold)

head(commodities_df)

commodities_xts <- commodities_df %>% tk_xts(date_var = date)

highchart(type = "stock") %>% hc_subtitle(text = "Ratio") %>% hc_subtitle(text = "Copper-Gold and 10-year yields") %>% hc_tooltip(crosshairs = TRUE, backgroundColor = c("#F8F8FF"), shared = TRUE, borderWidth = 1) %>% hc_yAxis_multiples( list( title = list(text = "copper-gold ratio"), align = "left", labels = list(format = "{value}$"), showFirstLabel = FALSE, showLastLabel = FALSE, opposite = FALSE), list( title = list(text = "10-year rates"), align = "right", labels = list(format = "{value}%"), showFirstLabel = FALSE, opposite = TRUE, showLastLabel = FALSE)) %>% hc_add_series(commodities_xts$cpr_gold_ratio, name = "copper-gold ratio", yAxis = 0) %>% hc_add_series(commodities_xts$ten_year, name = "10-year", type = "spline", yAxis = 1) %>% hc_exporting(enabled = TRUE) %>% hc_navigator(enabled = TRUE) %>% hc_scrollbar(enabled = FALSE) %>% hc_legend(enabled = TRUE)

commodities_2017_18 <- commodities_df %>% filter(date >= "2017-01-01") %>% tk_xts(date_var = date)

highchart(type = "stock") %>% hc_subtitle(text = "Ratio") %>% hc_subtitle(text = "Copper-Gold and 10-year yields") %>% hc_tooltip(crosshairs = TRUE, backgroundColor = c("#F8F8FF"), shared = TRUE, borderWidth = 1) %>% hc_yAxis_multiples( list( title = list(text = "copper-gold ratio"), align = "left", labels = list(format = "{value}$"), showFirstLabel = FALSE, showLastLabel = FALSE, opposite = FALSE), list( title = list(text = "10-year rates"), align = "right", labels = list(format = "{value}%"), showFirstLabel = FALSE, opposite = TRUE, showLastLabel = FALSE)) %>% hc_add_series(commodities_2017_18$cpr_gold_ratio, name = "copper-gold ratio", yAxis = 0) %>% hc_add_series(commodities_2017_18$ten_year, name = "10-year", type = "spline", yAxis = 1) %>% hc_exporting(enabled = TRUE) %>% hc_navigator(enabled = TRUE) %>% hc_scrollbar(enabled = FALSE) %>% hc_legend(enabled = TRUE)

commodities_df %>% gather(asset, price, -date) %>% ggplot(aes(x = date, y = price, color = asset)) + geom_line() + facet_wrap(~asset, scales = "free")

frdanconia/shiny_etf_portfolio documentation built on Jan. 24, 2021, 12:44 a.m.