R/Scratchbook/Scratchbook2.R

In krzysztofpaliga/rBackTesting:

source("~/Develop/R/rBackTesting/R/BinStrategies.R")
source("~/Develop/R/rBackTesting/R/BuyStrategies.R")
source("~/Develop/R/rBackTesting/R/SellStrategies.R")
source("~/Develop/R/rBackTesting/R/Win.R")
require(rChange)
require(rQuant)
require(tidyverse)
require(dplyr)
require(odbc)
require(lubridate)
'%ni%' <- Negate('%in%')
connection <- DBI::dbConnect(odbc::odbc(), "cryptocompare")
#datA <- tbl(connection, "cryptocompare_histoDay")
datA <- tbl(connection, "binance_day")
#datA %>% filter(time>1529533355) %>%  collect() -> dataHistorical
#datA %>%  filter(exchange == "Cryptopia", currency == "BTC") %>% distinct() %>% collect() -> dataHistorical
datA %>%  filter(exchange == "Bittrex", currency == "BTC") %>% distinct() %>% collect() -> dataHistorical
#datA %>%  filter(exchange == "Cryptopia", currency=="BTC") %>% distinct() %>% collect() -> dataHistorical

datA %>% filter(time > 1546360576) %>% collect()-> dataHistoricalF

rQuant <- init_rQuant()

#data <- rQuant$bollingerBands$calculate(dataHistorical, 12, 1, TRUE)
data <- rQuant$candlesticks$calculate(dataHistoricalF)

#data <- na.omit(data)

asc <- function(a) {
  allAsc <- TRUE
  for (i in 1:(length(a)-1)) {
    if(a[i] > a[i+1]) {
      allAsc <- FALSE
    }
  }
  return(allAsc)
}

data$ascSell <- rollapply(data$open, width=2, FUN = asc, fill = NA, align = "right")
data$ascBuy <- rollapply(data$open, width=3, FUN = asc, fill = NA, align = "right" )

data <- na.omit(data)

windowSize = 12
tradeBookCostRatio = 0
binStrategy <- binStrategies$distributingMeanBinStrategy
buyStrategy <- buyStrategies$cc$hammerBuyStrategy
sellStrategy <- sellStrategies$cc$hammerSellStrategy
numberOfBins = 70
initialInvestment = 1

bins <- win(data = data,
    windowSize = windowSize,
    binStrategy = binStrategy,
    buyStrategy = buyStrategy,
    sellStrategy = sellStrategy,
    tradeBookCostRatio = tradeBookCostRatio,
    numberOfBins = numberOfBins,
    initialInvestment = initialInvestment)