R/Scratchbook3.R

In krzysztofpaliga/rBackTesting:

source("~/Develop/R/rTrade/R/BinStrategies.R")
source("~/Develop/R/rTrade/R/BuyStrategies.R")
source("~/Develop/R/rTrade/R/SellStrategies.R")
source("~/Develop/R/rTrade/R/Win.R")
require(rChange)
require(rQuant)
require(tidyverse)
require(dplyr)
require(odbc)
require(lubridate)
'%ni%' <- Negate('%in%')
connection <- DBI::dbConnect(odbc::odbc(), "cryptonoi.se")
datA <- tbl(connection, "cryptocompare_histoHour")
datA %>% filter(time>1503267755, exchange=="BitTrex") %>%  collect() -> dataHistorical
#datA %>%  collect() -> dataHistorical

rQuant <- init_rQuant()

#data <- rQuant$bollingerBands$calculate(dataHistorical, 12, 24, TRUE)
data <- rQuant$candlesticks$calculate(dataHistorical)


fd <- function(a) {
  return((a[2] - a[1])/mean)
}
asc <- function(a) {
  a<- na.omit(a)
  sum <- sum(a)
  if (sum > 0) {
    return (TRUE)
  } else {
    return (FALSE)
  }
}
desc <- function(a) {
  a<- na.omit(a)
  sum <- sum(a)
  if (sum > 0) {
    return (TRUE)
  } else {
    return (FALSE)
  }
}
mean <- mean(data$open)
data$fd <- rollapply(data$open, width=2, FUN = fd, fill = NA, align = "right")
data$asc <- rollapply(data$fd, width=3, FUN = asc, fill = NA, align = "right")
nrow(filter(data, asc==TRUE))
data$desc <- rollapply(data$fd, width=7, FUN = desc, fill = NA, align = "right" )
nrow(filter(data, desc ==TRUE))
#data <- na.omit(data)

windowSize = 12
tradeBookCostRatio = 0
binStrategy <- binStrategies$simpleBinStrategy
buyStrategy <- buyStrategies$cc$hammerBuyStrategy
sellStrategy <- sellStrategies$cc$hammerSellStrategy
numberOfBins = 80
initialInvestment = 0.2

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