# Importing Algorithm
#
# a <- readxl::read_excel("FTSE100.xlsx")
# for(i in 2:dim(a)[2]){
# nam <- paste("STOCK", i-1, sep = "_")
# assign(nam,a[2:4697,i])
# }
#
####### Backtesting - Campbell, Hardy
#70/30 split
#Variance of Returns - Sharpe Ratio
#Drawdown - max fall acceptable
#Sortino Ratio / CALMAR ratio (included here)
#manipulation proof performance measure
#significance tests (?)
#47top
#'@export
pickup <- function(data="data/FTSE100.Rdata"){
load(data)
return(NULL)
}
#'@export
price2ret <- function(data,sort=FALSE){
it <- ncol(data)
output <- matrix(nrow=nrow(data),ncol=it)
for(i in 1:it){
if(sort==FALSE){
base <- as.numeric(data[1,i])
}
else{
base<-1
}
output[,i] <- as.numeric(as.vector(data[,i]))/base
}
return(output)
}
#'@export
listgen.allc <- function(b){
v1 <- vector(length=choose(ncol(b),2))
v2 <- vector(length=choose(ncol(b),2))
nos <- ncol(b)
index <- 0
for(i in 1:(nos-1)){
for(j in (1+i):nos){
index <- index + 1
v1[index] <- i
v2[index] <- j
}
}
l <- list(v1,v2)
return(l)
}
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