R/assign_global.R

In themechanicalbear/tidyoptions: Tidy options data from iVolatility.com used to perform backtesting of common option trade strategies

# Header------------------------------------------------------------------------
# title: "Assign to Global"
# author: "Jason Taylor"
# Update: "Dec-20-2016"


# TODO(jason):------------------------------------------------------------------


# Function----------------------------------------------------------------------
assign.global <- function(results, results.table) {
assign("num_t", nrow(results), envir = .GlobalEnv)
assign("tot_profit", sum(results$profit), envir = .GlobalEnv)
assign("avg_profit", tot_profit/num_t, envir = .GlobalEnv)
assign("tot_days", sum(results$days_held), envir = .GlobalEnv)
assign("avg_days", tot_days/num_t, envir = .GlobalEnv)
assign("avg_prof_day", avg_profit/avg_days, envir = .GlobalEnv)
assign("maximum_loss", ifelse(min(results$profit) >= 0, 0, min(results$profit)),
       envir = .GlobalEnv)
assign("max_win", ifelse(max(results$profit) < 0, 0, max(results$profit)),
       envir = .GlobalEnv)
assign("avg.entry.margin", sum(results$option_margin)/num_t, envir = .GlobalEnv)
assign("percent_winners", percent(length(which(results$profit > 0)) / num_t),
       envir = .GlobalEnv)
assign("exit.expiration",
       ifelse(percent(length(which(results$exit_reason == "Expiration"))
                      / num_t) == "NaN%",
              0, percent(length(which(results$exit_reason == "Expiration"))
                         / num_t)), envir = .GlobalEnv)
assign("exit.profit.target",
       ifelse(percent(length(which(results$exit_reason == "Profit target"))
                      / num_t) == "NaN%",
              0, percent(length(which(results$exit_reason == "Profit target"))
                         / num_t)), envir = .GlobalEnv)
assign("exit.loss.limit",
       ifelse(percent(length(which(results$exit_reason == "Loss limit"))
                      / num_t) == "NaN%",
              0, percent(length(which(results$exit_reason == "Loss limit"))
                         / num_t)), envir = .GlobalEnv)
assign("exit.gamma.risk",
       ifelse(percent(length(which(results$exit_reason == "Gamma risk"))
                      / num_t) == "NaN%",
              0, percent(length(which(results$exit_reason == "Gamma risk"))
                         / num_t)), envir = .GlobalEnv)
assign("exit.earnings",
       ifelse(percent(length(which(results$exit_reason == "Earnings"))
                      / num_t) == "NaN%",
              0, percent(length(which(results$exit_reason == "Earnings"))
                         / num_t)), envir = .GlobalEnv)
assign("results", results, envir = .GlobalEnv)
assign("results.table", results.table, envir = .GlobalEnv)
}