myrlib: My R library for daily work

if (FALSE) {

  install_github("tmk-c/myrlib")
  library(myrlib)

  #### Load data from plus DB --------------------------------------------------

  start.date <- "2011-01-01"
  end.date   <- "2011-12-31"
  sma.lens   <- seq(0, 250, 10)
  sd.lens    <- seq(10, 250, 10)
  ato.lens   <- seq(10, 250, 10)
  ogc.lens   <- seq(0, 250, 10)

  # 3min for all 3years
  columns <-  c("open", "high", "low", "close", "adj.open", "roc.pc2to",
                "sma", "sd", "avg.tover", "open.gap.coef")
  symbols <- getActiveSymbols(settings$sharadar_plus.sqli, start.date, end.date)
  data    <- getSliceData(settings$sharadar_plus.sqli, columns, start.date,
                          end.date, symbols, TRUE, sma.lens, sd.lens,
                          ato.lens, ogc.lens)

  #### Create data and single backtest -----------------------------------------

  start_date <- "2009-01-01"
  end_date   <- "2009-12-31"
  range      <- paste(start_date, end_date, sep = "::")

  # Long
  l_params <- data.frame(
    range       = range,
    sma_len     = 0,
    sd_len      = 50,
    ato_len     = 200,
    ogc_len     = 0,
    side        = "Long",
    sd_thres    = 0.01,
    ato_l_thres = 10000000,
    ato_h_thres = Inf,
    ogc_thres   = 0,
    stop_thres  = 0.3,
    min_thres   = 10,
    slippage    = 0.001,
    num_trades  = 10,
    lot         = 10000,
    stringsAsFactors = FALSE
  )

  # Short
  s_params <- l_params
  s_params$side <- "Short"

  # Load data
  path <- "/largedata/data_2009_sma0_sd50_ato200_ogc0.rds"
  data <- readRDS(paste0(system.file(package = "myrlib"), path))

  # Get data
  # columns <-  c("open", "high", "low", "close", "adj.open", "roc.pc2to",
  #               "sma", "sd", "avg.tover", "open.gap.coef")
  # symbols <- getActiveSymbols(settings$sharadar.sqli, start_date, end_date)
  # data    <- getSliceData(settings$sharadar.sqli, columns, start_date, end_date,
  #                         symbols, TRUE, l_params$sma_len, l_params$sd_len,
  #                         l_params$ato_len, l_params$ogc_len)

  # Save data
  # saveRDS(data, paste0(system.file(package = "myrlib"), path))

  # Long
  l_result <- calcGapStrategy(l_params, data, output = "full")
  l_result$plot
  l_result$trans
  l_result$equity_curve

  # Short
  s_result <- calcGapStrategy(s_params, data, output = "full")
  s_result$plot
  s_result$trans
  s_result$equity_curve

  # Combine result
  trans <- rbindlist(list(l_result$trans, s_result$trans))
  ec    <- calcEquityCurveFromTrans(trans, data$adj.open)
  perf  <- calcPerformance(ec)
  plot  <- buildEquityCurvePlot(ec, perf)
  plot
  ec

  ### Parallel backtest --------------------------------------------------------

  start_date  = "2009-01-01"
  end_date    = "2009-12-31"
  range       = paste(start_date, end_date, sep = "::")
  sma_lens    = c(0, 10, 20)
  sd_lens     = c(50, 100)
  ato_lens    = c(100, 200)
  ogc_lens    = 0
  side        = "Long"
  sd_thres    = c(0.01, 0.02)
  ato_l_thres = c(10000000, 20000000)
  ato_h_thres = Inf
  ogc_thres   = 0
  stop_thres  = c(0.3, 0.5)
  min_thres   = c(10, 15)
  slippage    = c(0.001)
  num_trades  = c(10)
  lot         = c(10000)

  # Get data
  columns <-  c("open", "high", "low", "close", "adj.open", "roc.pc2to",
                "sma", "sd", "avg.tover", "open.gap.coef")
  symbols <- getActiveSymbols(settings$sharadar.sqli, start_date, end_date)
  data    <- getSliceData(settings$sharadar.sqli, columns, start_date, end_date,
                          symbols, TRUE, sma_lens, sd_lens, ato_lens, ogc_lens)

  # Save data
  path <- "/largedata/data_2009_sma0_sd50_ato200_ogc0.rds"
  saveRDS(data, paste0(system.file(package = "myrlib"), path))

  data_param_set <- lapply(range, generateDataParams, sma_lens, sd_lens,
                           ato_lens, ogc_lens)

  param_set <- do.call("rbind", lapply(data_param_set, generateStrategyParamSet,
    side, sd_thres, ato_l_thres, ato_h_thres, ogc_thres, stop_thres, min_thres,
    slippage, num_trades, lot))

  # Params to backtests
  param_set <- getParamSetDiff(settings$strategy.sqli, param_set)

  calcGapStrategyAllParams(settings$sharadar.sqli, settings$strategy.sqli,
    ranges, sma_lens, sd_lens, ato_lens, ogc_lens,
    side, sd_thres, ato_l_thres, ato_h_thres, ogc_thres, stop_thres,
    min_thres, slippage, num_trades, lot)

  ### Parameter sweep ----------------------------------------------------------

  ranges      = getAnnualRanges(2009, 2017)
  sma_lens    = 0 #seq(0, 250, 10)
  sd_lens     = seq(10, 250, 10)
  ato_lens    = 200 #seq(10, 250, 10)
  ogc_lens    = seq(0, 250, 10)
  side        = "Long"
  sd_thres    = seq(0, 0.05, 0.01)
  ato_l_thres = c(10000000)
  ato_h_thres = Inf
  ogc_thres   = 0 #seq(0, -0.01, -0.005)
  stop_thres  = seq(0.1, 1, 0.1)
  min_thres   = c(10)
  slippage    = c(0.001)
  num_trades  = c(10)
  lot         = c(10000)

  # All params
  data_param_set <- lapply(ranges, generateDataParams, sma_lens, sd_lens,
                           ato_lens, ogc_lens)

  param_set <- do.call("rbind", lapply(data_param_set, generateStrategyParamSet,
    side, sd_thres, ato_l_thres, ato_h_thres, ogc_thres, stop_thres, min_thres,
    slippage, num_trades, lot))

  # Params to backtests
  param_set <- getParamSetDiff(settings$strategy.sqli, param_set)

  # Estimate time
  num_data  <- length(data_param_set)
  data_prep <- 160
  num_cores <- 64
  per_param <- 3
  ttl_time  <- (num_data * data_prep) +
               ((nrow(param_set) / num_cores) * per_param)
  print(paste0(round(ttl_time / 60 / 60, 1), "H"))

  s <- proc.time()
  calcGapStrategyAllParams(settings$sharadar_plus.sqli, settings$strategy.sqli,
    ranges, sma_lens, sd_lens, ato_lens, ogc_lens,
    side, sd_thres, ato_l_thres, ato_h_thres, ogc_thres, stop_thres,
    min_thres, slippage, num_trades, lot)
  proc.time() - s

  ### Walk forward analysis ----------------------------------------------------

  # Best params from DB
  long_params <- getGapStrategyBestParamByScore(settings$strategy.sqli,
                                                "Long", last_only = FALSE)

  short_params <- getGapStrategyBestParamByScore(settings$strategy.sqli,
                                                 "Short", last_only = FALSE)
  params <- rbind(long_params, short_params)

  wfa_result <- calcGapStrategyWFA(params)
  wfa_result$plot
  wfa_result$trans
  wfa_result$perf
  wfa_result$params

  ### Daily setup --------------------------------------------------------------

  # Variables
  this_date <- "2018-11-28"

  # Latest best params from DB
  long_params <- getGapStrategyBestParamByScore(settings$strategy.sqli,
                                                "Long", last_only = TRUE)
  short_params <- getGapStrategyBestParamByScore(settings$strategy.sqli,
                                                 "Short", last_only = TRUE)

  # Universe
  info <- calcGapStrategyDailyUniverse(settings$sharadar.sqli,
                                       this_date, long_params)

  # Save results
  file <- paste0("daily_universe_", Sys.Date(), ".csv")
  path <- paste0("~/Dropbox/strat_dev/Gap_Strategy/Universe/", file)
  write.csv(info, path, row.names = FALSE)


  ### Misc ---------------------------------------------------------------------
  con <- DBI::dbConnect(RSQLite::SQLite(), settings$sharadar_plus.sqli)
  src <- dplyr::tbl(con, "equity_prices")
  tickers <- src %>%
  dplyr::select(ticker) %>% dplyr::collect() %>% dplyr::pull() %>% unique()
  DBI::dbDisconnect(con)

  info <- getSymbolInfo(settings$sharadar_plus.sqli)
  a <- getDailyOHLCV(settings$sharadar_plus.sqli, "A")

  info[ticker == symbol]$last_price_date
  info[ticker == symbol]$first_price_date

  a <- fread(paste0("~/tmp/sma/", symbol, ".csv"))
}