R/datasets.R

In vzhomeexperiments/lazytrade: Learn Computer and Data Science using Algorithmic Trading

#' Table with Trade States and sample of actual policy for those states
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with 2 columns:
#' \describe{
#'   \item{TradeState}{Current trade state status}
#'   \item{Policy}{Policy choice}
#' }
"TradeStatePolicy"

#' Table with Market Types and sample of actual policy for those states
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with 2 columns:
#' \describe{
#'   \item{MarketType}{Current Market Type status}
#'   \item{Policy}{Policy choice}
#' }
"policy_tr_systDF"

#' Table with Trade results samples
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{MagicNumber}{Unique identifiers of the Trading Robots}
#'   \item{TicketNumber}{Ticket Number of closed position}
#'   \item{OrderStartTime}{Date and Time when order started}
#'   \item{OrderCloseTime}{Date and Time when order closed}
#'   \item{Profit}{Monetary result of the trade}
#'   \item{Symbol}{Symbol of the Asset e.g. EURUSD}
#'   \item{OrderType}{Order Type 0 - buy, 1 - sell}
#' }
"profit_factorDF"

#' Table with Trade results samples
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{X1}{Unique identifiers of the Trading Robots}
#'   \item{X2}{Ticket Number of closed position}
#'   \item{X3}{Date and Time when order started}
#'   \item{X4}{Date and Time when order closed}
#'   \item{X5}{Monetary result of the trade}
#'   \item{X6}{Symbol of the Asset e.g. EURUSD}
#'   \item{X7}{Order Type 0 - buy, 1 - sell}
#' }
"profit_factor_data"

#' Table with Trade results samples
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{MagicNumber}{Unique identifiers of the Trading Robots}
#'   \item{TicketNumber}{Ticket Number of closed position}
#'   \item{OrderStartTime}{Date and Time when order started}
#'   \item{OrderCloseTime}{Date and Time when order closed}
#'   \item{Profit}{Monetary result of the trade}
#'   \item{Symbol}{Symbol of the Asset e.g. EURUSD}
#'   \item{OrderType}{Order Type 0 - buy, 1 - sell}
#' }
"data_trades"

#' Table with price dataset
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{X1}{Date and time of the price sample}
#'   \item{X2-X29}{Values of the assets}
#' }
"price_dataset"

#' Table with indicator dataset
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{X1}{Date and time of the indicator sample}
#'   \item{X2-X29}{Values of the assets}
#' }
"indicator_dataset"

#' Table with price dataset, 30000 rows
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{X1}{Date and time of the price sample}
#'   \item{X2-X29}{Values of the assets}
#' }
"price_dataset_big"

#' Table with one column indicator dataset
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with one column
#' \describe{
#'   \item{CADCHF}{Indicator values of the asset}
#' }
"macd_df"

#' Table with trade data and joined market type info
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{"MagicNumber.x}{Unique identifiers of the Trading Robots from Trade Log}
#'   \item{TicketNumber}{Ticket Number of closed position}
#'   \item{OrderStartTime}{Date and Time when order started}
#'   \item{OrderCloseTime}{Date and Time when order closed}
#'   \item{Profit}{Monetary result of the trade}
#'   \item{Symbol}{Symbol of the Asset e.g. EURUSD}
#'   \item{OrderType}{Order Type 0 - buy, 1 - sell}
#'   \item{"MagicNumber.y}{Unique identifiers of the Trading Robots from Ticket Opening Log}
#'   \item{"MarketType}{Logged Market Type of the asset at the moment of Ticket Opening}
#' }
"trading_systemDF"

#' Table with several columns containing indicator values and Label values
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{LABEL}{Asset values as were recorded in the future}
#'   \item{V1-V49}{Transposed values of the indicator}
#' }
"test_data_pattern"

#' Table with one column as result from the model prediction
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with one column
#' \describe{
#'   \item{predict}{Predicted values from the model}
#' }
"result_prev"

#' Table with indicator and price change dataset
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{LABEL}{future price change}
#'   \item{X1-X75}{Values of the macd indicator}
#' }
"EURUSDM15X75"

#' Table with a dataset to test the Model
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{LABEL}{future price change}
#'   \item{X1-X75}{Values of the macd indicator}
#' }
"x_test_model"

#' Table with predicted price change
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with one column
#' \describe{
#'   \item{predict}{predicted future price change}
#'
#' }
"result_R"

#' Table with aggregated trade results
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with one column
#' \describe{
#'   \item{predict}{predicted price change}
#' }
#'
"result_R1"

#' Table with predicted price change
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with one column
#' \describe{
#'   \item{"MagicNumber.x}{Unique identifiers of the Trading Robots from Trade Log}
#'   \item{TicketNumber}{Ticket Number of closed position}
#'   \item{OrderStartTime}{Date and Time when order started}
#'   \item{OrderCloseTime}{Date and Time when order closed}
#'   \item{Profit}{Monetary result of the trade}
#'   \item{Symbol}{Symbol of the Asset e.g. EURUSD}
#'   \item{OrderType}{Order Type 0 - buy, 1 - sell}
#'   \item{"CUMSUM_PNL}{Cumulative sum of Profit and Loss}
#'
#' }
"DFR"

#' Table with indicator and market type category used to train model
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{X1-X64}{Values of the macd indicator}
#'   \item{M_T}{Category of Market Type}
#' }
#'
"macd_ML60M"

#' Table with indicator only used to train model, 128 col 1646 rows
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{EURUSD}{Values of the macd indicator}
#'   \item{GBPUSD}{Values of the macd indicator}
#'   \item{AUDUSD}{Values of the macd indicator}
#'   \item{NZDUSD}{Values of the macd indicator}
#'   \item{USDCAD}{Values of the macd indicator}
#'   \item{USDCHF}{Values of the macd indicator}
#'   \item{USDJPY}{Values of the macd indicator}
#'   \item{EURGBP}{Values of the macd indicator}
#'   \item{EURJPY}{Values of the macd indicator}
#'   \item{EURCHF}{Values of the macd indicator}
#'   \item{EURNZD}{Values of the macd indicator}
#'   \item{EURCAD}{Values of the macd indicator}
#'   \item{EURAUD}{Values of the macd indicator}
#'   \item{GBPAUD}{Values of the macd indicator}
#'   \item{GBPCAD}{Values of the macd indicator}
#'   \item{GBPCHF}{Values of the macd indicator}
#'   \item{GBPJPY}{Values of the macd indicator}
#'   \item{GBPNZD}{Values of the macd indicator}
#'   \item{AUDCAD}{Values of the macd indicator}
#'   \item{AUDCHF}{Values of the macd indicator}
#'   \item{AUDJPY}{Values of the macd indicator}
#'   \item{AUDNZD}{Values of the macd indicator}
#'   \item{CADJPY}{Values of the macd indicator}
#'   \item{CHFJPY}{Values of the macd indicator}
#'   \item{NZDJPY}{Values of the macd indicator}
#'   \item{NZDCAD}{Values of the macd indicator}
#'   \item{NZDCHF}{Values of the macd indicator}
#'   \item{CADCHF}{Values of the macd indicator}
#'
#' }
"macd_100"

#' Table with indicators and price change which is used to train model
#'
#' @docType data
#' @keywords datasets
#'
#' @format A dataframe with several columns
#' \describe{
#'   \item{X1}{Time index}
#'   \item{X2}{Closed price now}
#'   \item{X3}{Closed price 34 bars ago}
#'   \item{X4-X19}{Series of Indicator values}
#'   \item{LABEL}{Price difference, difference between X3 and X2}
#' }
"y"