version 1.1.0

DESCRIPTION

@@ -2,23 +2,23 @@ Package: fractalrock
 Type: Package
 Title: Generate fractal time series with non-normal returns
         distribution
-Version: 1.0.3
-Date: 2011-09-17
+Version: 1.1.0
+Date: 2013-02-04
 Author: Brian Lee Yung Rowe
-Maintainer: Brian Lee Yung Rowe <r@nurometic.com>
-Depends: R (>= 2.8.0), futile.any, futile.logger, timeDate, zoo, xts,
+Maintainer: Brian Lee Yung Rowe <r@zatonovo.com>
+Depends: futile.any (>= 1.3.0), futile.logger (>= 1.3.0), timeDate,
         quantmod
 Description: The basic principle driving fractal generation of time
         series is that data is generated iteratively based on
-        increasing levels of resolution. The initial series is defined
+        increasing levels of resolution.  The initial series is defined
         by a so-called initiator pattern and then generators are used
         to replace each segment of the initial pattern. Regular,
         repeatable patterns can be produced by using the same seed and
-        generators. By using a set of generators, non-repeatable time
-        series can be produced. This technique is the basis of the
+        generators.  By using a set of generators, non-repeatable time
+        series can be produced.  This technique is the basis of the
         fractal time series process in this package.
-License: GPL-2
+License: GPL-3
 LazyLoad: yes
-Packaged: 2011-09-18 00:25:43 UTC; brian
+Packaged: 2013-02-04 20:03:17 UTC; brian
 Repository: CRAN
-Date/Publication: 2011-09-18 06:20:28
+Date/Publication: 2013-02-05 05:41:05

MD5

@@ -1,11 +1,11 @@
-1e57bd49a6293bed4edcd945e0da5f96 *DESCRIPTION
+e0fc949700bc88c2b5824fa3205f229f *DESCRIPTION
 012592abf4b40a8d741b299df2ded05a *NAMESPACE
-ea4ac2f22787072c4cb4aee9cad0bbe6 *R/framework.R
+df30a045f407a039f4605ed661bc732a *R/framework.R
 3b3476adf9529b8f6d9fc99613305dc1 *R/ornstein-uhlenbeck.R
 38fbd8cf0f1e7db9bb2566241417dc17 *TODO
 b2410ca2d2b2c0eb512c78509eebd7a4 *data/generators.RData
 ea0cf86e4987c239b36da4b82eca0275 *man/fractal.Rd
-e314583e5df76ce659213b09b06c51c5 *man/fractalrock-package.Rd
+b69158509da819155e070eaa96d3461e *man/fractalrock-package.Rd
 53f4f0c1f25fafbebe3e1d71f4c114bd *man/getPortfolioPrices.Rd
 b5f254c3ad7237e3aa939b32ee42995a *man/plotReturns.Rd
 ae6f1445f729976a5acac073e1f4ce95 *man/process.Rd

R/framework.R

@@ -6,8 +6,6 @@
 # getTradingDates('2009-02-24',obs=10)
 getTradingDates <- function(end, start=NULL, obs=NULL, calendar=holidayNYSE)
 {
-  require(futile.any)
-  require(timeDate, quietly=TRUE)
   if (is.null(obs) & is.null(start)) stop("Either obs or start must be set")
 
   end <- as.Date(end)
@@ -46,7 +44,6 @@ getTradingDates <- function(end, start=NULL, obs=NULL, calendar=holidayNYSE)
 getPortfolioPrices <- function(symbols, obs=NULL, end=Sys.Date(), start=NULL,
   calendar=holidayNYSE, seeds=NULL, patterns=NULL, ..., type='uniform')
 {
-  require(futile.any)
   # Get dates
   dates <- getTradingDates(end, start, obs, calendar)
   if (is.null(seeds))
@@ -90,10 +87,6 @@ getPortfolioPrices <- function(symbols, obs=NULL, end=Sys.Date(), start=NULL,
 # ps <- fractal(seed, pats, epochs=3)
 fractal <- function(seeds, patterns, count=NULL, epochs=NULL, ..., type='uniform')
 {
-  require(futile.logger)
-  logger <<- getLogger('fractalrock')
-
-  require(xts, quietly=TRUE)
   if ('list' %in% class(seeds)) seed <- sample(seeds, 1)[[1]]
   else seed <- seeds
 
@@ -130,7 +123,7 @@ fractal.uniform <- function(seed, patterns, count=NULL, epochs=NULL,
     pattern.legs <- nrow(patterns[[1]])-1
     epochs <- floor(log(count / seed.legs, base=pattern.legs)) + 1
     #cat("seed.legs:",seed.legs,"; pattern.legs:",pattern.legs,"\n")
-    logger(DEBUG, sprintf("Set epochs to %s",epochs))
+    flog.debug("Set epochs to %s",epochs)
   }
   if (is.na(epochs) | is.null(epochs)) stop("Unable to calculate epochs")
 
@@ -164,8 +157,8 @@ next.seeds <- function(old.seed, new.seed, pattern, idx, epoch)
   scale <- c(x.delta, y.delta)
   start <- c(old.seed[idx-1,1], old.seed[idx-1,2])
 
-  logger(DEBUG, sprintf("[%s.%s] scale: %s",epoch,idx, scale))
-  logger(DEBUG, sprintf("[%s.%s] epoch: %s",epoch,idx, start))
+  flog.debug("[%s.%s] scale: %s",epoch,idx, scale)
+  flog.debug("[%s.%s] epoch: %s",epoch,idx, start)
 
   segment <- pattern * 
     matrix(rep(scale, nrow(pattern)), ncol=2, byrow=TRUE) +
@@ -176,7 +169,7 @@ next.seeds <- function(old.seed, new.seed, pattern, idx, epoch)
   old.seed <- rbind(old.seed[! (old.seed[,1] %in% segment[,1]), ],
     segment[(segment[,1] %in% old.seed[,1]), ])
   old.seed <- old.seed[order(old.seed[,1]),]
-  logger(DEBUG, sprintf("[%s.%s] segment: %s",epoch,idx,segment))
+  flog.debug("[%s.%s] segment: %s",epoch,idx,segment)
 
   return(list(this.seed=old.seed, next.seed=new.seed))
 }
@@ -199,7 +192,7 @@ fractal.random <- function(seed, patterns, count=NULL, epochs=NULL,
     pattern.legs <- nrow(patterns[[1]])-1
     epochs <- floor(log(count / seed.legs, base=pattern.legs)) + 1
     #cat("seed.legs:",seed.legs,"; pattern.legs:",pattern.legs,"\n")
-    logger(DEBUG, sprintf("Set epochs to %s",epochs))
+    flog.debug("Set epochs to %s",epochs)
   }
   if (is.na(epochs) | is.null(epochs)) stop("Unable to calculate epochs")
 
@@ -240,7 +233,6 @@ fractal.random <- function(seed, patterns, count=NULL, epochs=NULL,
 
 plotReturns <- function(series, ...)
 {
-  require(quantmod, quietly=TRUE)
   o.par <- par(mfrow=c(2,1), mar=c(3.1, 2.1, 2.1, 1.1))
   plot(series, type='l', main='Prices',...)
   plot(Delt(series), main='Returns')
@@ -296,21 +288,22 @@ plotReturns <- function(series, ...)
 #)
 #ps <- getPortfolioPrices('IBM',10, seeds=microInitiators, patterns=microGenerators, date.fun=as.POSIXct)
 
-.fracret <- function(assets=10, epochs=3)
-{
-  fn <- function(x)
-  {
-    series <- fractal(seed, pats, epochs=epochs)
-    series <- Delt(series)
-    series <- series[! is.na(series) & ! is.infinite(series)]
-    series <- series - mean(series)
-  }
-  rets <- do.call(cbind, lapply(1:assets, fn))
-  names(rets) <- 1:assets
-  rets
-}
+# Unused
+#.fracret <- function(assets=10, epochs=3)
+#{
+#  fn <- function(x)
+#  {
+#    series <- fractal(seed, pats, epochs=epochs)
+#    series <- Delt(series)
+#    series <- series[! is.na(series) & ! is.infinite(series)]
+#    series <- series - mean(series)
+#  }
+#  rets <- do.call(cbind, lapply(1:assets, fn))
+#  names(rets) <- 1:assets
+#  rets
+#}
 
-.interpolate.mat <- function(x, by.col)
-{
-
-}
+#.interpolate.mat <- function(x, by.col)
+#{
+#  
+#}

man/fractalrock-package.Rd

@@ -27,9 +27,9 @@
 \tabular{ll}{
 Package: \tab fractalrock\cr
 Type: \tab Package\cr
-Version: \tab 1.0.3\cr
-Date: \tab 2011-09-17\cr
-License: \tab GPL-2\cr
+Version: \tab 1.1.0\cr
+Date: \tab 2013-02-04\cr
+License: \tab GPL-3\cr
 }
 To generate a set of asset prices, the function \code{\link{getPortfolioPrices}}is the most direct way to accomplish this. An xts object will be returned with
 one time series per 'asset' provided. In addition, the dates will be coerced
@@ -40,7 +40,7 @@ underlying \code{\link{fractal}} function. This function produces raw values
 useful for analysis of the fractal generation process.
 }
 \author{
-Brian Lee Yung Rowe <r@nurometic.com>
+Brian Lee Yung Rowe <r@zatonovo.com>
 }
 \references{
   M. Frame, B. Mandelbrot, N. Neger. Fractal Geometry. 2009.