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DPStrategy.R
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DPStrategy.R
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require(PerformanceAnalytics);
require(TTR)
DPStrategy <- function(returns, rf_returns = NULL, lookback_short = 20, lookback_long = 200,
riskmeasure = c("STDEV", "STDEV.D", "ES", "MDD", "ADD"),
rebalance = c("days", "weeks", "months"),
cutoff = 0.5)
{
if (is.null(rf_returns)) {
time_index = index(returns)
rf_returns = xts(x=rep(0, length(time_index)), order.by = index(returns))
}
price = na.omit(cumsum(returns));
if (riskmeasure == "STDEV") {
rm_short = apply.rolling(returns, width = lookback_short, FUN = StdDev.annualized);
rm_long = apply.rolling(returns, width = lookback_long, FUN = StdDev.annualized);
}
else if (riskmeasure == "STDEV.D") {
rm_short = apply.rolling(returns, width = lookback_short, FUN = SemiDeviation);
rm_long = apply.rolling(returns, width = lookback_long, FUN = SemiDeviation);
}
else if (riskmeasure == "ES") {
rm_short = apply.rolling(returns, width = lookback_short, FUN = ES);
rm_long = apply.rolling(returns, width = lookback_long, FUN = ES);
}
else if (riskmeasure == "MDD") {
rm_short = apply.rolling(returns, width = lookback_short, FUN = maxDrawdown, MAR=0.005);
rm_long = apply.rolling(returns, width = lookback_long, FUN = maxDrawdown, MAR=0.005);
}
else if (riskmeasure == "ADD") {
rm_short = apply.rolling(returns, width = lookback_short, FUN = AverageDrawdown, MAR=0.005);
rm_long = apply.rolling(returns, width = lookback_long, FUN = AverageDrawdown, MAR=0.005);
}
else if (riskmeasure == "CDD") {
rm_short = apply.rolling(returns, width = lookback_short, FUN = CDD, p=0.95);
rm_long = apply.rolling(returns, width = lookback_long, FUN = CDD, p=0.95);
}
if (riskmeasure == "STDEV") {
ratio_stdev = rm_long / rm_short;
pos_stdev = ratio_stdev * (signal_ma); ## reset position when price < moving average
pos_stdev[pos_stdev > 1] = 1;
pos_stdev[pos_stdev < cutoff] = 0;
weights <- pos_stdev;
}
if (riskmeasure == "STDEV.D") {
ratio_stdev = rm_long / rm_short;
pos_stdev = ratio_stdev * (signal_ma); ## reset position when price < moving average
pos_stdev[pos_stdev > 1] = 1;
pos_stdev[pos_stdev < cutoff] = 0;
weights <- pos_stdev;
}
else if (riskmeasure == "ES") {
ratio_es = rm_long / rm_short;
pos_es = ratio_es; ## reset position when price < moving average
pos_es[pos_es > 1] = 1;
pos_es[pos_es < cutoff] = 0;
weights <- pos_es;
}
else if (riskmeasure == "MDD") {
sigma <- apply.rolling(returns, width = lookback_short, FUN = StdDev);
ratio_mdd = 1 - abs(rm_short) / sigma
pos_mdd = ratio_mdd * signal_ma; ## reset position when price < moving average
#pos_mdd[pos_mdd > 1] = 1;
pos_mdd[pos_mdd < cutoff] = 0;
weights <- pos_mdd;
}
else if (riskmeasure == "ADD") {
ratio_mdd = 1- rm_short / rm_long;
pos_mdd = ratio_mdd * signal_ma; ## reset position when price < moving average
pos_mdd[pos_mdd > 1] = 1;
pos_mdd[pos_mdd < cutoff] = 0;
weights <- pos_mdd;
}
else if (riskmeasure == "CDD") {
ratio_mdd = 1- rm_short / rm_long;
pos_mdd = ratio_mdd * signal_ma; ## reset position when price < moving average
pos_mdd[pos_mdd > 1] = 1;
pos_mdd[pos_mdd < cutoff] = 0;
weights <- pos_mdd;
}
asset_returns <- na.omit(cbind(returns, rf_returns));
asset_weights <- na.omit(cbind(weights, 1 - weights));
tzone(asset_returns) <- Sys.getenv("TZ")
tzone(asset_weights) <- Sys.getenv("TZ")
port_returns <- Return.portfolio(asset_returns, asset_weights);
colnames(port_returns) <- paste(riskmeasure, "_",c(lookback_short), "_", c(lookback_long),
"_ma_",ma_period, "cutoff_", cutoff, sep = "")
tzone(port_returns) <- Sys.getenv("TZ")
return(port_returns);
}
MAStrategy <- function(returns, rf_returns = NULL, ma_period = 200,
riskmeasure = c("SMA", "EMA")) {
if (is.null(rf_returns)) {
time_index = index(returns)
rf_returns = xts(x=rep(0, length(time_index)), order.by = index(returns))
}
price = na.omit(cumsum(returns));
weights <- xts(x=rep(1, length(returns)), order.by = index(returns));
if (riskmeasure == "SMA") {
signal_ma = (price > SMA(price, n = ma_period ));
weights <- weights * signal_ma;
}
else if (riskmeasure == "EMA") {
signal_ma = (price > EMA(price, n = ma_period ));
weights <- weights * signal_ma;
}
asset_returns <- na.omit(cbind(returns, rf_returns));
asset_weights <- na.omit(cbind(weights, 1 - weights));
tzone(asset_returns) <- Sys.getenv("TZ")
tzone(asset_weights) <- Sys.getenv("TZ")
port_returns <- Return.portfolio(asset_returns, asset_weights);
colnames(port_returns) <- paste(riskmeasure,
"_ma_",ma_period, sep = "")
tzone(port_returns) <- Sys.getenv("TZ")
return(port_returns);
}