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Analyzing the Connor RSI trading strategy on IWM, QQQ, SPY and TLT
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README.md

Connor's RSI

$$ \text{BTO} = \text{Adjusted} > \text{SMA (200) } & \text{ RSI (2)} < 5 $$

$$ \text{STC} = \text{Adjusted} < \text{SMA (200) } \vee \text{ Close} > \text{SMA (5)} $$

Getting Started

Prerequisites

Some packages such as blotter, quantstrat, and tidyfinance are not tagged with releases. Therefore, specific commits are used. The strategy is to install packages updated on a specific date, regardless of the version of R released. Other commits or tags may be used but may break the project.

Required Packages

CRAN
  • devtools v2.0.1

  • here v0.1

  • hrbrmstr/hrbrthemes@v0.6.0

  • skimr v1.0.5

  • tidyquant v0.5.5

  • tsibble v0.7.0

  • workflowr v1.2.0

Github
  • braverock/blotter@bc75cf5

  • braverock/quantstrat@be01b35

  • DavisVaughan/tidyfinance@56917ea

Docker

This project contains files to run the project through a Docker container. Dockerfiles exist for the devel, oldrelease, and release versions of R.

From the project directory via terminal:

docker-compose up -d

Docker will start a container named "connors_rsi" and open port 8787. To access RStudio server, point your web browser to localhost:8787. The login details:

  • User: rstudio
  • Password: connors_rsi

The password can be changed in ./docker-compose.yml.

To run a different version of R, change the image tag in ./docker-compose.yml and save:

  • image: timtrice/connors_rsi:devel

  • image: timtrice/connors_rsi:release

  • image: timtrice/connors_rsi:oldrelease

Your local project directory will be mounted to the container so that any changes you make to the project within Docker will remain if the container is destroyed.

Built With

  • R 3.5.2 - The R Project for Statistical Computing

Contributing

Please read Contributing for details on code of conduct.

Authors

License

GNU GENERAL PUBLIC LICENSE

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