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January 16, 2015 20:55
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Fibonacci Retracements in R
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| ############################################################################### | |
| # Load Systematic Investor Toolbox (SIT) | |
| # http://systematicinvestor.wordpress.com/systematic-investor-toolbox/ | |
| ############################################################################### | |
| setInternet2(TRUE) | |
| con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb')) | |
| source(con) | |
| close(con) | |
| #library(griffun) | |
| load.packages('forecast,quantmod,lmtest,TTR') | |
| tickers = spl('SPY') | |
| data <- new.env() | |
| getSymbols(tickers, src = 'yahoo', from = '1980-01-01', env = data, auto.assign = T) | |
| for(i in data$symbolnames) data[[i]] = adjustOHLC(data[[i]], use.Adjusted=T) | |
| bt.prep(data, align='remove.na', fill.gaps = T) | |
| ## Calculate Fibonacci Retracements over last 90 periods | |
| hi <- last(Hi(data$SPY),90) | |
| lo <- last(Lo(data$SPY),90) | |
| FR100 <- max(hi) | |
| FR0 <- min(lo) | |
| last90 <- last(data$SPY,90) | |
| last90$FR100 <- FR100 | |
| last90$FR0 <- FR0 | |
| last90$FR79 <- FR100 - (FR100 - FR0) * 0.786; | |
| last90$FR62 <- FR100 - (FR100 - FR0) * 0.618; | |
| last90$FR50 <- FR100 - (FR100 - FR0) * 0.500; | |
| last90$FR38 <- FR100 - (FR100 - FR0) * 0.382; | |
| last90$FR24 <- FR100 - (FR100 - FR0) * 0.236; | |
| # last90$FR124 <- FR100 + (FR100 - FR0) * 0.236; | |
| ## Plot | |
| thm <- chart_theme() | |
| #thm$col$line.col <- 'black' | |
| chart_Series(last90, theme=thm,name="SPY (OHLC)") | |
| add_Series(last90[,7],on=1) | |
| add_Series(last90[,8],on=1) | |
| add_Series(last90[,9],on=1) | |
| add_Series(last90[,10],on=1) | |
| add_Series(last90[,11],on=1) | |
| add_Series(last90[,12],on=1) | |
| add_Series(last90[,13],on=1) | |
| # add_Series(last90[,14],on=1) |
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