Hi
I am having problems producing graphs with the attached code. It gets
the two symbols down from IB that I think are congregated and extracts
various features and is intended to put the data on a graph so I can
eyeball it.
I normally run the code via File > Source R Code.
The code seems to work all the way down to line 104 where the code is:
plot.new()
plot(spread, main=paste(sym1, " - ", sym2, "\n", "lookback ", lookback,
"\n", "width ", width), type="l")
lines(average,col="blue")
lines(upper,col="red")
lines(lower,col="red")
abline(h=thirty_day_mean, col="blue", lwd = 3)
abline(h=thirty_day_upper, col="red", lwd = 2)
abline(h=thirty_day_lower, col="red", lwd = 2)
all I get when I run it is the three ablines. However, I can copy and
paste this part:
plot(spread, main=paste(sym1, " - ", sym2, "\n", "lookback ", lookback,
"\n", "width ", width), type="l")
lines(average,col="blue")
lines(upper,col="red")
lines(lower,col="red")
into the console and it produces a graph! If I paste:
abline(h=thirty_day_mean, col="blue", lwd = 3)
abline(h=thirty_day_upper, col="red", lwd = 2)
abline(h=thirty_day_lower, col="red", lwd = 2)
in after nothing else appears on the graph.
I wonder if anyone can advise me how to get the script to produce the
graph with all the information on it.
Thanks.
Stephen Choularton PhD, FIoD
# analyse pair
library("IBrokers")
#library("urca") # for johansen
#library("zoo") installed by hand
library(tseries)
library(timeSeries)
library("TTR")
tws <- twsConnect()
reqCurrentTime(tws)
#sym1 <- 'GC'
#sym2 <- 'PA'
#mkt1 <- 'NYMEX'
#mkt2 <- 'NYMEX'
sym1 <- 'KC'
sym2 <- 'ZW'
mkt1 <- 'NYBOT'
mkt2 <- 'ECBOT'
#sym1 <- 'SI'
#sym2 <- 'PA'
#mkt1 <- 'NYMEX'
#mkt2 <- 'NYMEX'
contract1 <- twsContract(0,sym1, "CONTFUT",
mkt1,"","","0.0","USD","","","",NULL,NULL,"0")
contract2 <- twsContract(0,sym2, "CONTFUT",
mkt2,"","","0.0","USD","","","",NULL,NULL,"0")
#http://www.sthda.com/english/wiki/subsetting-data-frame-rows-in-r
#print(contract1)
one <- reqHistoricalData(tws, contract1, endDateTime = format(Sys.Date(),
"%Y%m%d 24:00:00"), duration = "3 M")
two <- reqHistoricalData(tws, contract2, endDateTime = format(Sys.Date(),
"%Y%m%d 24:00:00"), duration = "3 M")
one <- one[,1:5]
two <- two[,1:5]
# Give columns more usable names
colnames(one) <- c('Open', 'High', 'Low', 'Close', 'Volume')
colnames(two) <- c('Open', 'High', 'Low', 'Close', 'Volume')
print(nrow(one))
print(nrow(two))
if (nrow(one) > nrow(two)){
trim <- nrow(one) - nrow(two) + 1
one <- one[trim:nrow(one)-1,]
} else if (nrow(one) < nrow(two)){
trim <- nrow(two) - nrow(one) + 1
two <- two[trim:nrow(two)-1,]
}
print(nrow(one))
print(nrow(two))
#only use first 30 days to avoid look ahead
m <- lm(one$Close[1:30] ~ two$Close[1:30] + 0)
beta <- coef(m)[1]
cat("Assumed hedge ratio is", beta, "\n")
spread <- one$Close - (beta * two$Close)
# I need mean plus SD
lookback <- 5
width <- 1
average <- SMA(spread, lookback)
thirty_day_mean <- mean(spread[1:30])
thirty_day_stanDev <- sd(spread[1:30])
thirty_day_upper <- thirty_day_mean + (width * thirty_day_stanDev)
thirty_day_lower <- thirty_day_mean - (width * thirty_day_stanDev)
stanDev <- rollapply(spread, lookback, sd)
upper <- average + (width * stanDev)
lower <- average - (width * stanDev)
#long_position <- if(spread$Close > upper) -1 else if (spread$Close < lower) 1
#print(spread)
plot.new()
plot(spread, main=paste(sym1, " - ", sym2, "\n", "lookback ", lookback, "\n",
"width ", width), type="l")
lines(average,col="blue")
lines(upper,col="red")
lines(lower,col="red")
#abline(h=thirty_day_mean, col="blue", lwd = 3)
#abline(h=thirty_day_upper, col="red", lwd = 2)
#abline(h=thirty_day_lower, col="red", lwd = 2)
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