scr.R

#The quantmod package is used here
install.packages('quantmod')
library(quantmod)
getSymbols('TSLA')
head(TSLA)
tail(TSLA)
TSLA <- last(TSLA,"2 years")
head(TSLA)
chartSeries(TSLA,type = "candlesticks",theme = chartTheme('white'))
rsi=RSI(Cl(TSLA),n=14)
tail(rsi,n=5)
addRSI(n=14,maType = "EMA")
#for evaluation of strategy installing the package PerformanceAnalytics
install.packages("PerformanceAnalytics")
library(PerformanceAnalytics)
#creating strategy using rsi
#buy 1 unit if rsi<30, else 0
day<-14
#RSI 14b implies 14 day index
price<-Cl(TSLA)
View(price)
signal<-c()
rsi<-RSI(price,day)
View(rsi)
signal[1:day+1]<-0
for(i in (day+1):length(price)){
  if(rsi[i]<30){
    signal[i]<-1
  }else{
    signal[i]<-0
  }
}
signal<-reclass(signal,Cl(TSLA))
View(signal)
qty<-300
signal<-c()
signal[1:(day+1)] <- 0
price <- Cl(TSLA)
stock <- c()  #stock holding
stock[1:(day+1)] <-0
price<-Cl(TSLA)
cash <-c()
cash[1:(day+1)] <- 10000
View(rsi)
for(i in (day+1):length(price)){
  if(rsi[i]<30){
    signal[i]<-1}
  elseif(rsi[i]<50){signal[i]<-0}
  elseif(rsi[i]<50){
    else if (rsi[i] < 50){
      rsi <- RSI(price, day)  #rsi is the lag of RSI
      for (i in (day+1): length(price)){
        if (rsi[i] < 30){  #buy one more unit if rsi < 30
          signal[i] <- 1
        } else if (rsi[i] < 50){ #no change if rsi < 50
          signal[i] <- 0
        } else {         #sell  if rsi > 50
          signal[i] <- -1
        }
      }
      signal<-reclass(signal,price)
      View(signal)
      trade <- Lag(signal)    #rsi is the lag of RSI
      for (i in (day+1): length(price)){
        if (trade[i]>=0){
          stock[i] <- stock[i-1] + qty*trade[i]
          cash[i] <- cash[i-1] -
            qty*trade[i]*price[i]
        } else{
          stock[i] <- 0
          cash[i] <- cash[i-1] +
            stock[i-1]*price[i]
        }
      }
      stock<-reclass(stock,price)
      cash<-reclass(cash,price)
      equity <-c()
      equity[1:(day+1)] <- 10000
      return<-c()
      return[1:(day+1)] <- 0
      for (i in (day+1): length(price)){
        equity[i] <- stock[i] * price[i] + cash[i]
        return[i] <- equity[i]/equity[i-1]-1
      }
      equity<-reclass(equity,price)
      return<-reclass(return,price)
      equity <-c()
      equity[1:(day+1)] <- 10000
      return<-c()
      return[1:(day+1)] <- 0
      for (i in (day+1): length(price)){
        equity[i] <- stock[i] * price[i] + cash[i]
        return[i] <- equity[i]/equity[i-1]-1
      }
      equity<-reclass(equity,price)
      return<-reclass(return,price)
      View(trade)
      charts.PerformanceSummary(return,main = "Non-Day Trading")
      #observe cumulative performance
      chart_Series(cash, name="Cash Holding")
      chart_Series(stock, name="Stock Holding")
      #calculate exact returns in terms of cash and stock holding