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server.R
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### install packages
library(readxl)
# library(xlsx)
# library(doParallel)
library(doMC)
library(devtools)
# install_github("braverock/blotter")
# install_github("braverock/quantstrat")
# install_github("braverock/FinancialInstrument")
library(quantstrat)
library(zoo)
library(TTR)
library(highcharter)
# install_github("IlyaKipnis/IKTrading")
# install_github("IlyaKipnis/DSTrading")
library(IKTrading)
library(DSTrading)
library(lattice)
library(xml2)
library(shiny)
library(stringr)
library(lubridate)
library(shinyBS)
library(doSNOW)
library(utils)
library(XML)
library(httr)
library(RCurl)
library(wordcloud)
source('utils.R')
vars <- reactiveValues(chat=NULL, users=NULL)
# Restore the chat log from the last session.
if (file.exists("chat.Rds")){
vars$chat <- readRDS("chat.Rds")
} else {
vars$chat <- "Welcome to Shiny Chat!"
}
#' Get the prefix for the line to be added to the chat window. Usually a newline
#' character unless it's the first line.
linePrefix <- function(){
if (is.null(isolate(vars$chat))){
return("")
}
return("<br />")
}
my.obj <- function(x){which(x==max(x)[1])}
shinyServer(function(input, output, session){
##################################
### ###
### Strategy Settings ###
### ###
##################################
# indicator combos
## set reactive value
values <- reactiveValues()
values$DT <- data.frame(Indicator = NA,
n = NA,
Label = NA,
stringsAsFactors = FALSE)
## display changes whenever user submit
observeEvent(input$submitInd, {
newLine <- c(input$indicator, input$n, input$label)
values$DT <- rbind(values$DT, newLine)
values$DT <- na.omit(values$DT)
})
observeEvent(input$revInd, {
if(nrow(values$DT) > 1){
if(input$delete)
deleteLine <- values$DT[-input$deleteRowN, ]
else
deleteLine <- values$DT[-nrow(values$DT), ]
values$DT <- deleteLine
} else if(nrow(values$DT) == 1){
values$DT <- data.frame(Indicator = NA,
n = NA,
Label = NA,
stringsAsFactors = FALSE)
}
})
observeEvent(input$resetInd, {
values$DT <- data.frame(Indicator = NA,
n = NA,
Label = NA,
stringsAsFactors = FALSE)
})
## display combos
output$table <- renderTable({
Number <- 1:nrow(values$DT)
cbind(Number, values$DT)
})
# Signal combos
values2 <- reactiveValues()
values2$DT <- data.frame(Obj1 = NA,
Status = NA,
Comparison = NA,
obj2 = NA,
Label = NA,
stringsAsFactors = FALSE)
observeEvent(input$submitsig, {
if(input$status == "sigCompare"){
obj2 <- input$signal2
} else if(input$status == "sigAND"){
obj2 <- input$signal3
} else if(input$status == "sigThreshold"){
obj2 <- input$threshold
}
newLine <- c(input$signal, input$status, input$comparison, obj2, input$label2)
values2$DT <- rbind(values2$DT, newLine)
values2$DT <- na.omit(values2$DT)
})
observeEvent(input$revsig, {
if(nrow(values2$DT) > 1){
if(input$delete2)
deleteLine <- values2$DT[-input$deleteRowN2, ]
else
deleteLine <- values2$DT[-nrow(values2$DT), ]
values2$DT <- deleteLine
} else if(nrow(values2$DT) == 1){
values2$DT <- data.frame(Obj1 = NA,
Status = NA,
Comparison = NA,
obj2 = NA,
Label = NA,
stringsAsFactors = FALSE)
}
})
observeEvent(input$resetsig, {
values2$DT <- data.frame(Obj1 = NA,
Status = NA,
Comparison = NA,
obj2 = NA,
Label = NA,
stringsAsFactors = FALSE)
})
## display combos
output$table2 <- renderTable({
Number <- 1:nrow(values2$DT)
cbind(Number, values2$DT)
})
observe({
inFile <- input$stratUpload
if (is.null(inFile))
return(NULL)
file.rename(inFile$datapath,
paste(inFile$datapath, ".xlsx", sep=""))
values$DT <- data.frame(read_excel(paste(inFile$datapath, ".xlsx", sep = ""), sheet = 1, col_types = rep('text', 3)))
values2$DT <- data.frame(read_excel(paste(inFile$datapath, ".xlsx", sep = ""), sheet = 2, col_types = rep('text', 5)))
})
output$stratDown <- downloadHandler(
filename = function(){
paste0("My Strategy", ".xlsx")
},
content = function(file){
xlsx::write.xlsx(values$DT, file, "Indicator", row.names = FALSE)
xlsx::write.xlsx(values2$DT, file, "Signal", row.names = FALSE, append = TRUE)
}
)
# pass choice from indicator to signal
output$signal <- renderUI({
labels <- as.list(c(values$DT$Label, values2$DT$Label))
selectizeInput("signal", "Choose label",
choices = labels,
options = list(
placeholder = 'Please select labels below',
onInitialize = I('function() { this.setValue(""); }')
))
})
# must be different from the first object
output$signal2 <- renderUI({
labels <- as.list(c(values$DT$Label[values$DT$Label != input$signal], values2$DT$Label[values2$DT$Label != input$signal]))
selectizeInput("signal2", "Choose second label",
choices = labels,
options = list(
placeholder = 'Please select labels below',
onInitialize = I('function() { this.setValue(""); }')
))
})
output$signal3 <- renderUI({
labels <- as.list(c(values$DT$Label[values$DT$Label != input$signal], values2$DT$Label[values2$DT$Label != input$signal]))
selectizeInput("signal3", "Choose second label",
choices = labels,
options = list(
placeholder = 'Please select labels below',
onInitialize = I('function() { this.setValue(""); }')
))
})
##################################
### ###
### Backtesting ###
### ###
##################################
data <- eventReactive(input$start, {
### download stocks data from yahoo
### replace the column names of 2330.TW to stocks
### use splits and dividends to adjust OHLC price
stocks <- getSymbols(input$stocks, from = input$dateRange[1], to = input$dateRange[2], auto.assign = FALSE)
names(stocks) <- gsub(input$stocks, "stocks", names(stocks))
stocks <- adjustOHLC(stocks, use.Adjusted = TRUE)
stocks <- na.omit(stocks)
############################
### set up working env ###
############################
### clean .blotter env, setting up currency, time zone and stocks
rm(list = ls(.blotter), envir = .blotter)
currency("TWD")
Sys.setenv(TZ = "UTC")
symbols = "stocks"
stock(symbols, currency = "TWD", multiplier = 1)
### before first day of the strategy
### naming the strategy, portfolio and account
### determing the trade size and initial equity
initDate = input$dateRange[1]
strategy.st <- portfolio.st <- account.st <- "Strat1"
tradeSize <- input$tradeSize
initEq <- tradeSize*length(symbols)
### remove the changes of former portfolio and strategy if they have
### initialize portfolio, account and orders
### create strategy
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols = symbols, initDate = initDate, currency = "TWD")
initAcct(account.st, portfolios = portfolio.st, initDate = initDate, currency = "TWD", initEq = initEq)
initOrders(portfolio.st, initDate = initDate)
strategy(strategy.st, store = TRUE)
#########################
### set up strategy ###
#########################
### apply optimized parameters
# RSI
nRSI = 2
thresh1 = 9
thresh2 = 6
# MA
nSMAexit = 10
nSMAfilter = 208
# average true range
period = 10
pctATR = .02 # 2% ATR, size the position based on risk
maxPct = .04
##############################################
### Notice the "arguments" in indicators ###
### "columns/column" in signals ###
### or applyStrategy may go wrong ###
### eg, column_name.label ###
##############################################
### indicators
add.indicator(strategy.st, name = "lagATR",
arguments = list(HLC=quote(HLC(mktdata)), n=period),
label = "atrX")
add.indicator(strategy.st, name = "RSI",
arguments = list(price=quote(Cl(mktdata)), n=nRSI),
label = "rsi")
add.indicator(strategy.st, name = "SMA",
arguments = list(x=quote(Cl(mktdata)), n=nSMAexit),
label = "quickMA")
add.indicator(strategy.st, name = "SMA",
arguments = list(x=quote(Cl(mktdata)), n=nSMAfilter),
label = "filterMA")
### signals
# cross = FALSE, for current signal
# cross = TRUE, for both previous day and current signal
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "rsi", threshold = thresh1,
relationship = "lt", cross = TRUE),
label = "rsiThresh1")
# first time enter long
add.signal(strategy.st, name = "sigAND",
arguments = list(columns = c("rsiThresh1", "atr.atrX")),
label = "longEntry1")
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "rsi", threshold = thresh2,
relationship = "lt", cross = TRUE),
label = "rsiThresh2")
# second time enter long
add.signal(strategy.st, name = "sigAND",
arguments = list(columns = c("rsiThresh2", "atr.atrX")),
label = "longEntry2")
# first signal to exit
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns = c("Close", "quickMA"), relationship = "gt"),
label = "exitLongNormal")
# second signal to exit
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns = c("Close", "filterMA"), relationship = "gt"),
label = "exitLongFilter1")
# third signal to exit
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns = c("Close", "filterMA"), relationship = "lt"),
label = "exitLongFilter2")
### rules
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longEntry1",
sigval = TRUE,
ordertype = "market",
orderside = "long",
replace = FALSE, # replace = TRUE may choose just one rule
prefer = "Open", # tomorrow because today has closed
osFUN = osDollarATR, # order size function
tradeSize = tradeSize,
pctATR = pctATR,
maxPctATR = pctATR, # set an upper limit of orders
atrMod = "X",
TxnFees = "buyFee"), # atrx above
type = "enter", path.dep = TRUE, label = "enterLong1")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longEntry2",
sigval = TRUE,
ordertype = "market",
orderside = "long",
replace = FALSE, # replace = TRUE may choose just one rule
prefer = "Open", # tomorrow because today has closed
osFUN = osDollarATR, # order size function
tradeSize = tradeSize,
pctATR = pctATR,
maxPctATR = maxPct, # set an upper limit of orders
atrMod = "X",
TxnFees = "buyFee"), # atrx above
type = "enter", path.dep = TRUE, label = "enterLong2")
# exit rules
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "exitLongNormal",
sigval = TRUE,
orderqty = "all", # order quantity, in all and out all
ordertype = "market",
orderside = "long",
replace = FALSE,
prefer = "Open",
TxnFees = "sellFee",
orderset = 'ocolong'),
type = "exit", path.dep = TRUE, label = "normalExitLong")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "exitLongFilter1",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
replace = FALSE,
prefer = "Open",
TxnFees = "sellFee",
orderset = 'ocolong'),
type = "exit", path.dep = TRUE, label = "filterExitLong1")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "exitLongFilter2",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
replace = FALSE,
prefer = "Open",
TxnFees = "sellFee",
orderset = 'ocolong'),
type = "exit", path.dep = TRUE, label = "filterExitLong2")
# stop loss
add.rule(strategy.st, name='ruleSignal',
arguments = list(sigcol="longEntry1",
sigval=TRUE,
orderqty="all",
ordertype='stoplimit',
orderside='long',
prefer = "Open",
threshold=0.2,
tmult=TRUE,
TxnFees = "sellFee",
orderset = 'ocolong'),
type='chain', parent = 'enterLong1',
path.dep = TRUE, label = "stopLossExit1")
add.rule(strategy.st, name='ruleSignal',
arguments = list(sigcol="longEntry2",
sigval=TRUE,
orderqty="all",
ordertype='stoplimit',
orderside='long',
threshold=0.2,
prefer = "Open",
tmult=TRUE,
TxnFees = "sellFee",
orderset = 'ocolong'),
type='chain', parent = 'enterLong2',
path.dep = TRUE, label = "stopLossExit2")
### apply strategy
assign("stocks", stocks, .GlobalEnv)
shinyjs::html("text", "")
applyStrategy(strategy = strategy.st, portfolios = portfolio.st)
### set up analytics
updatePortf(portfolio.st)
tradeDetails <- getPortfolio(portfolio.st)
posPL <- tradeDetails$symbols$stocks$posPL
dateRange <- time(tradeDetails$summary)[-1]
updateAcct(portfolio.st, dateRange)
updateEndEq(account.st)
tStats <- tradeStats(Portfolios = portfolio.st, use = "trades", inclZeroDays = FALSE)
tStats[, 4:ncol(tStats)] <- round(tStats[, 4:ncol(tStats)], 2)
ps <- perTradeStats(Portfolio = portfolio.st)
# plot account
getAcct <- getAccount(paste("account", account.st, sep = "."))
sma <- SMA(x = Cl(stocks), n = nSMAfilter)
sma2 <- SMA(x = Cl(stocks), n = nSMAexit)
rsi <- RSI(price = Cl(stocks), n = 2)
atr <- lagATR(HLC = HLC(stocks), n = 10)
myTheme<-chart_theme()
myTheme$col$dn.col<-'lightgray'
myTheme$col$dn.border <- 'lightgray'
myTheme$col$up.border <- 'lightgray'
tradeDetails <- perTradeStats(Portfolio = portfolio.st)[, 1:9]
orderBook <- getOrderBook(portfolio = portfolio.st)[[1]]$stocks
orderBook <- data.frame(Date = index(orderBook), orderBook)
### get portfolio returns
portfRets <- PortfReturns(account.st)
mReturn <- round(apply.monthly(portfRets, Return.cumulative), 3) # geometric
yReturn <- round(apply.yearly(portfRets, Return.cumulative), 3) # geometric
hc <- chart.Posn.Dygraph(Portfolio = portfolio.st, Symbol = symbols, id = "Txn", title = input$stocks)
# variables used
list(stocks = stocks, mktdata = mktdata, portfolio.st = portfolio.st,
tradeDetails = tradeDetails, orderBook = orderBook, symbols = symbols,
myTheme = myTheme, sma = sma, sma2 = sma2, rsi = rsi, atr = atr,
ps = ps, getAcct = getAcct, tStats = tStats, mReturn = mReturn, yReturn = yReturn,
hc = hc)
})
observeEvent(input$no_button , {
toggleModal(session, "modal", toggle = "close")
})
observeEvent(input$yes_button, {
toggleModal(session, "modal", toggle = "close")
})
observeEvent(input$start , {
toggleModal(session, "verbose", toggle = "close")
})
WFAdata <- eventReactive(input$yes_button, {
### download stock data from yahoo
### replace the column names of input to
### use splits and dividends to adjust OHLC price
stocks <- getSymbols(input$stocks, from = input$WFAdateRange[1], to = input$WFAdateRange[2], auto.assign = FALSE)
names(stocks) <- gsub(input$stocks, "stocks", names(stocks))
stocks <- adjustOHLC(stocks, use.Adjusted = TRUE)
stocks <- na.omit(stocks)
############################
### set up working env ###
############################
### clean .blotter env, setting up currency, time zone and stock
rm(list = ls(.blotter), envir = .blotter)
currency("TWD")
Sys.setenv(TZ = "UTC")
symbols = "stocks"
stock(symbols, currency = "TWD", multiplier = 1)
### before first day of the strategy
### naming the strategy, portfolio and account
### determing the trade size and initial equity
initDate = input$WFAdateRange[1]
strategy.st <- portfolio.st <- account.st <- "Strat1"
tradeSize <- input$tradeSize
initEq <- tradeSize/length(symbols)
### remove the changes of former portfolio and strategy if they have
### initialize portfolio, account and orders
### create strategy
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols = symbols, initDate = initDate, currency = "TWD")
initAcct(account.st, portfolios = portfolio.st, initDate = initDate, currency = "TWD", initEq = initEq)
initOrders(portfolio.st, initDate = initDate)
strategy(strategy.st, store = TRUE)
#########################
### set up strategy ###
#########################
### apply optimized parameters
# RSI
nRSI = 2
thresh1 = 9
thresh2 = 6
# MA
nSMAexit = 10
nSMAfilter = 208
# average true range
period = 10
pctATR = .02 # 2% ATR, size the position based on risk
maxPct = .04
##############################################
### Notice the "arguments" in indicators ###
### "columns/column" in signals ###
### or applyStrategy may go wrong ###
### eg, column_name.label ###
##############################################
### indicators
add.indicator(strategy.st, name = "lagATR",
arguments = list(HLC=quote(HLC(mktdata)), n=period),
label = "atrX")
add.indicator(strategy.st, name = "RSI",
arguments = list(price=quote(Cl(mktdata)), n=nRSI),
label = "rsi")
add.indicator(strategy.st, name = "SMA",
arguments = list(x=quote(Cl(mktdata)), n=nSMAexit),
label = "quickMA")
add.indicator(strategy.st, name = "SMA",
arguments = list(x=quote(Cl(mktdata)), n=nSMAfilter),
label = "filterMA")
### signals
# cross = FALSE, for current signal
# cross = TRUE, for both previous day and current signal
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "rsi", threshold = thresh1,
relationship = "lt", cross = TRUE),
label = "rsiThresh1")
# first time enter long
add.signal(strategy.st, name = "sigAND",
arguments = list(columns = c("rsiThresh1", "atr.atrX")),
label = "longEntry1")
add.signal(strategy.st, name = "sigThreshold",
arguments = list(column = "rsi", threshold = thresh2,
relationship = "lt", cross = TRUE),
label = "rsiThresh2")
# second time enter long
add.signal(strategy.st, name = "sigAND",
arguments = list(columns = c("rsiThresh2", "atr.atrX")),
label = "longEntry2")
# first signal to exit
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns = c("Close", "quickMA"), relationship = "gt"),
label = "exitLongNormal")
# second signal to exit
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns = c("Close", "filterMA"), relationship = "gt"),
label = "exitLongFilter1")
# third signal to exit
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns = c("Close", "filterMA"), relationship = "lt"),
label = "exitLongFilter2")
### rules
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longEntry1",
sigval = TRUE,
ordertype = "market",
orderside = "long",
replace = FALSE, # replace = TRUE may choose just one rule
prefer = "Open", # tomorrow because today has closed
osFUN = osDollarATR, # order size function
tradeSize = tradeSize,
pctATR = pctATR,
maxPctATR = pctATR, # set an upper limit of orders
atrMod = "X",
TxnFees = "buyFee"), # atrx above
type = "enter", path.dep = TRUE, label = "enterLong1")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longEntry2",
sigval = TRUE,
ordertype = "market",
orderside = "long",
replace = FALSE, # replace = TRUE may choose just one rule
prefer = "Open", # tomorrow because today has closed
osFUN = osDollarATR, # order size function
tradeSize = tradeSize,
pctATR = pctATR,
maxPctATR = maxPct, # set an upper limit of orders
atrMod = "X",
TxnFees = "buyFee"), # atrx above
type = "enter", path.dep = TRUE, label = "enterLong2")
# exit rules
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "exitLongNormal",
sigval = TRUE,
orderqty = "all", # order quantity, in all and out all
ordertype = "market",
orderside = "long",
replace = FALSE,
prefer = "Open",
TxnFees = "sellFee",
orderset = 'ocolong'),
type = "exit", path.dep = TRUE, label = "normalExitLong")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "exitLongFilter1",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
replace = FALSE,
prefer = "Open",
TxnFees = "sellFee",
orderset = 'ocolong'),
type = "exit", path.dep = TRUE, label = "filterExitLong1")
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "exitLongFilter2",
sigval = TRUE,
orderqty = "all",
ordertype = "market",
orderside = "long",
replace = FALSE,
prefer = "Open",
TxnFees = "sellFee",
orderset = 'ocolong'),
type = "exit", path.dep = TRUE, label = "filterExitLong2")
add.rule(strategy.st, name='ruleSignal',
arguments = list(sigcol="longEntry1",
sigval=TRUE,
orderqty="all",
ordertype='stoplimit',
orderside='long',
prefer = "Open",
threshold=0.165,
tmult=TRUE,
TxnFees = "sellFee",
orderset = 'ocolong'),
type='chain', parent = 'enterLong1',
path.dep = TRUE, label = "stopLossExit1")
# stop loss
add.rule(strategy.st, name='ruleSignal',
arguments = list(sigcol="longEntry2",
sigval=TRUE,
orderqty="all",
ordertype='stoplimit',
orderside='long',
threshold=0.165,
prefer = "Open",
tmult=TRUE,
TxnFees = "sellFee",
orderset = 'ocolong'),
type='chain', parent = 'enterLong2', path.dep = TRUE, label = "stopLossExit2")
### add distribution and distribution contraints
# rsi
add.distribution(strategy.st,
paramset.label = 'allParam',
component.type = 'signal',
component.label = 'rsiThresh1',
variable = list(threshold = input$rsi[1]:input$rsi[2]),
label = 'up.rsi'
)
add.distribution(strategy.st,
paramset.label = 'allParam',
component.type = 'signal',
component.label = 'rsiThresh2',
variable = list(threshold = input$rsi[1]:input$rsi[2]),
label = 'dn.rsi'
)
add.distribution.constraint(strategy.st,
paramset.label = 'allParam',
distribution.label.1 = 'up.rsi',
distribution.label.2 = 'dn.rsi',
operator = '>',
label = 'RSI'
)
# MA
add.distribution(strategy.st,
paramset.label = 'allParam',
component.type = 'indicator',
component.label = 'quickMA',
variable = list(threshold = input$quickMA[1]:input$quickMA[2]),
label = 'quickMA'
)
add.distribution(strategy.st,
paramset.label = 'allParam',
component.type = 'indicator',
component.label = 'filterMA',
variable = list(threshold = input$filterMA[1]:input$quickMA[2]),
label = 'filterMA'
)
# stop loss rate
stopPct = seq(input$stoploss[1], input$stoploss[2], 0.05)
add.distribution(strategy.st,
paramset.label = 'allParam',
component.type = 'chain',
component.label = 'stopLossExit1',
variable = list(threshold = stopPct),
label = 'stopLossLong1'
)
add.distribution(strategy.st,
paramset.label = 'allParam',
component.type = 'chain',
component.label = 'stopLossExit2',
variable = list(threshold = input$stoploss),
label = 'stopLossLong2'
)
add.distribution.constraint(strategy.st,
paramset.label = 'allParam',
distribution.label.1 = 'stopLossLong1',
distribution.label.2 = 'stopLossLong2',
operator = '==',
label = 'stopLoss'
)
assign("stocks", stocks, .GlobalEnv)
# registerDoParallel(detectCores())
shinyjs::html("WFAtext", "")
resultsWFA <- walk.forward(
strategy.st=strategy.st,
paramset.label='allParam',
portfolio.st=portfolio.st,
account.st=account.st,
period=input$WFAperiod,
k.training=input$WFAtrain,
k.testing=input$WFAtest,
nsamples=ifelse(input$WFAcheck, input$WFAnumeric, 0),
audit.prefix='wfa',
obj.func=my.obj,
# obj.args=my.args,
anchored=input$WFAanchor,
verbose=TRUE,
include.insamples=TRUE
)
WFAstats <- resultsWFA$tradeStats
list(resultsWFA = resultsWFA)
})
output$WFAresult <- renderPlot({
plot.new()
frame()
chart.forward("./wfa.results.RData")
})
output$IS <- renderDataTable({
trainStats <- t(WFAdata()$resultsWFA[[input$trainset]]$apply.paramset$tradeStats)
combosets <- c(paste0(1:ncol(trainStats), "th combo"))
colnames(trainStats)[1:ncol(trainStats)] <- combosets[1:ncol(trainStats)]
trainStats
})
output$OOS <- renderTable({
testStats <- t(WFAdata()$resultsWFA$tradeStats)
colnames(testStats) <- input$stocks
testStats
})
action <- eventReactive(input$start, {})
newDate <- eventReactive(input$zoom, {
paste0(input$dateRange[1], "/", input$dateRange[2])
})
output$dataTable <- renderDataTable({
action()
data.frame(Date = index(data()$mktdata), data()$mktdata)
}, options = list(pageLength = 10))
output$tradeTable <- renderDataTable({
action()
data()$tradeDetails
}, options = list(pageLength = 10))
output$orderBook <- renderDataTable({
action()
data()$orderBook[, -ncol(data()$orderBook)]
}, options = list(pageLength = 10))
output$downloadData <- downloadHandler(
filename = function(){
paste0(input$choice, ".csv")
},
content = function(file){
stocks <- data()$stocks
tradeDetails <- data()$tradeDetails
orderBook <- data()$orderBook
write.csv(get(input$choice), row.names = FALSE, file)
}
)
output$backtest <- renderUI({
dataList <- list(chartPos = plotOutput("chartPos"),
acctInfo = plotOutput("acctInfo"),
endEq = plotOutput("endEq"),
barPos = plotOutput("barPos"),
MAE = plotOutput("MAE"),
MFE = plotOutput("MFE"),
tStats = tableOutput("tStats"))
do.call(tagList, dataList)
})
output$stats <- renderUI({
dataList <- list(tStats = dataTableOutput("cumReturn"))
do.call(tagList, dataList)
})
output$WFAdemo <- renderHighchart({
# year only
WFAtimes <- floor((year(input$WFAdateRange[2]) - year(input$WFAdateRange[1]) - input$WFAtrain + 1)/input$WFAtest)
if(WFAtimes > 3) {
categories <- c("1st WFA", "2nd WFA", "3rd WFA", paste0(4:WFAtimes, "th WFA"))
} else if(WFAtimes == 3) {
categories <- c("1st WFA", "2nd WFA", "3rd WFA")
} else if(WFAtimes == 2) {
categories <- c("1st WFA", "2nd WFA")
} else {
categories <- "1st WFA"
}
if(input$WFAanchor){
# IS
IS = NULL
for(k in 1:WFAtimes)
IS[k] <- list(c(year(input$WFAdateRange[1]), year(input$WFAdateRange[1]) + input$WFAtrain + input$WFAtest*(k-1)))
IS = unlist(IS)
#OOS
OOS = NULL
for(k in 1:WFAtimes)
OOS[k] <- list(c(year(input$WFAdateRange[1]) + input$WFAtrain, year(input$WFAdateRange[1]) + input$WFAtrain + input$WFAtest) + input$WFAtest*(k-1))
OOS = unlist(OOS)
} else{
# IS
IS = NULL
for(k in 1:WFAtimes)
IS[k] <- list(c(year(input$WFAdateRange[1]), year(input$WFAdateRange[1]) + input$WFAtrain) + input$WFAtest*(k-1))
IS = unlist(IS)
#OOS
OOS = NULL
for(k in 1:WFAtimes)
OOS[k] <- list(c(year(input$WFAdateRange[1]) + input$WFAtrain, year(input$WFAdateRange[1]) + input$WFAtrain + input$WFAtest) + input$WFAtest*(k-1))
OOS = unlist(OOS)
}
highchart()%>%
hc_chart(type = 'columnrange', inverted = TRUE)%>%
hc_title(text='Walk Forward Analysis Time Span')%>%
hc_subtitle(text = 'WFA execution times are determined by time span, IS period and OOS period<br>')%>%
hc_xAxis(categories = categories)%>%
hc_yAxis(title = list('total fruit consumption'), min = year(input$WFAdateRange[1]))%>%
hc_tooltip(valueSuffix = 'c')%>%
hc_plotOptions(series = list(stacking = 'normal'))%>%
hc_add_series(name = 'In-sample data(IS)',
data = matrix(IS, byrow = TRUE, ncol = 2, nrow = length(IS)/2)) %>%
hc_add_series(name = 'Out-of-sample data(OOS)',
data = matrix(OOS, byrow = TRUE, ncol = 2, nrow = length(OOS)/2))
})
output$highchart <- renderHighchart({
action()
sma2 <- round(data()$sma2, 2)
sma <- round(data()$sma, 2)
data()$hc %>% hc_add_series(data = sma2, name = "MA11", yAxis = 0, color = "#50B432") %>%
hc_add_series(data = sma, name = "MA251", yAxis = 0, color = "#24CBE5")
})
local({
observeEvent(input$start, {
output$chartPos <- renderPlot({
action()
chart.Posn(Portfolio = data()$portfolio.st, Symbol=data()$symbols, theme= data()$myTheme)
add_TA(data()$sma2, on = 1, col = "red")
add_TA(data()$sma, on = 1, col = "green")
add_TA(data()$rsi, col = "purple", lwd = 1.5)
})
})
observeEvent(input$zoom, {
output$chartPos <- renderPlot({
zoom_Chart(newDate())
})
})
output$barPos <- renderPlot({
action()
chart.Histogram(data()$ps$Pct.Net.Trading.PL, methods=c('add.centered'),
main=paste0('Luxor returns\n', '(Odds=', data()$tStats$Percent.Positive, '%)'))
})
output$acctInfo <- renderPlot({