R/Finance 2012

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This is a support page for the lighting talk I'm giving at the R/Finance 2012 conference. I will be speaking about "Seasonality Analysis and Pattern Matching" using R.

Here are the support documents:

• Slides
• R code

To reproduce the charts for my presentation, please execute following R code:

###############################################################################
# Load Systematic Investor Toolbox (SIT)
###############################################################################
con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
    source(con)
close(con)

# Load supporting R code for R/Finance 2012
con=url('http://www.systematicportfolio.com/rfinance2012.r')
    source(con)
close(con)

    #*****************************************************************
    # Seasonality Analysis - TIME patterns
    #*****************************************************************
    # Load historical data
    #****************************************************************** 
    load.packages('quantmod')
    ticker = 'WMT'
    
    data = getSymbols(ticker, src = 'yahoo', from = '1970-01-01', auto.assign = F)
        data = adjustOHLC(data, use.Adjusted=T)
        
    data = data['1980::2012:04:07']
    #*****************************************************************
    # Look at the Month of the Year Seasonality
    #****************************************************************** 
    month.year.seasonality(data, ticker)


    #*****************************************************************
    # Look at What seasonally happens in the first 20 days of May
    #****************************************************************** 
    # Find first day of May: it is one day after the last day of April
    month.ends = endpoints(data, 'months')    
        month.ends = month.ends[month.ends > 0 & month.ends < nrow(data)]
        index = which(format(index(data), '%b')[month.ends] == 'Apr')
    
    layout(1)
    time.seasonality(data, 1 + month.ends[index], 20, ticker)



    #*****************************************************************
    # Pattern Matching - PRICE patterns
    #*****************************************************************
    # Load historical data
    #****************************************************************** 
    load.packages('quantmod')
    ticker = 'SPY'
    
    data = getSymbols(ticker, src = 'yahoo', from = '1970-01-01', auto.assign = F)
        data = adjustOHLC(data, use.Adjusted=T)
    
    data = data['::2012:04:07']
    #*****************************************************************
    # Find historical Matches similar to the last 90 days of price history
    #****************************************************************** 
    matches = bt.matching.find(Cl(data), main = ticker,    n.query=90, plot=TRUE)    
        
    out = bt.matching.overlay(matches, plot=TRUE)    

    #*****************************************************************
    # Find Classical Techical Patterns, based on
    # Pattern Matching. Based on Foundations of Technical Analysis
    # by A.W. LO, H. MAMAYSKY, J. WANG    
    #****************************************************************** 
    plot.patterns(data, 190, ticker)