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Hi,
here my code
require(quantmod)
indexes<-c("XLB","XLE","XLF","XLI","XLK","XLP","XLU","XLV","XLY") getSymbols(indexes) p=cbind(Ad(XLB),Ad(XLE),Ad(XLF),Ad(XLI),Ad(XLK),Ad(XLP),Ad(XLU),Ad(XLV),Ad(XLY))
XLB.CCI=CCI(p[,1],10)
XLE.CCI=CCI(p[,2],15) XLF.CCI=CCI(p[,3],16) XLI.CCI=CCI(p[,4],22) XLK.CCI=CCI(p[,5],28) XLP.CCI=CCI(p[,6],32) XLU.CCI=CCI(p[,7],9) XLV.CCI=CCI(p[,8],6) XLY.CCI=CCI(p[,9],10) p.CCI=cbind(XLB.CCI,XLE.CCI,XLF.CCI,XLI.CCI,XLK.CCI,XLP.CCI,XLU.CCI,XLV.CCI,XLY.CCI)
long=lag(p.CCI,k=1)*ROC(p,type="discrete",n=1)
charts.PerformanceSummary(long,ylog=TRUE,main="TEST")
How can I now sum each column now in the object long, keeping the day and just addsum (p.CCI*ROC)
Any idea ?
Many thanks | ||
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