FXシステムトレード

# パッケージの呼び出し
library(GA)
library(quantmod)
# 開始日
startDate <- as.Date("2002-01-01")
# 終了日
endDate <- as.Date("2012-12-31")
# 終値
y <- data$USDJPY.Close
# 変化率
deltaY <- diff(y) / lag(y) * 100
# 特定の月の変化率
#deltaY <- deltaY[.indexmon(deltaY) == 11]
# トレード関数
f <- function(x) {
    # トレードの開始日
    xDay <- x
    # リターン
    #ret <- deltaY[.indexmday(deltaY) >= xDay] # 買い
    ret <- -deltaY[.indexmday(deltaY) >= xDay] # 売り
    totalRet <- cumsum(window(ret, start = startDate, end = endDate))
    # 戻り値
    return(last(totalRet))
}
# バックテスト
GA <- ga(type = "real-valued", fitness = f, min = 1, max = 31)
# 要約
summary(GA)
+-----------------------------------+
|         Genetic Algorithm         |
+-----------------------------------+

GA settings: 
Type                  =  real-valued 
Population size       =  50 
Number of generations =  100 
Elitism               =   
Crossover probability =  0.8 
Mutation probability  =  0.1 
Search domain 
    x1
Min  1
Max 31

GA results: 
Iterations             = 100 
Fitness function value = 55.11661 
Solutions              = 
            x1
 [1,] 5.826542
 [2,] 5.990306
 [3,] 5.841699
 [4,] 5.803412
 [5,] 5.457463
 [6,] 5.930928
 [7,] 5.979738
 [8,] 5.892676
 [9,] 5.823649
[10,] 5.990727
[11,] 5.890009
[12,] 5.886285
[13,] 5.837820
[14,] 5.855779
[15,] 5.826757
[16,] 5.950180
[17,] 5.818064
[18,] 5.768042
[19,] 5.806166
[20,] 5.931057
[21,] 5.810090
[22,] 5.780713
[23,] 5.240252
[24,] 5.975154
[25,] 5.858795
[26,] 5.809302
# 総損益
xDay <- 6
#ret <- deltaY[.indexmday(deltaY) >= xDay] # 買い
ret <- -deltaY[.indexmday(deltaY) >= xDay] # 売り
totalRet <- cumsum(window(ret, start = startDate, end = endDate))
last(totalRet)
           USDJPY.Close
2012-12-31     55.11661
# R2
cor(totalRet, 1:length(totalRet)) ^ 2
                  [,1]
USDJPY.Close 0.7836308
# グラフ
matplot(totalRet, type = "l")
# 使用済みオブジェクトの削除
rm(GA, deltaY, endDate, ret, startDate, totalRet, xDay, y)
rm(f)